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Semi-parametric approach to random forests for high-dimensional Bayesian optimisation
Aalto University, Finland.
Stockholm University, Faculty of Social Sciences, Department of Computer and Systems Sciences.ORCID iD: 0000-0002-1912-712x
2022 (English)In: Discovery Science: 25th International Conference, DS 2022, Montpellier, France, October 10–12, 2022, Proceedings / [ed] Poncelet Pascal; Dino Ienco, Springer , 2022, p. 418-428Conference paper, Published paper (Refereed)
Abstract [en]

Calibration of simulation models and hyperparameter optimisation of machine learning and deep learning methods are computationally demanding optimisation problems, for which many state-of-the-art optimisation methods are adopted and applied in various studies. However, their performances come to a test when the parameter optimisation problems exhibit high-dimensional spaces and expensive evaluation of models’ or methods’ settings. Population-based (evolutionary) methods work well for the former but not suitable for expensive evaluation functions. On the opposite, Bayesian optimisation eliminates the necessity of frequent simulations to find the global optima. However, the computational demand rises significantly as the number of parameters increases. Bayesian optimisation with random forests has overcome issues of its state-of-the-art counterparts. Still, due to the non-parametric output, it fails to utilise the capabilities of available acquisition functions. We propose a semi-parametric approach to overcome such limitations to random forests by identifying a mixture of parametric components in their outcomes. The proposed approach is evaluated empirically on four optimisation benchmark functions with varying dimensionality, confirming the improvement in guiding the search process. Finally, in terms of running time, it scales linearly with respect to the dimensionality of the search space.

Place, publisher, year, edition, pages
Springer , 2022. p. 418-428
Series
Lecture Notes in Computer Science (LNCS), ISSN 0302-9743, E-ISSN 1611-3349 ; 13601
National Category
Computer Sciences
Research subject
Computer and Systems Sciences
Identifiers
URN: urn:nbn:se:su:diva-213204DOI: 10.1007/978-3-031-18840-4_30Scopus ID: 2-s2.0-85142759430ISBN: 978-3-031-18839-8 (print)ISBN: 978-3-031-18840-4 (electronic)OAI: oai:DiVA.org:su-213204DiVA, id: diva2:1721857
Conference
25th International Conference, DS 2022, Montpellier, France, October 10–12, 2022
Available from: 2022-12-22 Created: 2022-12-22 Last updated: 2023-01-04Bibliographically approved

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Hollmén, Jaakko

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CiteExportLink to record
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Citation style
  • apa
  • ieee
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  • vancouver
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  • de-DE
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  • nn-NB
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More languages
Output format
  • html
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  • asciidoc
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