Sequential Model-Based Parameter Optimisation: an Experimental Investigation of Automated and Inte

This work experimentally investigates model-based approaches for optimizing the performance of parameterized randomized algorithms. Such approaches build a response surface model and use this model for finding good parameter settings of the given algorithm. We evaluated two methods from the literature that are based on Gaussian process models: sequential parameter optimization (SPO) (Bartz-Beielstein et al, 2005) and sequential Kriging optimization (SKO) (Huang et al, 2006). SPO performed better “out-of-the-box,” whereas SKO was competitive when response values were log transformed. We then investigated key design decisions within the SPO paradigm, characterizing the performance consequences of each. Based on these findings, we propose a new version of SPO, dubbed SPO+, which extends SPO with a novel intensification procedure and a log-transformed objective function. In a domain for which performance results for other (model-free) parameter optimization approaches are available, we demonstrate that SPO+ achieves state-of-the-art performance. Finally, we compare this automated parameter tuning approach to an interactive, manual process that makes use of classical regression techniques. This interactive approach is particularly useful when only a relatively small number of parameter configurations can be evaluated. Because it can relatively quickly draw attention to important parameters and parameter interactions, it can help experts gain insights into the parameter response of a given algorithm and identify reasonable parameter settings.