Multi-Source Unsupervised Hyperparameter Optimization

How can we conduct efficient hyperparameter optimization for a completely new task? In this work, we consider a novel setting, where we search for the optimal hyperparameters for a target task of interest using only unlabeled target task and ‘somewhat relevant’ source task datasets. In this setting, it is essential to estimate the ground-truth target task objective using only the available information. We propose estimators to unbiasedly approximate the ground-truth with a desirable variance property. Building on these estimators, we provide a general and tractable hyperparameter optimization procedure for our setting. The experimental evaluations demonstrate that the proposed framework broadens the applications of automated hyperparameter optimization.