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Abstract: Introducing the Metric Optimization Engine (MOE); an open source, black box, Bayesian Global Optimization engine for optimal experimental design.
In this talk we will introduce MOE, the Metric Optimization Engine. MOE is an efficient way to optimize a system’s parameters, when evaluating parameters is time-consuming or expensive. It can be used to help tackle a myriad of problems including optimizing a system’s click-through or conversion rate via A/B testing, tuning parameters of a machine learning prediction method or expensive batch job, designing an engineering system or finding the optimal parameters of a real-world experiment.
MOE is ideal for problems in which the optimization problem’s objective function is a black box, not necessarily convex or concave, derivatives are unavailable, and we seek a global optimum, rather than just a local one. This ability to handle black-box objective functions allows us to use MOE to optimize nearly any system, without requiring any internal knowledge or access. To use MOE, we simply need to specify some objective function, some set of parameters, and any historical data we may have from previous evaluations of the objective function. MOE then finds the set of parameters that maximize (or minimize) the objective function, while evaluating the objective function as few times as possible. This is done internally using Bayesian Global Optimization on a Gaussian Process model of the underlying system and finding the points of highest Expected Improvement to sample next. MOE provides easy to use Python, C++, CUDA and REST interfaces to accomplish these goals and is fully open source. We will present the motivation and background, discuss the implementation and give real-world examples.