# Enhancing Performance and Calibration in Quantile Hyperparameter Optimization

arXiv: https://arxiv.org/abs/2509.17051 · HTML: https://mlsanity.com/paper/2509.17051/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 10 of its 32 references that are in the map.
- First posted on arXiv 21 Sep 2025.

## Builds on (most cited first, 10 of 10)

- [Fashion-MNIST: a Novel Image Dataset for Benchmarking Machine Learning Algorithms](https://mlsanity.com/paper/1708.07747/) (2017)
- [Efficient and robust approximate nearest neighbor search using Hierarchical Navigable Small World graphs](https://mlsanity.com/paper/1603.09320/) (2016)
- [Distribution-Free Predictive Inference For Regression](https://mlsanity.com/paper/1604.04173/) (2016)
- [Conformalized Quantile Regression](https://mlsanity.com/paper/1905.03222/) (2019)
- [Adaptive Conformal Inference Under Distribution Shift](https://mlsanity.com/paper/2106.00170/) (2021)
- [Conformal Inference for Online Prediction with Arbitrary Distribution Shifts](https://mlsanity.com/paper/2208.08401/) (2022)
- [Auto-PyTorch Tabular: Multi-Fidelity MetaLearning for Efficient and Robust AutoDL](https://mlsanity.com/paper/2006.13799/) (2020)
- [YAHPO Gym -- An Efficient Multi-Objective Multi-Fidelity Benchmark for Hyperparameter Optimization](https://mlsanity.com/paper/2109.03670/) (2021)
- [Optimizing Hyperparameters with Conformal Quantile Regression](https://mlsanity.com/paper/2305.03623/) (2023)
- [Hyperboost: Hyperparameter Optimization by Gradient Boosting surrogate models](https://mlsanity.com/paper/2101.02289/) (2021)

## Abstract (arXiv)

Bayesian hyperparameter optimization relies heavily on Gaussian Process (GP) surrogates, due to robust distributional posteriors and strong performance on limited training samples. GPs however underperform in categorical hyperparameter environments or when assumptions of normality, heteroskedasticity and symmetry are excessively challenged. Conformalized quantile regression can address these estimation weaknesses, while still providing robust calibration guarantees. This study builds upon early work in this area by addressing feedback covariate shift in sequential acquisition and integrating a wider range of surrogate architectures and acquisition functions. Proposed algorithms are rigorously benchmarked against a range of state of the art hyperparameter optimization methods (GP, TPE and SMAC). Findings identify quantile surrogate architectures and acquisition functions yielding superior performance to the current quantile literature, while validating the beneficial impact of conformalization on calibration and search performance.