Paper:
Bayesian optimization (BO) is a popular methodology to tune the hyperparameters of expensive black-box functions. Despite its success, standard BO focuses on a single task at a time and is not designed to leverage information from related functions, such as tuning performance objectives of the same algorithm across multiple datasets. In this work, we introduce a novel approach to achieve transfer learning across different datasets as well as different objectives. The main idea is to regress the mapping from hyperparameter to objective quantiles with a semi-parametric Gaussian Copula distribution, which provides robustness against different scales or outliers that can occur in different tasks. We introduce two methods to leverage this estimation: a Thompson sampling strategy as well as a Gaussian Copula process using such quantile estimate as a prior. We show that these strategies can combine the estimation of multiple objectives such as runtime and accuracy, steering the optimization toward cheaper hyperparameters for the same level of accuracy. Experiments on an extensive set of hyperparameter tuning tasks demonstrate significant improvements over state-of-the-art methods.

Review:
This paper tackles the problem of black-box hyperparameter optimization when multiple related optimization tasks are available simultaneously, performing transfer learning between tasks. Different tasks correspond to different datasets and/or metrics. Gaussian copulas are used to synchronize the different scales of the tasks.
I have several reservations with this paper. First and foremost, it seems to be lacking a fair and trivial baseline (I will describe it below) that justifies the apparently unnecessary complicated path followed in this paper. Second, there are a few small incorrect or improperly justified technical details throughout the paper.
1) Mistaken/unjustified technical details:
- In equation 1, the last term seems to be constant. For each task, the function psi is not parametric, so its gradient is also not parametric and the input is the inverse of z, i.e., y, which is also fixed. So why is it included in the cost function? This sort of probabilistic renormalization is important in e.g. warped GPs because the transformation is parametric. In this case, I don't see the point. It can be treated as a normalization of the input data, prior to its probabilistic modeling.
- Before equation 1, the text says "by minimizing the Gaussian negative log-likelihood on the available evaluations (x, z)" But then, equation 1 is not the NLL on z but on y.
- In section 4.2 the authors model the residuals of the previous model using a powerful Matern-5/2 GP. Why modeling the residuals this way and not the observations themselves? The split of modeling between a parametric and non-parametric part is not justified.
- One of the main points of the variable changes is to normalize the scales of the different tasks. However, equations 1 adds together the samples of the different tasks (which, as pointed out by the authors might have different sizes). Even if the scales of the outputs are uniform, the different dataset sizes will bias the solutions towards larger datasets. Why would that be a good thing? This is not mentioned and doesn't seem correct: there should not be a connection between a dataset size and the prior influence of the corresponding task. In fact, this will have the same effect as if the cost had different scales for different tasks, which is precisely the problem that the authors are trying to avoid.
2) Trivial baseline
Given that the authors are trying to aggregate information about the optimal hyperparameters from several tasks, they should not compare with single-task approaches, but with the simplest way to combine all the tasks. For instance:
    a) Normalize the outputs of every task. This can be accomplished in the usual way by dividing by the standard deviation, or even better, by computing the fixed transform z = psi(y), separately for each task.
    b) Collect the z of all tasks and feed them into an existing GP black-box Bayesian optimizer.
This is a very simple way to get "transfer learning" and it's unclear that the extra complexities of this paper (copulas, changes of variable with proper renormalization when the transformation is parameter free, etc) are buying much else.
Minor improvements:
- Page 2: "is the output of a multi-layer perceptron (MLP) with d hidden nodes" Is d really the number of hidden nodes of the MLP? Or the number of outputs? Given that d is also the size of w, it seems it's actually the latter.
- Explain why the EI approach is used for the second model (with the GP), but not for the first model.
Edit after rebuttal:
“The term is not constant over z” -> Sure, it’s not constant over z. But z is constant. So the term is constant.
“The NLL is minimized in z and there is indeed no y in equation 1.” -> Sure, there’s no y in the equation, that’s correct. But it is still the NLL of y, and not the NLL of z.
About the new baseline: Instead of simply renormalizing using mean and standard deviation, I suggested above using the same z=psi(y) that is used in the paper for the normalization. Is that where the advantage of the proposed method is coming from?
"Note that this is orthogonal to the scale issues we focus on: larger tasks will have larger gradient contributions but the scaling we propose still allows us to learn tied parameters across tasks as their scales are made similar. " Both issues affect the scaling of the task, so I don't see how they can be orthogonal. Their scales are not made similar precisely because of the different sample sizes.