A Meta-Level Learning Algorithm for Sequential Hyper-Parameter Space Reduction in AutoML

Abstract: AutoML platforms have numerous options for the algorithms to try for each step of the analysis, i.e., different possible algorithms for imputation, transformations, feature selection, and modelling. Finding the optimal combination of algorithms and hyper-parameter values is computationally expensive, as the number of combinations to explore leads to an exponential explosion of the space. In this paper, we present the Sequential Hyper-parameter Space Reduction (SHSR) algorithm that reduces the space for an AutoML tool with negligible drop in its predictive performance. SHSR is a meta-level learning algorithm that analyzes past runs of an AutoML tool on several datasets and learns which hyper-parameter values to filter out from consideration on a new dataset to analyze. SHSR is evaluated on 284 classification and 375 regression problems, showing an approximate 30% reduction in execution time with a performance drop of less than 0.1%.