Bayesian optimization (BO) is a popular methodology to tune the hyperparameters of expensive black-box functions. Traditionally, 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 mapping: 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 latency and accuracy, steering the hyperparameters optimization toward faster predictions for the same level of accuracy. Extensive experiments demonstrate significant improvements over state-of-the-art methods for both hyperparameter optimization and neural architecture search.
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