mlrMBO

mlrMBO: A Modular Framework for Model-Based Optimization of Expensive Black-Box Functions. We present mlrMBO, a flexible and comprehensive R toolbox for model-based optimization (MBO), also known as Bayesian optimization, which addresses the problem of expensive black-box optimization by approximating the given objective function through a surrogate regression model. It is designed for both single- and multi-objective optimization with mixed continuous, categorical and conditional parameters. Additional features include multi-point batch proposal, parallelization, visualization, logging and error-handling. mlrMBO is implemented in a modular fashion, such that single components can be easily replaced or adapted by the user for specific use cases, e.g., any regression learner from the mlr toolbox for machine learning can be used, and infill criteria and infill optimizers are easily exchangeable. We empirically demonstrate that mlrMBO provides state-of-the-art performance by comparing it on different benchmark scenarios against a wide range of other optimizers, including DiceOptim, rBayesianOptimization, SPOT, SMAC, Spearmint, and Hyperopt.


References in zbMATH (referenced in 9 articles )

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  1. Ellenbach, Nicole; Boulesteix, Anne-Laure; Bischl, Bernd; Unger, Kristian; Hornung, Roman: Improved outcome prediction across data sources through robust parameter tuning (2021)
  2. Jakob A. Dambon, Fabio Sigrist, Reinhard Furrer: varycoef: An R Package for Gaussian Process-based Spatially Varying Coefficient Models (2021) arXiv
  3. Krleža, Dalibor; Vrdoljak, Boris; Brčić, Mario: Statistical hierarchical clustering algorithm for outlier detection in evolving data streams (2021)
  4. Shi, Junjie; Bian, Jiang; Richter, Jakob; Chen, Kuan-Hsun; Rahnenführer, Jörg; Xiong, Haoyi; Chen, Jian-Jia: MODES: model-based optimization on distributed embedded systems (2021)
  5. Casalicchio, Giuseppe; Bossek, Jakob; Lang, Michel; Kirchhoff, Dominik; Kerschke, Pascal; Hofner, Benjamin; Seibold, Heidi; Vanschoren, Joaquin; Bischl, Bernd: \textttOpenML: an \textttRpackage to connect to the machine learning platform openml (2019)
  6. Mateusz Staniak, Przemyslaw Biecek: The Landscape of R Packages for Automated Exploratory Data Analysis (2019) arXiv
  7. Probst, Philipp; Boulesteix, Anne-Laure; Bischl, Bernd: Tunability: importance of hyperparameters of machine learning algorithms (2019)
  8. Bernd Bischl, Jakob Richter, Jakob Bossek, Daniel Horn, Janek Thomas, Michel Lang: mlrMBO: A Modular Framework for Model-Based Optimization of Expensive Black-Box Functions (2017) arXiv
  9. Steponavičė, Ingrida; Shirazi-Manesh, Mojdeh; Hyndman, Rob J.; Smith-Miles, Kate; Villanova, Laura: On sampling methods for costly multi-objective black-box optimization (2016)