Flexible transfer learning framework for bayesian optimisation

Bayesian optimisation is an efficient technique to optimise functions that are expensive to compute. In this paper, we propose a novel framework to transfer knowledge from a completed source optimisation task to a new target task in order to overcome the cold start problem. We model source data as noisy observations of the target function. The level of noise is computed from the data in a Bayesian setting. This enables flexible knowledge transfer across tasks with differing relatedness, addressing a limitation of the existing methods. We evaluate on the task of tuning hyperparameters of two machine learning algorithms. Treating a fraction of the whole training data as source and the whole as the target task, we show that our method finds the best hyperparameters in the least amount of time compared to both the state-of-art and no transfer method.