Setup Algorithms

Default algorithm is a random search based on the probability distribution given to a search parameter’s definition.

Selecting and Configuring

In a Oríon configuration YAML, define:

algorithms:
  gradient_descent:
    learning_rate: 0.1

In this particular example, the name of the algorithm extension class to be imported and instantiated is Gradient_Descent, so the lower-case identifier corresponds to it.

All algorithms have default arguments that should work reasonably well in general. To tune the algorithm for a specific problem, you can set those arguments in the yaml file as shown above with learning_rate.

Included Algorithms

ASHA

Asynchronous Successive Halving Algorithm, the asynchronous version of Hyperband, can be roughly interpreted as a sophisticated random search that leverages partial information of the trial execution to concentrate resources on the most promising ones.

The main idea of the algorithm is the following. Given a fidelity dimension, such as the number of epochs to train or the size of the dataset, ASHA samples trials with low-fidelity and promotes the most promising ones to the next fidelity level. This makes it possible to only execute one trial with full fidelity, leading to very optimal resource usage.

The most common way of using ASHA is to reduce the number of epochs, but the algorithm is generic and can be applied to any multi-fidelity setting. That is, you can use training time, specifying the fidelity with --epochs~fidelity(low=1, high=100) (assuming your script takes this argument in commandline), but you could also use other fidelity such as dataset size --dataset-size~fidelity(low=500, high=50000) (assuming your script takes this argument and adapt dataset size accordingly). The placeholder fidelity(low, high) is a special prior for multi-fidelity algorithms.

Note

Current implementation does not support more than one fidelity dimension.

Configuration

algorithms:
   asha:
      seed: null
      num_rungs: null
      num_brackets: 1

producer:
  strategy: StubParallelStrategy

Note

Notice the additional producer.strategy in configuration which is not mandatory for other algorithms. See StubParallelStrategy for more information.

seed

Seed for the random number generator used to sample new trials. Default is None.

num_rungs

Number of rungs for the largest bracket. If not defined, it will be equal to (base + 1) of the fidelity dimension. In the original paper, num_rungs == log(fidelity.high/fidelity.low) / log(fidelity.base) + 1.

num_brackets

Using a grace period that is too small may bias ASHA too strongly towards fast converging trials that do not lead to best results at convergence (stragglers). To overcome this, you can increase the number of brackets, which increases the amount of resources required for optimisation but decreases the bias towards stragglers. Default is 1.

Algorithm Plugins

Bayesian Optimizer

orion.algo.skopt provides a wrapper for Bayesian optimizer using Gaussian process implemented in scikit optimize.

Installation

pip install orion.algo.skopt

Configuration

algorithms:
   BayesianOptimizer:
      seed: null
      n_initial_points: 10
      acq_func: gp_hedge
      alpha: 1e-10
      n_restarts_optimizer: 0
      noise: "gaussian"
      normalize_y: False

seed

n_initial_points

Number of evaluations of func with initialization points before approximating it with base_estimator. Points provided as x0 count as initialization points. If len(x0) < n_initial_points additional points are sampled at random.

acq_func

Function to minimize over the posterior distribution. Can be: ["LCB", "EI", "PI", "gp_hedge", "EIps", "PIps"]. Check skopt docs for details.

alpha

Value added to the diagonal of the kernel matrix during fitting. Larger values correspond to increased noise level in the observations and reduce potential numerical issues during fitting. If an array is passed, it must have the same number of entries as the data used for fitting and is used as datapoint-dependent noise level. Note that this is equivalent to adding a WhiteKernel with c=alpha. Allowing to specify the noise level directly as a parameter is mainly for convenience and for consistency with Ridge.

n_restarts_optimizer

The number of restarts of the optimizer for finding the kernel’s parameters which maximize the log-marginal likelihood. The first run of the optimizer is performed from the kernel’s initial parameters, the remaining ones (if any) from thetas sampled log-uniform randomly from the space of allowed theta-values. If greater than 0, all bounds must be finite. Note that n_restarts_optimizer == 0 implies that one run is performed.

noise

If set to “gaussian”, then it is assumed that y is a noisy estimate of f(x) where the noise is gaussian.

normalize_y

Whether the target values y are normalized, i.e., the mean of the observed target values become zero. This parameter should be set to True if the target values’ mean is expected to differ considerable from zero. When enabled, the normalization effectively modifies the GP’s prior based on the data, which contradicts the likelihood principle; normalization is thus disabled per default.

Parallel Strategies

A parallel strategy is a method to improve parallel optimization for sequential algorithms. Such algorithms can only observe trials that are completed and have a corresponding objective. To get around this, parallel strategies produces lies, noncompleted trials with fake objectives, which are then passed to a temporary copy of the algorithm that will suggest a new point. The temporary algorithm is then discarded. The original algorithm never obverses lies, and the temporary copy always observes lies that are based on most up-to-date data. The strategies will differ in how they assign objectives to the lies.

By default, the strategy used is MaxParallelStrategy

NoParallelStrategy

Does not return any lie. This is useful to benchmark parallel strategies and measure how they can help compared to no strategy.

StubParallelStrategy

Assign to lies an objective of None so that non-completed trials are observed and identifiable by algorithms that can leverage parallel optimization.

The value of the objective is customizable with stub_value.

producer:
  strategy:
     StubParallelStrategy:
        stub_value: 'custom value'

MaxParallelStrategy

Assigns to lies the best objective observed so far.

The default value assigned to objective when less than 1 trial is completed is configurable with default_result. It is float('inf') by default.

producer:
  strategy:
     MaxParallelStrategy:
        default_result: 10000

MeanParallelStrategy

Assigns to lies the mean of all objectives observed so far.

The default value assigned to objective when less than 2 trials are completed is configurable with default_result. It is float('inf') by default.

producer:
  strategy:
     MeanParallelStrategy:
        default_result: 0.5