Part of Advances in Neural Information Processing Systems 32 (NeurIPS 2019)
Ho Chung Law, Peilin Zhao, Leung Sing Chan, Junzhou Huang, Dino Sejdinovic
Bayesian optimisation is a popular technique for hyperparameter learning but typically requires initial exploration even in cases where similar prior tasks have been solved. We propose to transfer information across tasks using learnt representations of training datasets used in those tasks. This results in a joint Gaussian process model on hyperparameters and data representations. Representations make use of the framework of distribution embeddings into reproducing kernel Hilbert spaces. The developed method has a faster convergence compared to existing baselines, in some cases requiring only a few evaluations of the target objective.