Online Hyperparameter Search Interleaved with Proximal Parameter Updates
Online Hyperparameter Search Interleaved with Proximal Parameter Updates
There is a clear need for efficient hyperparameter optimization (HO) algorithms for statistical learning, since commonly applied search methods (such as grid search with N-fold cross-validation) are inefficient and/or approximate. Previously existing gradient-based HO algorithms that rely on the smoothness of the cost function cannot be applied in problems such …