Fully Parallel Hyperparameter Search: Reshaped Space-Filling
Proceedings of the 37th International Conference on Machine Learning, PMLR 119:1338-1348, 2020.
Space-filling designs such as Low Discrepancy Sequence (LDS), Latin Hypercube Sampling (LHS) and Jittered Sampling (JS) were proposed for fully parallel hyperparameter search, and were shown to be more effective than random and grid search. We prove that LHS and JS outperform random search only by a constant factor. Consequently, we introduce a new sampling approach based on the reshaping of the search distribution, and we show both theoretically and numerically that it leads to significant gains over random search. Two methods are proposed for the reshaping: Recentering (when the distribution of the optimum is known), and Cauchy transformation (when the distribution of the optimum is unknown). The proposed methods are first validated on artificial experiments and simple real-world tests on clustering and Salmon mappings. Then we demonstrate that they drive performance improvement in a wide range of expensive artificial intelligence tasks, namely attend/infer/repeat, video next frame segmentation forecasting and progressive generative adversarial networks.