Practical and sample efficient zero-shot HPO

Zero-shot hyperparameter optimization (HPO) is a simple yet effective use of transfer learning for constructing a small list of hyperparameter (HP) configurations that complement each other. That is to say, for any given dataset, at least one of them is expected to perform well. Current techniques for obtaining this list are computationally expensive as they rely on running training jobs on a diverse collection of datasets and a large collection of randomly drawn HPs. This cost is especially problematic in environments where the space of HPs is regularly changing due to new algorithm versions, or changing architectures of deep networks. We provide an overview of available approaches and introduce two novel techniques to handle the problem. The first is based on a surrogate model and adaptively chooses pairs of dataset, configuration to query. The second, for settings where finding, tuning and testing a surrogate model is problematic, is a multi-fidelity technique combining HyperBand with submodular optimization. We benchmark our methods experimentally on five tasks (XGBoost, LightGBM, CatBoost, MLP and AutoML) and show significant improvement in accuracy compared to standard zero-shot HPO with the same training budget. In addition to contributing new algorithms, we provide an extensive study of the zero-shot HPO technique resulting in (1) default hyper-parameters for popular algorithms that would benefit the community using them, (2) massive lookup tables to further the research of hyper-parameter tuning.