CMA-ES for Post Hoc Ensembling in AutoML: A Great Success and Salvageable FailureDownload PDF

Published: 16 May 2023, Last Modified: 05 Sept 2023AutoML 2023 MainTrackReaders: Everyone
TL;DR: Using CMA-ES for Post Hoc Ensembling in AutoML and avoiding overfitting for ROC AUC by normalization.
Abstract: Many state-of-the-art automated machine learning (AutoML) systems use greedy ensemble selection (GES) by Caruana et al. (2004) to ensemble models found during model selection post hoc. Thereby, boosting predictive performance and likely following Auto-Sklearn 1's insight that alternatives, like stacking or gradient-free numerical optimization, overfit. Overfitting in Auto-Sklearn 1 is much more likely than in other AutoML systems because it uses only low-quality validation data for post hoc ensembling. Therefore, we were motivated to analyze whether Auto-Sklearn 1's insight holds true for systems with higher-quality validation data. Consequently, we compared the performance of covariance matrix adaptation evolution strategy (CMA-ES), state-of-the-art gradient-free numerical optimization, to GES on the 71 classification datasets from the AutoML benchmark for AutoGluon. We found that Auto-Sklearn's insight depends on the chosen metric. For the metric ROC AUC, CMA-ES overfits drastically and is outperformed by GES -- statistically significantly for multi-class classification. For the metric balanced accuracy, CMA-ES does not overfit and outperforms GES significantly. Motivated by the successful application of CMA-ES for balanced accuracy, we explored methods to stop CMA-ES from overfitting for ROC AUC. We propose a method to normalize the weights produced by CMA-ES, inspired by GES, that avoids overfitting for CMA-ES and makes CMA-ES perform better than or similar to GES for ROC AUC.
Keywords: AutoML, Ensembles, Post Hoc Ensesmbling, Classification, Gradient-free Numerical Optimization, Weight Normalization, Constrained Optimization
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