Add a new Tuner

Adding new Tuners

In this vignette, we show how to implement a custom tuner for mlr3tuning. The main task of a tuner is to iteratively propose new hyperparameter configurations that we want to evaluate for a given task, learner and validation strategy. The second task is to decide which configuration should be returned as a tuning result - usually it is the configuration that led to the best observed performance value. If you want to implement your own tuner, you have to implement an R6-Object that offers an .optimize method that implements the iterative proposal and you are free to implement .assign_result to differ from the before-mentioned default process of determining the result.

Before you start with the implementation make yourself familiar with the main R6-Objects in bbotk (Black-Box Optimization Toolkit). This package does not only provide basic black box optimization algorithms and but also the objects that represent the optimization problem (OptimInstance) and the log of all evaluated configurations (Archive). d There are two ways to implement a new tuner: a ) If your new tuner can be applied to any kind of optimization problem it should be implemented as a Optimizer. Any Optimizer can be easily transformed to a Tuner. b) If the new custom tuner is only usable for hyperparameter tuning, for example because it needs to access the task, learner or resampling objects it should be directly implemented in mlr3tuning as a Tuner.

Adding a new Tuner

This is a summary of steps for adding a new tuner. The fifth step is only required if the new tuner is added via bbotk.

1. Check the tuner does not already exist as a Optimizer or Tuner in the GitHub repositories.
2. Use one of the existing optimizers / tuners as a template.
3. Overwrite the .optimize private method of the optimizer / tuner.
4. Optionally, overwrite the default .assign_result private method.
5. Use the mlr3tuning::TunerBatchFromOptimizerBatch class to transform the Optimizer to a Tuner.
6. Add unit tests for the tuner and optionally for the optimizer.
7. Open a new pull request for the Tuner and optionally a second one for the `Optimizer.

Template

If the new custom tuner is implemented via bbotk, use one of the existing optimizer as a template e.g. bbotk::OptimizerRandomSearch. There are currently only two tuners that are not based on a Optimizer: mlr3hyperband::TunerHyperband and mlr3tuning::TunerIrace. Both are rather complex but you can still use the documentation and class structure as a template. The following steps are identical for optimizers and tuners.

Rewrite the meta information in the documentation and create a new class name. Scientific sources can be added in R/bibentries.R which are added under @source in the documentation. The example and dictionary sections of the documentation are auto-generated based on the @templateVar id <tuner_id>. Change the parameter set of the optimizer / tuner and document them under @section Parameters. Do not forget to change mlr_optimizers$add() / mlr_tuners$add() in the last line which adds the optimizer / tuner to the dictionary.

Optimize method

The $.optimize() private method is the main part of the tuner. It takes an instance, proposes new points and calls the $eval_batch() method of the instance to evaluate them. Here you can go two ways: Implement the iterative process yourself or call an external optimization function that resides in another package.

Writing a custom iteration

Usually, the proposal and evaluation is done in a repeat-loop which you have to implement. Please consider the following points:

• You can evaluate one or multiple points per iteration
• You don’t have to care about termination, as $eval_batch() won’t allow more evaluations then allowed by the bbotk::Terminator. This implies, that code after the repeat-loop will not be executed.
• You don’t have to care about keeping track of the evaluations as every evaluation is automatically stored in inst$archive.
• If you want to log additional information for each evaluation of the Objective in the Archive you can simply add columns to the data.table object that is passed to $eval_batch().

Calling an external optimization function

Optimization functions from external packages usually take an objective function as an argument. In this case, you can pass inst$objective_function which internally calls $eval_batch(). Check out OptimizerGenSA for an example.

Assign result method

The default $.assign_result() private method simply obtains the best performing result from the archive. The default method can be overwritten if the new tuner determines the result of the optimization in a different way. The new function must call the $assign_result() method of the instance to write the final result to the instance. See mlr3tuning::TunerIrace for an implementation of $.assign_result().

Transform optimizer to tuner

This step is only needed if you implement via bbotk. The mlr3tuning::TunerBatchFromOptimizerBatch class transforms a Optimizer to a Tuner. Just add the Optimizer to the optimizer field. See mlr3tuning::TunerRandomSearch for an example.

Add unit tests

The new custom tuner should be thoroughly tested with unit tests. Tuners can be tested with the test_tuner() helper function. If you added the Tuner via a Optimizer, you should additionally test the Optimizer with the test_optimizer() helper function.