I'm currently going through Bengio's and Bergstra's Random Search for Hyper-Parameter Optimization [1] where the authors claim random search is more efficient than grid search in achieving approximately equal performance.
My question is: Do people here agree with that claim? In my work I've been using grid search mostly because of the lack of tools available to perform random search easily.
What is the experience of people using grid vs. random search?
Random search has a probability of 95% of finding a combination of parameters within the 5% optima with only 60 iterations. Also compared to other methods it doesn't bog down in local optima.
Check this great blog post at Dato by Alice Zheng, specifically the section Hyperparameter tuning algorithms.
I love movies where the underdog wins, and I love machine learning papers where simple solutions are shown to be surprisingly effective. This is the storyline of “Random search for hyperparameter optimization” by Bergstra and Bengio. [...] Random search wasn’t taken very seriously before. This is because it doesn’t search over all the grid points, so it cannot possibly beat the optimum found by grid search. But then came along Bergstra and Bengio. They showed that, in surprisingly many instances, random search performs about as well as grid search. All in all, trying 60 random points sampled from the grid seems to be good enough.
In hindsight, there is a simple probabilistic explanation for the result: for any distribution over a sample space with a finite maximum, the maximum of 60 random observations lies within the top 5% of the true maximum, with 95% probability. That may sound complicated, but it’s not. Imagine the 5% interval around the true maximum. Now imagine that we sample points from his space and see if any of it lands within that maximum. Each random draw has a 5% chance of landing in that interval, if we draw n points independently, then the probability that all of them miss the desired interval is $\left(1−0.05\right)^{n}$. So the probability that at least one of them succeeds in hitting the interval is 1 minus that quantity. We want at least a .95 probability of success. To figure out the number of draws we need, just solve for n in the equation:
$$1−\left(1−0.05\right)^{n}>0.95$$
We get $n\geqslant60$. Ta-da!
The moral of the story is: if the close-to-optimal region of hyperparameters occupies at least 5% of the grid surface, then random search with 60 trials will find that region with high probability.
You can improve that chance with a higher number of trials.
All in all, if you have too many parameters to tune, grid search may become unfeasible. That's when I try random search.
Look again at the graphic from the paper (Figure 1). Say that you have two parameters, with 3x3 grid search you check only three different parameter values from each of the parameters (three rows and three columns on the plot on the left), while with random search you check nine (!) different parameter values of each of the parameters (nine distinct rows and nine distinct columns).
Obviously, random search, by chance, may not be representative for all the range of the parameters, but as sample size grows, the chances of this get smaller and smaller.
If you can write a function to to grid search, it's probably even easier to write a function to do random search because you don't have to pre-specify and store the grid up front.
Setting that aside, methods like LIPO, particle swarm optimization and Bayesian optimization make intelligent choices about which hyperparameters are likely to be better, so if you need to keep the number of models fit to an absolute minimum (say, because it's expensive to fit a model), these tools are promising options. They're also global optimizers, so they have a high probability of locating the global maximum. Some of the acquisition functions of BO methods have provable regret bounds, which make them even more attractive.
More information can be found in these questions:
What are some of the disavantage of bayesian hyper parameter optimization?
By default, random search and grid search are terrible algorithms unless one of the following holds.
Most people claim that random search is better than grid search. However, note that when the total number of function evaluations is predefined, grid search will lead to a good coverage of the search space which is not worse than random search with the same budget and the difference between the two is negligible if any. If you start to add some assumptions, e.g., that your problem is separable or almost separable, then you will find arguments to support grid search. Overall, both are comparably terrible unless in very few cases. Thus, there is no need to distinguish between them unless some additional assumptions about the problem are considered.
Finding a spot within 95% of maxima in a 2D topography with only one maxima takes 100%/25 =25%, 6.25%, 1.5625%, or 16 observations. So long as the first four observations correctly determine which quadrant the maxima (extrema) is in. 1D topography takes 100/2= 50, 25, 12.5, 6.25, 3.125 or 5*2. I guess people searching for multiple farflung local maxima use big inital grid search then regression or some other prediction method. A grid of 60 observations should have one observation within 100/60=1.66% of the extrema. Global Optimization Wikipedia I still think there is always a better method than randomness.
As Tim showed you can test more parameter values with random search than with grid search. This is especially efficient if some of the parameters you test end up not being impactful for your problem, like the 'Unimportant parameter' on Fig 1 from the article.
I did a post about hyperparameters tuning where I explain the differences between grid search, random search and Bayesian Optimization. You can check it out (and let me know if it was useful, feedback is appreciated!)
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