Koen van der Blom

Carolin Benjamins, Elena Raponi, Anja Jankovic et al.

Bayesian Optimization (BO) is a powerful, sample-efficient technique to optimize expensive-to-evaluate functions. Each of the BO components, such as the surrogate model, the acquisition function (AF), or the initial design, is subject to a wide range of design choices. Selecting the right components for a given optimization task is a challenging task, which can have significant impact on the quality of the obtained results. In this work, we initiate the analysis of which AF to favor for which optimization scenarios. To this end, we benchmark SMAC3 using Expected Improvement (EI) and Probability of Improvement (PI) as acquisition functions on the 24 BBOB functions of the COCO environment. We compare their results with those of schedules switching between AFs. One schedule aims to use EI's explorative behavior in the early optimization steps, and then switches to PI for a better exploitation in the final steps. We also compare this to a random schedule and round-robin selection of EI and PI. We observe that dynamic schedules oftentimes outperform any single static one. Our results suggest that a schedule that allocates the first 25 % of the optimization budget to EI and the last 75 % to PI is a reliable default. However, we also observe considerable performance differences for the 24 functions, suggesting that a per-instance allocation, possibly learned on the fly, could offer significant improvement over the state-of-the-art BO designs.

Carolin Benjamins, Anja Jankovic, Elena Raponi et al.

Bayesian optimization (BO) algorithms form a class of surrogate-based heuristics, aimed at efficiently computing high-quality solutions for numerical black-box optimization problems. The BO pipeline is highly modular, with different design choices for the initial sampling strategy, the surrogate model, the acquisition function (AF), the solver used to optimize the AF, etc. We demonstrate in this work that a dynamic selection of the AF can benefit the BO design. More precisely, we show that already a naïve random forest regression model, built on top of exploratory landscape analysis features that are computed from the initial design points, suffices to recommend AFs that outperform any static choice, when considering performance over the classic BBOB benchmark suite for derivative-free numerical optimization methods on the COCO platform. Our work hence paves a way towards AutoML-assisted, on-the-fly BO designs that adjust their behavior on a run-by-run basis.

Koen van der Blom, Diederick Vermetten

Per-instance algorithm selection (PIAS) takes advantage of complementarity between a set of algorithms by deciding which algorithm to run on a given instance. This decision is based on features of the instances, which, in the context of black-box optimization (BBO), require a part of the optimization budget to be computed. This raises two questions: (a) from which fraction of the budget spent on feature computation does PIAS become worth it for BBO, and (b) which fraction of the budget optimizes the tradeoff between feature accuracy and PIAS performance. To this end, we perform a broad study where PIAS with varying sampling budgets for feature computation is compared to the single best algorithm on a broad range of algorithm selection scenarios. These scenarios consist of two portfolio sizes, three problem sets, 4 dimensionalities, and 10 target budgets. We find that PIAS is viable for the majority of tested scenarios, even when as much as a quarter of the total budget is spent on feature computation. The tradeoff for the fraction of the budget spent on feature computation to maximize the benefit of PIAS is highly dependent on the specific AS scenario. Further, on average 20 percent of PIAS loss to the virtual best solver is explained by the budget spent on feature computation, highlighting the importance of properly accounting for the feature budget.

Alex Serban, Koen van der Blom, Holger Hoos et al.

Following the recent surge in adoption of machine learning (ML), the negative impact that improper use of ML can have on users and society is now also widely recognised. To address this issue, policy makers and other stakeholders, such as the European Commission or NIST, have proposed high-level guidelines aiming to promote trustworthy ML (i.e., lawful, ethical and robust). However, these guidelines do not specify actions to be taken by those involved in building ML systems. In this paper, we argue that guidelines related to the development of trustworthy ML can be translated to operational practices, and should become part of the ML development life cycle. Towards this goal, we ran a multi-vocal literature review, and mined operational practices from white and grey literature. Moreover, we launched a global survey to measure practice adoption and the effects of these practices. In total, we identified 14 new practices, and used them to complement an existing catalogue of ML engineering practices. Initial analysis of the survey results reveals that so far, practice adoption for trustworthy ML is relatively low. In particular, practices related to assuring security of ML components have very low adoption. Other practices enjoy slightly larger adoption, such as providing explanations to users. Our extended practice catalogue can be used by ML development teams to bridge the gap between high-level guidelines and actual development of trustworthy ML systems; it is open for review and contribution

Koen van der Blom, Timo M. Deist, Vanessa Volz et al.

Optimisation algorithms are commonly compared on benchmarks to get insight into performance differences. However, it is not clear how closely benchmarks match the properties of real-world problems because these properties are largely unknown. This work investigates the properties of real-world problems through a questionnaire to enable the design of future benchmark problems that more closely resemble those found in the real world. The results, while not representative as they are based on only 45 responses, indicate that many problems possess at least one of the following properties: they are constrained, deterministic, have only continuous variables, require substantial computation times for both the objectives and the constraints, or allow a limited number of evaluations. Properties like known optimal solutions and analytical gradients are rarely available, limiting the options in guiding the optimisation process. These are all important aspects to consider when designing realistic benchmark problems. At the same time, the design of realistic benchmarks is difficult, because objective functions are often reported to be black-box and many problem properties are unknown. To further improve the understanding of real-world problems, readers working on a real-world optimisation problem are encouraged to fill out the questionnaire: https://tinyurl.com/opt-survey

Alex Serban, Koen van der Blom, Holger Hoos et al.

The increasing reliance on applications with machine learning (ML) components calls for mature engineering techniques that ensure these are built in a robust and future-proof manner. We aim to empirically determine the state of the art in how teams develop, deploy and maintain software with ML components. We mined both academic and grey literature and identified 29 engineering best practices for ML applications. We conducted a survey among 313 practitioners to determine the degree of adoption for these practices and to validate their perceived effects. Using the survey responses, we quantified practice adoption, differentiated along demographic characteristics, such as geography or team size. We also tested correlations and investigated linear and non-linear relationships between practices and their perceived effect using various statistical models. Our findings indicate, for example, that larger teams tend to adopt more practices, and that traditional software engineering practices tend to have lower adoption than ML specific practices. Also, the statistical models can accurately predict perceived effects such as agility, software quality and traceability, from the degree of adoption for specific sets of practices. Combining practice adoption rates with practice importance, as revealed by statistical models, we identify practices that are important but have low adoption, as well as practices that are widely adopted but are less important for the effects we studied. Overall, our survey and the analysis of responses received provide a quantitative basis for assessment and step-wise improvement of practice adoption by ML teams.

Koen van der Blom, Timo M. Deist, Tea Tušar et al.

Benchmarks are a useful tool for empirical performance comparisons. However, one of the main shortcomings of existing benchmarks is that it remains largely unclear how they relate to real-world problems. What does an algorithm's performance on a benchmark say about its potential on a specific real-world problem? This work aims to identify properties of real-world problems through a questionnaire on real-world single-, multi-, and many-objective optimization problems. Based on initial responses, a few challenges that have to be considered in the design of realistic benchmarks can already be identified. A key point for future work is to gather more responses to the questionnaire to allow an analysis of common combinations of properties. In turn, such common combinations can then be included in improved benchmark suites. To gather more data, the reader is invited to participate in the questionnaire at: https://tinyurl.com/opt-survey