How to add new Search Algorithm to Milano

One of the goals of Milano is to enable Auto-ML and Meta-learning researchers to test their algorithms.

We provide an abstract class Milano.search_algorithms.base.SearchAlgorithm which integrates meta-learning algorithms into Milano infrastructure.

To add your own meta-learning algorithm to Milano you need:

• In the implementation of your algorithm, inherit from Milano.search_algorithms.base.SearchAlgorithm
• Put your algorithm under Milano.search_algorithms
• In your tuning config, specify your algorithm.

Here is an example on how to integrate GPSearch algorithm from spearmint into Milano.

WARNING: The steps below will bring GPL_v3 dependencies into the code.

• The code under Milano/search_algorithms/gp/spearmint is from spearmint’s original repo. It was edited to work with Python 3.x
• The Milano/search_algorithms/gp/gp_search.py file contains a GPSearch class which inherits from Milano.search_algorithms.base.SearchAlgorithm and calls spearmint’s code from it’s functions. It supports the following parameters:
  • chooser: a spearmint chooser class. For the full list of available choosers, see Milano/search_algorithms/gp/spearmint. The original spearmint repository has some advices on when to use which chooser.
  • chooser_params: a dictionary with chooser parameters. All of the choosers accept covar parameter which specifies which covariance function to use for the underlying Gaussian process. See Milano/search_algorithms/gp/spearmint/gp.py for the list of all available covariance functions. Additionally all choosers accept mcmc_iters parameter (number of MCMC iterations to run) and noiseless parameter (True of False, whether your function is evaluated exactly or we are only given a noisy estimate of the true function being optimized).
  • num_init_jobs: number of jobs to generate initially. In almost all cases you should set it equal to the number of workers used in backend.
  • num_jobs_to_launch_each_time: number of jobs to launch after each function evaluation is available. In most cases you should simply set it to $1$.
  • grid_size: grid size to sample the parameter space from. Increasing grid size should generally increase your model capacity and give better results, but it will also make each next point generation more time consuming.
  • smooth_inf_to: number to use instead of np.inf which is returned when constraints are violated. Set it to np.inf for GPConstrainedEIChooser, since it can natively handle infinities and set it to some big number for other choosers so that they will not “want” to sample the constraint-violated points again.

Run simple example

• Examine Milano/search_algorithms/gp folder. It already contains the wrapper gp_search.py and all the necessary code from the he original spearmint repository under Milano/search_algorithms/gp/spearmint.
• Modify language model tuning example so that it uses this algorithm:
  • Add this line on top of the config file: from Milano.search_algorithms import GPSearch
  • Change search_algorithm = RandomSearch to search_algorithm = GPSearch
  • Add "num_init_jobs": X, where X is number of workers in your Azkaban config or equal to "num_workers": value in your backend_params if you are using AWS or SLURM.