Dynamic Multiobjective Hyperparameter Optimization

In order to produce better models it is useful to enforce multiple criteria. This effectively turns the hyperparameter optimization problem into a multiobjective one. However, it does not stop there, since data ponits are sampled incrementally (this is the case if they are expensive) it makes the hyperparameter optimization surface dynamic (see the previous posts for some movies). So one may ask, what happens to the Pareto front as more data becomes available. A little movie that illustrates this nicely is shown below.



The two criteria are the min/max 20% validation error and the custom smoothness measure we have developed.

--Dirk