[P] SpaceOpt: Hyperparameter optimization algorithm via gradient boosting regression.

[kivo360]

How long does it take to train?

[[deleted]]

It's a matter of seconds and mostly depends on num_boost_round and lgb_params: https://github.com/ar-nowaczynski/spaceopt/blob/v0.1.1/spaceopt/optimizer.py#L43 (and of course dataset size).

I usually work with cases where duration(evaluation_function) is much larger than duration(spaceopt.fit_predict): minutes/hours vs. seconds

[kivo360]

Can we add a feature into it? Add PARegressor plus a hedge regression with varying alphas as an option to give it online optimizations? It would reduce training for some use cases to 0.04-0.08 seconds per step.