Sequential vs. Integrated Algorithm Selection and Configuration: A Case Study for the Modular CMA-ES

TL;DR

This paper compares sequential and integrated algorithm selection and configuration methods for optimizing 4608 CMA-ES variants on the BBOB benchmark, showing integrated approaches are more efficient and effective.

Contribution

It demonstrates the advantages of integrated algorithm selection and hyperparameter tuning over sequential methods for CMA-ES variants, using novel comparison techniques.

Findings

Integrated approach yields competitive results with less computational cost.

Hyperparameter quality significantly influences CMA-ES variant rankings.

Both irace and MIP-EGO perform similarly despite different exploration strategies.

Abstract

When faced with a specific optimization problem, choosing which algorithm to use is always a tough task. Not only is there a vast variety of algorithms to select from, but these algorithms often are controlled by many hyperparameters, which need to be tuned in order to achieve the best performance possible. Usually, this problem is separated into two parts: algorithm selection and algorithm configuration. With the significant advances made in Machine Learning, however, these problems can be integrated into a combined algorithm selection and hyperparameter optimization task, commonly known as the CASH problem. In this work we compare sequential and integrated algorithm selection and configuration approaches for the case of selecting and tuning the best out of 4608 variants of the Covariance Matrix Adaptation Evolution Strategy (CMA-ES) tested on the Black Box Optimization Benchmark (BBOB) suite. We first show that the ranking of the modular CMA-ES variants depends to a large extent on the quality of the hyperparameters. This implies that even a sequential approach based on complete enumeration of the algorithm space will likely result in sub-optimal solutions. In fact, we show that the integrated approach manages to provide competitive results at a much smaller computational cost. We also compare two different mixed-integer algorithm configuration techniques, called irace and Mixed-Integer Parallel Efficient Global Optimization (MIP-EGO). While we show that the two methods differ significantly in their treatment of the exploration-exploitation balance, their overall performances are very similar.