## Random Search for Optimal Parameters

Practices of manual search, grid search, or the combination of both have been successfully employed in the machine learning to optimize hyper-parameters. However, in the arena of deep learning, both approaches might become impractical. For instance, the computing cost of grid search for hyper-parameters in a multi-layer deep neural network (DNN) could be prohibitively high.

In light of aforementioned hurdles, Bergstra and Bengio proposed a novel idea of random search in the paper http://www.jmlr.org/papers/volume13/bergstra12a/bergstra12a.pdf. In their study, it was found that random search is more efficient than grid search for the hyper-parameter optimization in terms of computing costs.

In the example below, it is shown that both grid search and random search have reached similar results in the SVM parameter optimization based on cross-validations.

import pandas as pd import numpy as np from sklearn import preprocessing from sklearn.model_selection import GridSearchCV, RandomizedSearchCV from sklearn.svm import SVC as svc from sklearn.metrics import make_scorer, roc_auc_score from scipy import stats # DATA PREPARATION df = pd.read_csv("credit_count.txt") y = df[df.CARDHLDR == 1].DEFAULT.values x = preprocessing.scale(df[df.CARDHLDR == 1].ix[:, 2:12], axis = 0) # DEFINE MODEL AND PERFORMANCE MEASURE mdl = svc(probability = True, random_state = 1) auc = make_scorer(roc_auc_score) # GRID SEARCH FOR 20 COMBINATIONS OF PARAMETERS grid_list = {"C": np.arange(2, 10, 2), "gamma": np.arange(0.1, 1, 0.2)} grid_search = GridSearchCV(mdl, param_grid = grid_list, n_jobs = 4, cv = 3, scoring = auc) grid_search.fit(x, y) grid_search.cv_results_ # RANDOM SEARCH FOR 20 COMBINATIONS OF PARAMETERS rand_list = {"C": stats.uniform(2, 10), "gamma": stats.uniform(0.1, 1)} rand_search = RandomizedSearchCV(mdl, param_distributions = rand_list, n_iter = 20, n_jobs = 4, cv = 3, random_state = 2017, scoring = auc) rand_search.fit(x, y) rand_search.cv_results_