SigOpt for Machine Learning and AI

AMPLIFY YOUR
ML / AI MODELS
Hello, my name is Scott Clark, co-founder and CEO of SigOpt.
In this video I’m going to show you how SigOpt can help you amplify your machine
learning and AI models by optimally tuning them using our black-box optimization
platform.
For more information please visit https://sigopt.com.
© 2017 SigOpt, Inc https://sigopt.com

SigOpt optimizes...
● Machine Learning
● AI / Deep Learning
● Risk / Fraud Models
● Backtests / Simulations
Resulting in...
● Better Results
● Faster Development
● Cheaper, Faster
Tuning
OPTIMIZATION AS A SERVICE
The SigOpt platform provides an ensemble of state-of-the-art Bayesian and Global
optimization algorithms via a simple Software-as-a-Service API.
SigOpt optimizes machine learning models like random forests, support vector
machines, and gradient boosted methods as well as more sophisticated techniques
like a deep learning pipelines, proprietary risk and fraud models, or even a complex
backtesting and simulation pipeline. This enables data scientists and machine
learning engineers to build better models with less trial and error by efficiently
optimizing the tunable parameters of these models.
This results in captured performance that may otherwise be left on the table by
conventional techniques while also reducing the time and cost for developing and
optimizing new models.

Photo: Joe Ross
Every complex system has tunable parameters.
A car has parameters like the gear ratio or fuel injection ratio that affect output
like top speed.

TUNABLE PARAMETERS IN DEEP LEARNING
A machine learning or AI model has tunable hyperparameters that affect
performance. This can be as simple as the number of trees in a random forest or the
kernel of a Support Vector Machine, or as complex as the learning rate in a gradient
boosted or deep learning method.
In this simple TensorFlow example, we have constructed a 4 layer network to perform
2D, binary classification. We are attempting to learn a surface that can differentiate
blue and orange dots as seen in the figure to the right. Even this simple task and
small network has 22 tunable hyperparameters including traditional hyperparameters
like learning rate and activation function, as well as regularization and architecture
parameters, and feature transformation parameters. By tuning the parameters of this
pipeline in unison we can achieve much better results than tuning them
independently.
This extends to other AI and machine learning pipelines as well, which may
incorporate many unsupervised and supervised learning techniques with tunable
parameters.

STANDARD TUNING METHODS
Parameter
Configuration
?
Grid Search Random Search
Manual Search
- Weights
- Thresholds
- Window sizes
- Transformations
ML / AI
Model
Testing
Data
Cross
Validation
Training
Data
Domain expertise is incredibly important when developing new machine learning
pipelines, which often undergo rigorous validation before being deployed into
production.
Often the modeler needs to tune the hyperparameters and feature transformation
parameters within their pipeline to optimize a performance metric and maximize the
business value of the model. This involves finding the best parameter and
hyperparameter configurations for all the various knobs and levers within the system
and can have an significant impact on the end results.
Traditionally this is a very time-consuming and expensive, trial and error based
process that relies on methods like grid, random, local, or an expert-intensive manual
search.

OPTIMIZATION FEEDBACK LOOP
Objective Metric
Better
Results
REST API
New configurations
ML / AI
Model
Testing
Data
Cross
Validation
Training
Data
SigOpt uses a proven, peer-reviewed ensemble of Bayesian and Global Optimization
algorithms to efficiently tune these models
First, SigOpt suggests parameter configurations to evaluate, which are then evaluated
using a method like cross validation where an objective metric like an AUC or F-1
score is computed. This process is repeated, either in parallel or serially.
SigOpt’s ensemble of optimization methods leverages the historical performance of
previous configurations to optimally suggest new parameter configurations to
evaluate. By efficiently trading off exploration (learning more information about the
underlying parameters and response surface) and exploitation (leveraging that
information to optimize the output metric), SigOpt is able to find better configurations
exponentially faster than standard methods like an exhaustive or grid search.
All of this is accomplished by bolting our easy-to-integrate REST API onto your
existing models and infrastructure.
SigOpt’s black-box optimization algorithms require only high-level information about
the parameters being tuned and how they performed, meaning sensitive information
about your data and model stays private and secure. Additionally, the benefits
captured by better tuning are additive with the work you’ve already done on the model
and data itself.

USE CASE: DEFAULT CLASSIFICATION
ML / AI
Model
(xgboost)
Testing
Loan Data
Cross
Validation
Accuracy (AUC ROC)
Better
Results
REST API
Hyperparameter
Configurations
Training
Loan Data
In this specific example, we’ll compare the relative tradeoffs of different tuning
strategies in a loan default classification pipeline using xgboost, a popular gradient
boosting library, and the open lending club dataset.
We’ll tune the various hyperparameters of xgboost and optimize the accuracy metric
of AUC ROC.

COMPARATIVE PERFORMANCE
Accuracy
Grid Search
Random Search
AUC
.698
.690
.683
.675
$1,000
100 hrs
$10,000
1,000 hrs
$100,000
10,000 hrs
Cost
● Better: 22% fewer
bad loans vs
baseline
● Faster/Cheaper:
100x less time and
AWS cost than
standard tuning
methods
xgboost
extended example
SigOpt was able to efficiently tune the pipeline, beating the standard methods of
exhaustive grid search and a randomized search in both AUC and the cost to achieve
that AUC.
SigOpt found a model that had a 22% relative improvement in the metric when
compared to the default xgboost hyperparameters, while also requiring 100x fewer
evaluations than the standard grid search approach.
Extended xgboost example
- Blog:
http://blog.sigopt.com/post/140871698423/sigopt-for-ml-unsupervised-learning
-with-even
- Code:
https://github.com/sigopt/sigopt-examples/tree/master/unsupervised-model

USE CASE: COMPUTER VISION
ML / AI
Model
(Tensorflow)
Testing
Images
Cross
Validation
Accuracy
Better
Results
REST API
Hyperparameter
Configurations
and
Feature
Transformations
Training
Images
Because SigOpt is a black-box optimization platform it is agnostic to the underlying
model being tuned and can be readily used to tune any Machine Learning or AI
pipeline.
All SigOpt requires is continuous, integer, or categorical parameters to tune, whether
they are hyperparameters of a machine learning model or feature transformation
parameters of an NLP or computer vision model as well as a performance metric to
optimize.
SigOpt makes no assumptions about the underlying parameters or metric. It can even
be a composite of many underlying metrics and does not need to be convex,
continuous, differentiable, or even defined for all configurations.
In this specific example, we’ll compare the relative tradeoffs of different tuning
strategies in a computer vision classification pipeline using Google’s tensorflow on the
SVHN image dataset. We’ll tune the various hyperparameters of tensorflow, as well
as feature transformation parameters related to the images themselves, to optimize
the accuracy of the classifier.

● Better: 315%
better accuracy
than baseline
● Faster/Cheaper:
88% cheaper than
standard tuning
methods
Cost
(1 production model, 50 GPU cluster)
No Tuning
Random Search
Accuracy
CVAcc
0.75
0.5
0.25
0
$5,000$7,500$10,000
1.0
$2,500 $0
Tensorflow CNN Example
Neon DNN Examples
SigOpt beat the default hyperparameter configuration as well as the standard
randomized search method in both accuracy and the cost to achieve that accuracy,
by requiring fewer evaluations to reach the optimal configuration on a GPU cluster.
SigOpt found a model that had a 315% relative improvement in the metric when
compared to the default tensorflow parameters, while also requiring 88% fewer
evaluations than the standard random search approach.
Extended Tensorflow example
- Blog:
http://blog.sigopt.com/post/141501625253/sigopt-for-ml-tensorflow-convnets-o
n-a-budget
- Code: https://github.com/sigopt/sigopt-examples/tree/master/tensorflow-cnn
Extended Neon DNN examples
- Blog:
http://blog.sigopt.com/post/146208659358/much-deeper-much-faster-deep-ne
ural-network
- Code:
https://github.com/sigopt/sigopt-examples/tree/master/dnn-tuning-nervana

● Better Results, Faster and Cheaper
Quickly get the most out of your models with our proven, peer-reviewed
ensemble of Bayesian and Global Optimization Methods
○ A Stratified Analysis of Bayesian Optimization Methods (ICML 2016)
○ Evaluation System for a Bayesian Optimization Service (ICML 2016)
○ Interactive Preference Learning of Utility Functions for Multi-Objective Optimization (NIPS 2016)
○ And more...
● Fully Featured
Tune any model in any pipeline
○ Scales to 100 continuous, integer, and categorical parameters and many thousands of evaluations
○ Parallel tuning support across any number of models
○ Simple integrations with many languages and libraries
○ Powerful dashboards for introspecting your models and optimization
○ Advanced features like multi-objective optimization, failure region support, and more
● Secure Black Box Optimization
Your data and models never leave your system
SigOpt provides best-in-class performance. We’ve successfully deployed our solution
at firms worldwide and rigorously compare our methods to standard and open source
alternatives at the top machine learning conferences.
Our platform scales to any problem and provides features like native parallelism,
multi-objective optimization, and more.
Additionally, our black box optimization approach means that your proprietary data
and models never leave your system, allowing you to leverage these powerful
techniques on top of the infrastructure and tools you’ve already built.
Links:
○ A Stratified Analysis of Bayesian Optimization Methods (ICML 2016)
■ https://arxiv.org/pdf/1603.09441v1.pdf
○ Evaluation System for a Bayesian Optimization Service (ICML 2016)
■ https://arxiv.org/abs/1605.06170
○ Interactive Preference Learning of Utility Functions for Multi-Objective
Optimization (NIPS 2016)
■ https://arxiv.org/abs/1612.04453
○ And more…
■ https://sigopt.com/research

SIMPLIFIED OPTIMIZATION
Client Libraries
● Python
● Java
● R
● Matlab
● And more...
Framework Integrations
● TensorFlow
● Scikit-learn
● xgboost
● Keras
● Neon
● And more...
Live Demo
The SigOpt optimization platform integrates with any technology stack and the
intuitive dashboards shine a light on the otherwise opaque world of parameter tuning.
Just plug our API in, tune your models, and your whole team benefits from the history,
transparency, and analysis in the platform.
Documentation: https://sigopt.com/docs
Integrations: https://github.com/sigopt
Live Demo: https://sigopt.com/getstarted

DISTRIBUTED TRAINING
● SigOpt serves as a distributed
scheduler for training models
across workers
● Workers access the SigOpt API
for the latest parameters to
try for each model
● Enables easy distributed
training of non-distributed
algorithms across any number
of models
SigOpt also allows you to tune any algorithm in parallel by acting as a distributed
scheduler for parameter tuning.
This allows you to tune traditionally serial models in parallel, and achieve better
results faster than otherwise possible, while also scaling across any number of
independent models.
More info: https://sigopt.com/docs/overview/parallel

SIGOPT CUSTOMERS
SigOpt has successfully engaged
with globally recognized leaders
in insurance, credit card,
algorithmic trading and
consumer packaged goods
industries. Use cases include:
● Trading Strategies
● Complex Models
● Simulations / Backtests
● Machine Learning and AI
Select Customers
SigOpt has been deployed successfully at some of the largest and most sophisticated
firms and universities in the world
We’ve helped tune everything from algorithmic trading strategies to machine learning
and AI pipelines and beyond.

Contact us to set up an evaluation today
evaluation@sigopt.com
Contact us to set up an evaluation and unleash the power of Bayesian and Global
Optimization on your models today.

SigOpt for Machine Learning and AI

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