5. skopt’s top level minimization functions¶

5.1. dummy_minimize¶

Random search by uniform sampling within the given bounds.

5.2. forest_minimize¶

Sequential optimisation using decision trees.

A tree based regression model is used to model the expensive to evaluate function func. The model is improved by sequentially evaluating the expensive function at the next best point. Thereby finding the minimum of func with as few evaluations as possible.

5.3. gbrt_minimize¶

Sequential optimization using gradient boosted trees.

Gradient boosted regression trees are used to model the (very) expensive to evaluate function func. The model is improved by sequentially evaluating the expensive function at the next best point. Thereby finding the minimum of func with as few evaluations as possible.

5.4. gp_minimize¶

Bayesian optimization using Gaussian Processes.

If every function evaluation is expensive, for instance when the parameters are the hyperparameters of a neural network and the function evaluation is the mean cross-validation score across ten folds, optimizing the hyperparameters by standard optimization routines would take for ever!

The idea is to approximate the function using a Gaussian process. In other words the function values are assumed to follow a multivariate gaussian. The covariance of the function values are given by a GP kernel between the parameters. Then a smart choice to choose the next parameter to evaluate can be made by the acquisition function over the Gaussian prior which is much quicker to evaluate.