PARAMETER TUNING BY SIMPLE REGRET ALGORITHMS AND MULTIPLE SIMULTANEOUS HYPOTHESIS TESTING

Amine Bourki, Matthieu Coulm, Philippe Rolet, Olivier Teytaud, Paul Vayssière

2010

Abstract

“Simple regret” algorithms are designed for noisy optimization in unstructured domains. In particular, this literature has shown that the uniform algorithm is indeed optimal asymptotically and suboptimal nonasymptotically. We investigate theoretically and experimentally the application of these algorithms, for automatic parameter tuning, in particular from the point of view of the number of samples required for “uniform” to be relevant and from the point of view of statistical guarantees. We see that for moderate numbers of arms, the possible improvement in terms of computational power required for statistical validation can’t be more than linear as a function of the number of arms and provide a simple rule to check if the simple uniform algorithm (trivially parallel) is relevant. Our experiments are performed on the tuning of a Monte-Carlo Tree Search algorithm, a great recent tool for high-dimensional planning with particularly impressive results for difficult games and in particular the game of Go.

Paper Citation

in Harvard Style

Bourki A., Coulm M., Rolet P., Teytaud O. and Vayssière P. (2010). PARAMETER TUNING BY SIMPLE REGRET ALGORITHMS AND MULTIPLE SIMULTANEOUS HYPOTHESIS TESTING . In Proceedings of the 7th International Conference on Informatics in Control, Automation and Robotics - Volume 1: ICINCO, ISBN 978-989-8425-00-3, pages 169-173. DOI: 10.5220/0002949901690173

in Bibtex Style

@conference{icinco10,
author={Amine Bourki and Matthieu Coulm and Philippe Rolet and Olivier Teytaud and Paul Vayssière},
title={PARAMETER TUNING BY SIMPLE REGRET ALGORITHMS AND MULTIPLE SIMULTANEOUS HYPOTHESIS TESTING},
booktitle={Proceedings of the 7th International Conference on Informatics in Control, Automation and Robotics - Volume 1: ICINCO,},
year={2010},
pages={169-173},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0002949901690173},
isbn={978-989-8425-00-3},
}

in EndNote Style

TY - CONF
JO - Proceedings of the 7th International Conference on Informatics in Control, Automation and Robotics - Volume 1: ICINCO,
TI - PARAMETER TUNING BY SIMPLE REGRET ALGORITHMS AND MULTIPLE SIMULTANEOUS HYPOTHESIS TESTING
SN - 978-989-8425-00-3
AU - Bourki A.
AU - Coulm M.
AU - Rolet P.
AU - Teytaud O.
AU - Vayssière P.
PY - 2010
SP - 169
EP - 173
DO - 10.5220/0002949901690173