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Optimization, in its most general form, is the process of locating
a point that minimizes a real-valued function called the *objective
function*. Bayesian optimization is the name of one such
process. Bayesian optimization internally maintains a Gaussian process
model of the objective function, and uses objective function evaluations
to train the model. One innovation in Bayesian optimization is the
use of an *acquisition function*, which the algorithm
uses to determine the next point to evaluate. The acquisition function
can balance sampling at points that have low modeled objective functions,
and exploring areas that have not yet been modeled well. For details,
see Bayesian Optimization Algorithm.

Bayesian optimization is part of Statistics and Machine Learning Toolbox™ because
it is well-suited to optimizing *hyperparameters* of
classification and regression algorithms. A hyperparameter is an internal
parameter of a classifier or regression function, such as the box
constraint of a support vector machine, or the learning rate of a
robust classification ensemble. These parameters can strongly affect
the performance of a classifier or regressor, and yet it is typically
difficult or time-consuming to optimize them. See Bayesian Optimization Characteristics.

Typically, optimizing the hyperparameters means that you try to minimize the cross-validation loss of a classifier or regression.

You can perform a Bayesian optimization in two distinct ways:

Fit function — Include the

`OptimizeHyperparameters`

name-value pair in many fitting functions to have Bayesian optimization apply automatically. The optimization minimizes cross-validation loss. This way gives you fewer tuning options, but enables you to perform Bayesian optimization most easily. See Bayesian Optimization Using a Fit Function.`bayesopt`

— Exert the most control over your optimization by calling`bayesopt`

directly. This way requires you to write an objective function, which does not have to represent cross-validation loss. See Bayesian Optimization Using bayesopt.

To minimize the error in a cross-validated response via Bayesian optimization, follow these steps.

Choose your classification or regression solver among

`fitcdiscr`

,`fitcecoc`

,`fitcensemble`

,`fitckernel`

,`fitcknn`

,`fitclinear`

,`fitcnb`

,`fitcsvm`

,`fitctree`

,`fitrensemble`

,`fitrgp`

,`fitrkernel`

,`fitrlinear`

,`fitrsvm`

, or`fitrtree`

.Decide on the hyperparameters to optimize, and pass them in the

`OptimizeHyperparameters`

name-value pair. For each fit function, you can choose from a set of hyperparameters. See Eligible Hyperparameters for Fit Functions, or use the`hyperparameters`

function, or consult the fit function reference page.You can pass a cell array of parameter names. You can also set

`'auto'`

as the`OptimizeHyperparameters`

value, which chooses a typical set of hyperparameters to optimize, or`'all'`

to optimize all available parameters.For ensemble fit functions

`fitcecoc`

,`fitcensemble`

, and`fitrensemble`

, also include parameters of the weak learners in the`OptimizeHyperparameters`

cell array.Optionally, create an options structure for the

`HyperparameterOptimizationOptions`

name-value pair. See Hyperparameter Optimization Options for Fit Functions.Call the fit function with the appropriate name-value pairs.

For examples, see Optimize an SVM Classifier Fit Using Bayesian Optimization and Optimize a Boosted Regression Ensemble. Also, every fit function reference page contains a Bayesian optimization example.

`bayesopt`

To perform a Bayesian optimization using `bayesopt`

,
follow these steps.

Prepare your variables. See Variables for a Bayesian Optimization.

Create your objective function. See Bayesian Optimization Objective Functions. If necessary, create constraints, too. See Constraints in Bayesian Optimization.

Decide on options, meaning the

`bayseopt`

`Name,Value`

pairs. You are not required to pass any options to`bayesopt`

but you typically do, especially when trying to improve a solution.Call

`bayesopt`

.Examine the solution. You can decide to resume the optimization by using

`resume`

, or restart the optimization, usually with modified options.

For an example, see Optimize a Cross-Validated SVM Classifier Using bayesopt.

Bayesian optimization algorithms are best suited to these problem types.

Characteristic | Details |
---|---|

Low dimension | Bayesian optimization works best in a low number of dimensions, typically 10 or fewer. While Bayesian optimization can solve some problems with a few dozen variables, it is not recommended for dimensions higher than about 50. |

Expensive objective | Bayesian optimization is designed for objective functions that are slow to evaluate. It has considerable overhead, typically several seconds for each iteration. |

Low accuracy | Bayesian optimization does not necessarily give very
accurate results. If you have a deterministic objective function,
you can sometimes improve the accuracy by starting a standard optimization
algorithm from the |

Global solution | Bayesian optimization is a global technique. Unlike many other algorithms, to search for a global solution you do not have to start the algorithm from various initial points. |

Hyperparameters | Bayesian optimization is well-suited to optimizing |

**Eligible Hyperparameters for Fit Functions**

When optimizing using a fit function, you have these options available in the
`HyperparameterOptimizationOptions`

name-value pair. Give the
value as a structure. All fields in the structure are optional.

Field Name | Values | Default |
---|---|---|

`Optimizer` | `'bayesopt'` — Use Bayesian optimization. Internally, this setting calls`bayesopt` .`'gridsearch'` — Use grid search with`NumGridDivisions` values per dimension.`'randomsearch'` — Search at random among`MaxObjectiveEvaluations` points.
| `'bayesopt'` |

`AcquisitionFunctionName` |
`'expected-improvement-per-second-plus'` `'expected-improvement'` `'expected-improvement-plus'` `'expected-improvement-per-second'` `'lower-confidence-bound'` `'probability-of-improvement'`
Acquisition functions whose names include
| `'expected-improvement-per-second-plus'` |

`MaxObjectiveEvaluations` | Maximum number of objective function evaluations. | `30` for `'bayesopt'` or `'randomsearch'` , and the entire grid for `'gridsearch'` |

`MaxTime` | Time limit, specified as a positive real. The time limit is in seconds, as measured by | `Inf` |

`NumGridDivisions` | For `'gridsearch'` , the number of values in each dimension. The value can be
a vector of positive integers giving the number of
values for each dimension, or a scalar that
applies to all dimensions. This field is ignored
for categorical variables. | `10` |

`ShowPlots` | Logical value indicating whether to show plots. If `true` , this field plots
the best objective function value against the
iteration number. If there are one or two
optimization parameters, and if
`Optimizer` is
`'bayesopt'` , then
`ShowPlots` also plots a model of
the objective function against the
parameters. | `true` |

`SaveIntermediateResults` | Logical value indicating whether to save results when `Optimizer` is
`'bayesopt'` . If
`true` , this field overwrites a
workspace variable named
`'BayesoptResults'` at each
iteration. The variable is a `BayesianOptimization` object. | `false` |

`Verbose` | Display to the command line. `0` — No iterative display`1` — Iterative display`2` — Iterative display with extra information
For details, see the
| `1` |

`UseParallel` | Logical value indicating whether to run Bayesian optimization in parallel, which requires Parallel Computing Toolbox™. For details, see Parallel Bayesian Optimization. | `false` |

`Repartition` | Logical value indicating whether to repartition the cross-validation at every iteration. If
| `false` |

Use no more than one of the following three field names. | ||

`CVPartition` | A `cvpartition` object, as created by `cvpartition` . | `'Kfold',5` if you do not specify any cross-validation
field |

`Holdout` | A scalar in the range `(0,1)` representing the holdout fraction. | |

`Kfold` | An integer greater than 1. |