Bayesian optimization has become a successful tool for hyperparameter
optimization of machine learning algorithms, such as support vector machines or
deep neural networks. Despite its success, for large datasets, training and
validating a single configuration often takes hours, days, or even weeks, which
limits the achievable performance. To accelerate hyperparameter optimization,
we propose a generative model for the validation error as a function of
training set size, which is learned during the optimization process and allows
exploration of preliminary configurations on small subsets, by extrapolating to
the full dataset. We construct a Bayesian optimization procedure, dubbed
Fabolas, which models loss and training time as a function of dataset size and
automatically trades off high information gain about the global optimum against
computational cost. Experiments optimizing support vector machines and deep
neural networks show that Fabolas often finds high-quality solutions 10 to 100
times faster than other state-of-the-art Bayesian optimization methods or the
recently proposed bandit strategy Hyperband