Bayes Optimal Early Stopping Policies for Black-Box Optimization

21 Feb 2019 Matthew Streeter

We derive an optimal policy for adaptively restarting a randomized algorithm, based on observed features of the run-so-far, so as to minimize the expected time required for the algorithm to successfully terminate. Given a suitable Bayesian prior, this result can be used to select the optimal black-box optimization algorithm from among a large family of algorithms that includes random search, Successive Halving, and Hyperband... (read more)

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Random Search
Hyperparameter Search