Using Gradient Based Multikernel Gaussian Process and Meta-Acquisition Function to Accelerate SMBO

Automatic machine learning (automl) is a crucial technology in machine learning. Sequential model-based optimisation algorithms (SMBO) (e.g., SMAC, TPE) are state-of-the-art hyperparameter optimisation methods in automl. However, SMBO does not consider known information, like the best hyperparameters high possibility range and gradients. In this paper, we accelerate the traditional SMBO method and name our method as accSMBO. In accSMBO, we build a gradient-based multikernel Gaussian process with a good generalisation ability and we design meta-acquisition function which encourages that SMBO puts more attention on the best hyperparameters high possibility range. In L2 norm regularised logistic loss function experiments, our method exhibited state-of-the-art performance.