The Hyperparameter Optimization Problem

When working with a machine learning algorithm (e.g., Decision Trees, KNN, SVM, MLP, Convolutional Neural Nets, etc.), you will come across values supplied to the algorithm that affect how well it can learn from your data. Usually, these are passed as arguments to the function or class that implements the algorithm. These are hyperparameters, and properly tuning them can mean the difference between success and failure. This is called hyperparameter optimization.

Optimizing hyperparameters involves searching over the range of possible hyperparameter values (and combinations of values) for the one that leads to the best performance on your dataset. For example, when working with KNN you must select the value k (the number of nearest neighbors); for SVM with RBF kernel, you must pick values for the C (soft-margin constant) and \(\gamma\) (kernel coefficient); a neural network requires tuning many values at each layer. The catch with hyperparameter optimization is that it’s a nonlinear, non-convex optimization problem. This means that there is no perfect set of hyperparameter values, and using gradient-based methods can get you stuck in the wring place. “Optimal” in this case means “the best that can be found experimentally”: you have to test a lot of values over a wide range to make sure you picked good ones. A good primer on this problem that goes into more detail can be found in [1].

Optimal hyperparameters can mean the difference between just a few percentage points better performance, but in many cases it can change a failing model into a successful one. With so many possible choices, though, how do you select the optimal values?

By Hand

A lot of times, hyperparameter optimization is done by hand. This method is pretty easy to implement, but it typically misses a lot of possible search values.

Bayesian Optimization


There are a lot of ways to do hyperparameter optimization, and no one method is correct for every problem. If your hyperparameter values can be enumerated and exhaustively searched, then grid search may be the correct solution. Random search is especially useful if you have a large number of continuous parameters to tune. SHADHO will strive to provide implementations of these and other hyperparameter search strategies.