1. Bias-variance trade-off during hyperparameter optimisation
- Author
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Zwanenburg, Alex and Löck, Steffen
- Subjects
Artificial Intelligence and Robotics ,Computer Sciences ,Physical Sciences and Mathematics - Abstract
Machine learning algorithms commonly have one or more parameters that alter the learning behaviour of the algorithm. Examples are the number of trees in a random forest, or the kernel of support vector machines. Hyperparameter optimisation is the process of identifying a set of hyperparameters that yields a generalisable model. There are various approaches to hyperparameter optimisation, for example grid search, random search, and model-based or Bayesian optimisation. These approaches share three characteristics: 1) they explore the hyperparameter space, and 2) identify suitable hyperparameter sets by optimising an objective function, and 3) do so using subsampling techniques where the data are randomly divided into a training and validation set. The training set is used for training a machine learning model with a specific set of hyperparameters, and the validation set is subsequently used to assess performance of the model. The performance on the validation set, or its average across validation sets of multiple random subsamples, is often used as the objective. Anecdotal evidence suggests that for inherently difficult problems—problems where the features contain little information pertaining to the outcome—using model performance on the validation set as objective function leads to selecting hyperparameter sets that do not yield generalisable models. We hypothesize that this due to a variance-bias trade-off during hyperparameter optimisation. By selecting hyperparameter sets based on minimising bias, we might be trading minimal improvements in bias with large increases in variance. Here, we will assess different objective functions for hyperparameter optimisation to understand how the choice of objective function relates to generalisability of the resulting model.
- Published
- 2022
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