Generalization in portfolio-based algorithm selection
  Portfolio-based algorithm selection has seen tremendous practical success
over the past two decades. This algorithm configuration procedure works by
first selecting a portfolio of diverse algorithm parameter settings, and then,
on a given problem instance, using an algorithm selector to choose a parameter
setting from the portfolio with strong predicted performance. Oftentimes, both
the portfolio and the algorithm selector are chosen using a training set of
typical problem instances from the application domain at hand. In this paper,
we provide the first provable guarantees for portfolio-based algorithm
selection. We analyze how large the training set should be to ensure that the
resulting algorithm selector's average performance over the training set is
close to its future (expected) performance. This involves analyzing three key
reasons why these two quantities may diverge: 1) the learning-theoretic
complexity of the algorithm selector, 2) the size of the portfolio, and 3) the
learning-theoretic complexity of the algorithm's performance as a function of
its parameters. We introduce an end-to-end learning-theoretic analysis of the
portfolio construction and algorithm selection together. We prove that if the
portfolio is large, overfitting is inevitable, even with an extremely simple
algorithm selector. With experiments, we illustrate a tradeoff exposed by our
theoretical analysis: as we increase the portfolio size, we can hope to include
a well-suited parameter setting for every possible problem instance, but it
becomes impossible to avoid overfitting.
