Multi-Objective Multi-Fidelity Hyperparameter Optimization with Application to Fairness

In many real-world applications, the performance of machine learning models is evaluated not along a single objective, but across multiple, potentially competing ones. For instance, for a model deciding whether to grant or deny loans, it is critical to make sure decisions are fair and not only accurate. As it is often infeasible to find a single model performing best across all objectives, practitioners are forced to find a trade-off between the individual objectives. While several multi-objective optimization (MO) techniques have been proposed in the machine learning literature (and beyond), little effort has been put towards using MO for hyperparameter optimization (HPO) problems; a task that has gained immense relevance and adoption in recent years. In this paper, we evaluate the suitability of existing MO algorithms for HPO and propose a novel multi-fidelity method for this problem. We evaluate our approach on public datasets with a special emphasis on fairness-motivated applications, and report substantially lower wall-clock times when approximating Pareto frontiers compared to the state-of-the-art.