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NeurIPS 2020 Optimization Competition

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Re: NeurIPS 2020 Optimization Competition

#11
post #5
post #4

NeurIPS, 2020: "We need more sample-efficient algorithms for finding better hyperparameters that specify how to train computationaly expensive deep learning models." Rich Sutton, 2019: "The biggest lesson that can be read from 70 years of AI research is that general methods that leverage computation are ultimately the most effective, and by a large margin." ( https://news.ycombinator.com/item?id=23781400 ) I wonder i…

It certainly does look that way for certain classes of problems, as witnessed by the evolution of GPT language models, where the model gets better through sheer use of compute resources. For many combinatorial problems however, improvements in algorithms can often produce bigger strides than just throwing brute force compute at the problem. Take Mixed Integer Programs (MIPs) -- roughly the optimization-equivalent of…

> 17,120x was due to machine improvements (single core). 147,650x was due to algorithmic improvements.

That is just... insane. I knew only vaguely that performance had improved significantly for many NP-hard/complete problems in practice, but I did not realize the magnitude of improvement, especially due to better algorithms.

> The biggest improvements in MIP algorithm performance have been due to improvements in solver heuristics (!), because the fastest computations are those that don't have to be performed at all -- i.e. that are eliminated via heuristics.

That is also... remarkable. Thank you for sharing.

I can't help but agree with you :-)

EDIT: Given that most of the "algorithmic" improvements have been due to better solver heuristics, I imagine it should be possible to train meta DL/RL models that learn how to find good heuristics for training DL models with high sample efficiency. Come to think of it, this competition seems to be asking precisely for such "black-box heuristic-guessing" models, so clearly there are people working on it.

Re: NeurIPS 2020 Optimization Competition

#12
post #5
post #4

NeurIPS, 2020: "We need more sample-efficient algorithms for finding better hyperparameters that specify how to train computationaly expensive deep learning models." Rich Sutton, 2019: "The biggest lesson that can be read from 70 years of AI research is that general methods that leverage computation are ultimately the most effective, and by a large margin." ( https://news.ycombinator.com/item?id=23781400 ) I wonder i…

It certainly does look that way for certain classes of problems, as witnessed by the evolution of GPT language models, where the model gets better through sheer use of compute resources. For many combinatorial problems however, improvements in algorithms can often produce bigger strides than just throwing brute force compute at the problem. Take Mixed Integer Programs (MIPs) -- roughly the optimization-equivalent of…

Great example of the fact that different circumstances require different approaches, and the fact that brute force is increasingly impractical for combinatorially complex problems. Thanks for this reference.

Re: NeurIPS 2020 Optimization Competition

#13
post #11
post #5

Earlier quoted context omitted.

It certainly does look that way for certain classes of problems, as witnessed by the evolution of GPT language models, where the model gets better through sheer use of compute resources. For many combinatorial problems however, improvements in algorithms can often produce bigger strides than just throwing brute force compute at the problem. Take Mixed Integer Programs (MIPs) -- roughly the optimization-equivalent of…

> 17,120x was due to machine improvements (single core). 147,650x was due to algorithmic improvements. That is just... insane. I knew only vaguely that performance had improved significantly for many NP-hard/complete problems in practice, but I did not realize the magnitude of improvement, especially due to better algorithms. > The biggest improvements in MIP algorithm performance have been due to improvements in sol…

Yes, when Bill Bixby (founder of CPLEX and Gurobi, companies that made and still make the fastest MIP solvers in the world) revealed similar numbers a few years ago, many of us practitioners were astounded too.

But those improvements were also a product of lots of smart people funded by cash-rich industries (i.e. oil & gas, airlines... MIPs are big bucks commercially. I recall at one point a commercial CPLEX license was $100k list) poking at the problem for over 30 years. Many Ph.D.s in operations research and mathematical optimization were generated on this topic alone.

Re: NeurIPS 2020 Optimization Competition

#14
post #7
post #4

NeurIPS, 2020: "We need more sample-efficient algorithms for finding better hyperparameters that specify how to train computationaly expensive deep learning models." Rich Sutton, 2019: "The biggest lesson that can be read from 70 years of AI research is that general methods that leverage computation are ultimately the most effective, and by a large margin." ( https://news.ycombinator.com/item?id=23781400 ) I wonder i…

A very reasonable point and, certainly, the direction that parts of the computational community have embraced over the years. I will use integration as an example: classic computational methods were focused on trying to make strong assumptions about the integrand and significantly reduce the number of integrand evaluations (Gauss quadrature is the main thing that comes to mind). As computation became more accessible/…

Yes. Upon further reflection, this competition actually looks like another step in that direction (see this thread: https://news.ycombinator.com/item?id=23784239).

Otherwise I agree, Gaussian Processes are nice and friendly, and work quite well for low-dimensional search (e.g., from a few to hundreds of hyperparameters) under very natural, general assumptions :-)

Re: NeurIPS 2020 Optimization Competition

#15
post #13
post #11

Earlier quoted context omitted.

> 17,120x was due to machine improvements (single core). 147,650x was due to algorithmic improvements. That is just... insane. I knew only vaguely that performance had improved significantly for many NP-hard/complete problems in practice, but I did not realize the magnitude of improvement, especially due to better algorithms. > The biggest improvements in MIP algorithm performance have been due to improvements in sol…

Yes, when Bill Bixby (founder of CPLEX and Gurobi, companies that made and still make the fastest MIP solvers in the world) revealed similar numbers a few years ago, many of us practitioners were astounded too. But those improvements were also a product of lots of smart people funded by cash-rich industries (i.e. oil & gas, airlines... MIPs are big bucks commercially. I recall at one point a commercial CPLEX license…

Makes sense.

Note that now we have lots of smart people funded by new cash-rich industries (search, social networks, SaaS, etc.) poking at the problem with "black-box" approaches. I will be interesting to see what comes out of it.

Re: NeurIPS 2020 Optimization Competition

#16

if anyone wants to do this. i have a threadripper build with 2 2080ti. would be cool to do a group project. write pm if you want. i am located in amsterdam, europe

I don't want to participate, but you're not going to find anyone as it stands. There are no PMs on HN, and you have no contact information in your profile (accounts' email addresses are not public).

Re: NeurIPS 2020 Optimization Competition

#17
post #5
post #4

NeurIPS, 2020: "We need more sample-efficient algorithms for finding better hyperparameters that specify how to train computationaly expensive deep learning models." Rich Sutton, 2019: "The biggest lesson that can be read from 70 years of AI research is that general methods that leverage computation are ultimately the most effective, and by a large margin." ( https://news.ycombinator.com/item?id=23781400 ) I wonder i…

It certainly does look that way for certain classes of problems, as witnessed by the evolution of GPT language models, where the model gets better through sheer use of compute resources. For many combinatorial problems however, improvements in algorithms can often produce bigger strides than just throwing brute force compute at the problem. Take Mixed Integer Programs (MIPs) -- roughly the optimization-equivalent of…

This sounds like the reason Bertsimas at MIT published his new book.

Re: NeurIPS 2020 Optimization Competition

#18

if anyone wants to do this. i have a threadripper build with 2 2080ti. would be cool to do a group project. write pm if you want. i am located in amsterdam, europe

seems i forgot my contact details. hereby: markus @ life - electronic.nl

without the spaces

Re: NeurIPS 2020 Optimization Competition

#19
post #16

if anyone wants to do this. i have a threadripper build with 2 2080ti. would be cool to do a group project. write pm if you want. i am located in amsterdam, europe

I don't want to participate, but you're not going to find anyone as it stands. There are no PMs on HN, and you have no contact information in your profile (accounts' email addresses are not public).

oops. thx

Re: NeurIPS 2020 Optimization Competition

#20
post #2

Interesting. There's been decades of research on Derivative-Free Optimization (DFO) and stochastic/evolutionary algorithms (most of which are derivative-free). They're used in practical applications, but have been hard to reliably perf benchmark because solution paths are so dependent on initial guess and random chance. This one focuses on maximizing sample efficiency. That's an interesting (and important) metric to…

Solution To benchmark in general is to run several optimization runs with a random innitialization. Though this has its limitations.

A great optimizer is RBFopt, (python based, free, fast accurate) which is able to do very well and creates a surrogate model while optimizing. My go to optimizer at this point for engineering projects. If anyone knows a better piece of software let me know.

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