Bayesian optimization of hyper-parameters in reservoir computing

Abstract: We describe a method for searching the optimal hyper-parameters in reservoir computing, which consists of a Gaussian process with Bayesian optimization. It provides an alternative to other frequently used optimization methods such as grid, random, or manual search. In addition to a set of optimal hyper-parameters, the method also provides a probability distribution of the cost function as a function of the hyper-parameters. We apply this method to two types of reservoirs: nonlinear delay nodes and echo state networks. It shows excellent performance on all considered benchmarks, either matching or significantly surpassing results found in the literature. In general, the algorithm achieves optimal results in fewer iterations when compared to other optimization methods. We have optimized up to six hyper-parameters simultaneously, which would have been infeasible using, e.g., grid search. Due to its automated nature, this method significantly reduces the need for expert knowledge when optimizing the hyper-parameters in reservoir computing. Existing software libraries for Bayesian optimization, such as Spearmint, make the implementation of the algorithm straightforward. A fork of the Spearmint framework along with a tutorial on how to use it in practice is available at https://bitbucket.org/uhasseltmachinelearning/spearmint/