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Bayesian Optimization Hyperparameters .

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João Mendes
João Mendes on 19 Aug 2021
Commented: João Mendes on 19 Aug 2021
Hi to all,
Can any one help me to understand how bayesian optimization works in the task of finding the best hyperparameters of a SVM?
If you could point me to a paper or video, that would be nice too.
Thank you very much!
J

Accepted Answer

Alan Weiss
Alan Weiss on 19 Aug 2021
The bayesopt function performs all Bayesian optimization. The bayesopt algorithm is described here. When finding the best parameters of an SVM using fitcsvm, then according to the documentation of the OptimizeHyperparameters option:
"The optimization attempts to minimize the cross-validation loss (error) for fitcsvm by varying the parameters. For information about cross-validation loss see Classification Loss." In other words, the objective function that bayesopt tries to minimize is the cross-validation loss.
I hope that is enough detail.
Alan Weiss
MATLAB mathematical toolbox documentation

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