Category Archives: RStats

In a Nutshell: Sequential Parameter #Optimization is also on @arxiv #rstats @utopiae_network

The paper “In a Nutshell: Sequential Parameter Optimization” has been assigned the permanent arXiv identifier 1712.04076 and is available at:
http://arxiv.org/abs/1712.04076

arXiv:1712.04076
Date: Tue, 12 Dec 2017 00:03:45 GMT   (2255kb,D)
Title: In a Nutshell: Sequential Parameter Optimization
Authors: Thomas Bartz-Beielstein, Lorenzo Gentile, Martin Zaefferer
Categories: cs.MS cs.AI math.OC
Comments: Version 12/2017
License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
Abstract:
The performance of optimization algorithms relies crucially on their
parameterizations. Finding good parameter settings is called algorithm tuning.
Using a simple simulated annealing algorithm, we will demonstrate how
optimization algorithms can be tuned using the sequential parameter
optimization toolbox (SPOT). SPOT provides several tools for automated and
interactive tuning. The underling concepts of the SPOT approach are explained.
This includes key techniques such as exploratory fitness landscape analysis and
response surface methodology. Many examples illustrate how SPOT can be used for
understanding the performance of algorithms and gaining insight into
algorithm’s behavior. Furthermore, we demonstrate how SPOT can be used as an
optimizer and how a sophisticated ensemble approach is able to combine several
meta models via stacking.

Free Paper: In a Nutshell – Sequential Parameter #Optimization @utopia_network #TH_Koeln #rstats

We proudly present the first result of our cooperation in the UTOPIAE network:
Lorenzo Gentile, Martin Zaefferer, and Thomas Bartz-Beielstein published a paper about sequential parameter optimization. The paper is based on the talk given by Thomas Bartz-Beielstein during the UTOPIAE Network Training School at University of Strathclyde, Glasgow, earlier this year.

The paper is entitled “In a Nutshell: Sequential Parameter Optimization”. It gives a short introduction to surrogate model based optimization, which will be applied in the UTOPIAE project. Many examples illustrate the usefulness of the SPOT approach.

The paper can be downloaded here.

The abstract reads as follows:
The performance of optimization algorithms relies crucially on their parameterizations. Finding good parameter settings is called algorithm tuning. Using a simple simulated annealing algorithm, we will demonstrate how optimization algorithms can be tuned using the sequential parameter opti- mization toolbox (SPOT). SPOT provides several tools for automated and interactive tuning. The underling concepts of the SPOT approach are explained. This includes key techniques such as exploratory fitness landscape analysis and response surface methodology. Many examples illustrate how SPOT can be used for understanding the performance of algorithms and gaining insight into algorithm’s behavior. Furthermore, we demonstrate how SPOT can be used as an optimizer and how a sophisticated ensemble approach is able to combine several meta models via stacking.

Sequential Parameter #Optimization Toolbox 2.0.2 is on CRAN #RSTATS


Version 2.0.2 of SPOT, the Sequential Parameter Optimization Toolbox, is available on CRAN:
https://cran.r-project.org/web/packages/SPOT/index.html
SPOT provides a set of tools for model based optimization and tuning of algorithms. It includes surrogate models, optimizers and design of experiment approaches. The main interface is spot, which uses sequentially updated surrogate models for the purpose of efficient optimization. The main goal is to ease the burden of objective function evaluations, when a single evaluation requires a significant amount of resources.
Version 2 of the SPOT package is a complete redesign and rewrite of the original R package. Most function interfaces were redesigned to give a more streamlined usage experience. At the same time, modular and transparent code structures allow for increased extensibility. In addition, some new developments were added to the SPOT package. A Kriging model implementation, based on earlier Matlab code by Forrester et al. (Forrester, Sobester, and Keane 2008), has been extended to allow for the usage of categorical inputs. Additionally, it is now possible to use stacking for the construction of ensemble learners (Bartz-Beielstein and Zaefferer 2017). This allows for the creation of models with a far higher predictive performance, by combining the strengths of different modeling approaches.

References

 

Sequential Parameter #Optimization Toolbox SPOT 2.0.1 on CRAN #rstats

SPOT: Sequential Parameter Optimization Toolbox 2.0.1

This is a major update of the R package. The SPO toolbox provides a set of tools for model based optimization and tuning of algorithms. It includes surrogate models, optimizers and design of experiment approaches. The main interface is spot, which uses sequentially updated surrogate models for the purpose of efficient optimization. The main goal is to ease the burden of objective function evaluations, when a single evaluation requires a significant amount of resources. See: https://CRAN.R-project.org/package=SPOT