Squirrel: A Switching Hyperparameter Optimizer

In this short note, we describe our submission to the NeurIPS 2020 BBO challenge. Motivated by the fact that different optimizers work well on different problems, our approach \emph{switches} between different optimizers.\footnote{Switching between algorithms also relates to work on \emph{chaining} or \emph{algorithm schedules}.} Since the team names on the competition's leaderboard were randomly generated "alliteration nicknames", consisting of an adjective and an animal with the same initial letter, we called our approach the \emph{Switching Squirrel}, or here, short, \emph{Squirrel}. Our reference implementation of Squirrel is available at \url{https://github.com/automl/Squirrel-Optimizer-BBO-NeurIPS20-automlorg}.