Targeted Hyperparameter Optimization with Lexicographic Preferences Over Multiple Objectives

Shaokun Zhang, Feiran Jia, Chi Wang, Qingyun Wu

Keywords: Automatic Machine learning, Hyperparameter tuning, Lexicographic preference

TL;DR: Hyperparameter tuning under lexicographic preference

Abstract: Motivated by various practical applications, we propose a novel and general formulation of targeted multi-objective hyperparameter optimization. Our formulation allows a clear specification of an automatable optimization goal using lexicographic preference over multiple objectives. We then propose a randomized directed search method named LexiFlow to solve this problem. We demonstrate the strong empirical performance of the proposed algorithm in multiple hyperparameter optimization tasks.

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