A Modified Bayesian Optimization based Hyper-Parameter Tuning Approach for Extreme Gradient Boosting
This work addresses hyper-parameter optimization for machine learning practitioners, but it is incremental as it modifies an existing Bayesian optimization approach.
The paper tackles hyper-parameter tuning for XGBoost by proposing a new method called Randomized-Hyperopt, which outperforms conventional methods like Grid Search, Random Search, and Hyperopt in terms of prediction accuracy and execution time across ten datasets.
It is already reported in the literature that the performance of a machine learning algorithm is greatly impacted by performing proper Hyper-Parameter optimization. One of the ways to perform Hyper-Parameter optimization is by manual search but that is time consuming. Some of the common approaches for performing Hyper-Parameter optimization are Grid search Random search and Bayesian optimization using Hyperopt. In this paper, we propose a brand new approach for hyperparameter improvement i.e. Randomized-Hyperopt and then tune the hyperparameters of the XGBoost i.e. the Extreme Gradient Boosting algorithm on ten datasets by applying Random search, Randomized-Hyperopt, Hyperopt and Grid Search. The performances of each of these four techniques were compared by taking both the prediction accuracy and the execution time into consideration. We find that the Randomized-Hyperopt performs better than the other three conventional methods for hyper-paramter optimization of XGBoost.