Machine learning models are often tuned by nesting optimization of model weights inside the optimization of hyperparameters. We give a method to collapse this nested optimization into joint stochastic optimization of weights and hyperparameters.

Our process trains a neural network to output approximately optimal weights as a function of hyperparameters. We show that our technique converges to locally optimal weights and hyperparameters for sufficiently large hypernetworks.

We compare this method to standard hyperparameter optimization strategies and demonstrate its effectiveness for tuning thousands of hyperparameters.