Scott is co-founder and CEO of SigOpt, a YC and a16z backed “Optimization as a Service” startup in San Francisco. Scott has been applying optimal learning techniques in industry and academia for years, from bioinformatics to production advertising systems. Before SigOpt, Scott worked on the Ad Targeting team at Yelp leading the charge on academic research and outreach with projects like the Yelp Dataset Challenge and open sourcing MOE. Scott holds a PhD in Applied Mathematics and an MS in Computer Science from Cornell University and BS degrees in Mathematics, Physics, and Computational Physics from Oregon State University. Scott was chosen as one of Forbes’ 30 under 30 in 2016. Abstract summary Bayesian Global Optimization: Using Optimal Learning to Deep Learning Models: In this talk we introduce Bayesian Optimization as an efficient way to optimize machine learning model parameters, especially when evaluating different configurations is time-consuming or expensive. Deep learning pipelines are notoriously expensive to train and often have many tunable parameters including hyperparameters, the architecture, feature transformations that can have a large impact on the efficacy of the model. We will motivate the problem by giving several example applications using open source deep learning frameworks and open datasets. We’ll compare the results of Bayesian Optimization to standard techniques like grid search, random search, and expert tuning.

1. BAYESIAN GLOBAL OPTIMIZATION
Using Optimal Learning to Deep Learning / AI Models
Scott Clark
scott@sigopt.com

2. OUTLINE
1. Why is Tuning Models Hard?
2. Comparison of Tuning Methods
3. Bayesian Global Optimization
4. Deep Learning Examples

3. Deep Learning / AI is
extremely powerful
Tuning these systems is
extremely non-intuitive

4. https://www.quora.com/What-is-the-most-important-unresolved-problem-in-machine-learning-3
What is the most important unresolved
problem in machine learning?
“...we still don't really know why some configurations of
deep neural networks work in some case and not others,
let alone having a more or less automatic approach to
determining the architectures and the
hyperparameters.”
Xavier Amatriain, VP Engineering at Quora
(former Director of Research at Netflix)

5. Photo: Joe Ross

6. TUNABLE PARAMETERS IN DEEP LEARNING

7. TUNABLE PARAMETERS IN DEEP LEARNING

8. Photo: Tammy Strobel

9. STANDARD METHODS
FOR HYPERPARAMETER SEARCH

10. STANDARD TUNING METHODS
Parameter
Configuration
?
Grid Search Random Search
Manual Search
- Weights
- Thresholds
- Window sizes
- Transformations
ML / AI
Model
Testing
Data
Cross
Validation
Training
Data

11. OPTIMIZATION FEEDBACK LOOP
Objective Metric
Better
Results
REST API
New configurations
ML / AI
Model
Testing
Data
Cross
Validation
Training
Data

12. BAYESIAN GLOBAL OPTIMIZATION

13. … the challenge of how to collect information as efficiently
as possible, primarily for settings where collecting information
is time consuming and expensive.
Prof. Warren Powell - Princeton
What is the most efficient way to collect information?
Prof. Peter Frazier - Cornell
How do we make the most money, as fast as possible?
Scott Clark - CEO, SigOpt
OPTIMAL LEARNING

14. ● Optimize objective function
○ Loss, Accuracy, Likelihood
● Given parameters
○ Hyperparameters, feature/architecture params
● Find the best hyperparameters
○ Sample function as few times as possible
○ Training on big data is expensive
BAYESIAN GLOBAL OPTIMIZATION

15. SMBO
Sequential Model-Based Optimization
HOW DOES IT WORK?

16. 1. Build Gaussian Process (GP) with points
sampled so far
2. Optimize the fit of the GP (covariance
hyperparameters)
3. Find the point(s) of highest Expected
Improvement within parameter domain
4. Return optimal next best point(s) to sample
GP/EI SMBO

17. GAUSSIAN PROCESSES

18. GAUSSIAN PROCESSES

19. overfit good fit underfit
GAUSSIAN PROCESSES

20. EXPECTED IMPROVEMENT

21. DEEP LEARNING EXAMPLES

22. ● Classify movie reviews
using a CNN in MXNet
SIGOPT + MXNET

23. TEXT CLASSIFICATION PIPELINE
ML / AI
Model
(MXNet)
Testing
Text
Validation
Accuracy
Better
Results
REST API
Hyperparameter
Configurations
and
Feature
Transformations
Training
Text

24. TUNABLE PARAMETERS IN DEEP LEARNING

25. ● Comparison of several RMSProp SGD parametrizations
STOCHASTIC GRADIENT DESCENT

26. ARCHITECTURE PARAMETERS

27. Grid Search Random Search
?
TUNING METHODS

28. SPEED UP #2: RANDOM/GRID -> SIGOPT

29. CONSISTENTLY BETTER AND FASTER

30. ● Classify house numbers in
an image dataset (SVHN)
SIGOPT + TENSORFLOW

31. COMPUTER VISION PIPELINE
ML / AI
Model
(Tensorflow)
Testing
Images
Cross
Validation
Accuracy
Better
Results
REST API
Hyperparameter
Configurations
and
Feature
Transformations
Training
Images

32. METRIC OPTIMIZATION

33. ● All convolutional neural network
● Multiple convolutional and dropout layers
● Hyperparameter optimization mixture of
domain expertise and grid search (brute force)
SIGOPT + NEON
http://arxiv.org/pdf/1412.6806.pdf

34. COMPARATIVE PERFORMANCE
● Expert baseline: 0.8995
○ (using neon)
● SigOpt best: 0.9011
○ 1.6% reduction in
error rate
○ No expert time
wasted in tuning

35. SIGOPT + NEON
http://arxiv.org/pdf/1512.03385v1.pdf
● Explicitly reformulate the layers as learning residual
functions with reference to the layer inputs, instead of learning unreferenced functions
● Variable depth
● Hyperparameter optimization mixture of domain expertise and grid search (brute force)

36. COMPARATIVE PERFORMANCE
Standard Method
● Expert baseline: 0.9339
○ (from paper)
● SigOpt best: 0.9436
○ 15% relative error
rate reduction
○ No expert time
wasted in tuning

37. SIGOPT SERVICE

38. OPTIMIZATION FEEDBACK LOOP
Objective Metric
Better
Results
REST API
New configurations
ML / AI
Model
Testing
Data
Cross
Validation
Training
Data

39. SIMPLIFIED OPTIMIZATION
Client Libraries
● Python
● Java
● R
● Matlab
● And more...
Framework Integrations
● TensorFlow
● scikit-learn
● xgboost
● Keras
● Neon
● And more...
Live Demo

40. DISTRIBUTED TRAINING
● SigOpt serves as a distributed
scheduler for training models
across workers
● Workers access the SigOpt API
for the latest parameters to
try for each model
● Enables easy distributed
training of non-distributed
algorithms across any number
of models

41. https://sigopt.com/getstarted
Try it yourself!

42. Questions?
contact@sigopt.com
https://sigopt.com
@SigOpt