Multi-Fidelity Bayesian Optimization via Deep Neural Networks

• URL: http://arxiv.org/abs/2007.03117v4
• Date: Thu, 10 Dec 2020 05:29:15 GMT
• Title: Multi-Fidelity Bayesian Optimization via Deep Neural Networks
• Authors: Shibo Li, Wei Xing, Mike Kirby and Shandian Zhe
• Abstract summary: In many applications, the objective function can be evaluated at multiple fidelities to enable a trade-off between the cost and accuracy. We propose Deep Neural Network Multi-Fidelity Bayesian Optimization (DNN-MFBO) that can flexibly capture all kinds of complicated relationships between the fidelities. We show the advantages of our method in both synthetic benchmark datasets and real-world applications in engineering design.
• Score: 19.699020509495437
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Bayesian optimization (BO) is a popular framework to optimize black-box functions. In many applications, the objective function can be evaluated at multiple fidelities to enable a trade-off between the cost and accuracy. To reduce the optimization cost, many multi-fidelity BO methods have been proposed. Despite their success, these methods either ignore or over-simplify the strong, complex correlations across the fidelities, and hence can be inefficient in estimating the objective function. To address this issue, we propose Deep Neural Network Multi-Fidelity Bayesian Optimization (DNN-MFBO) that can flexibly capture all kinds of complicated relationships between the fidelities to improve the objective function estimation and hence the optimization performance. We use sequential, fidelity-wise Gauss-Hermite quadrature and moment-matching to fulfill a mutual information-based acquisition function, which is computationally tractable and efficient. We show the advantages of our method in both synthetic benchmark datasets and real-world applications in engineering design.

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