A General Recipe for Likelihood-free Bayesian Optimization
- URL: http://arxiv.org/abs/2206.13035v1
- Date: Mon, 27 Jun 2022 03:55:27 GMT
- Title: A General Recipe for Likelihood-free Bayesian Optimization
- Authors: Jiaming Song, Lantao Yu, Willie Neiswanger, Stefano Ermon
- Abstract summary: We propose likelihood-free BO (LFBO) to extend BO to a broader class of models and utilities.
LFBO directly models the acquisition function without having to separately perform inference with a probabilistic surrogate model.
We show that computing the acquisition function in LFBO can be reduced to optimizing a weighted classification problem.
- Score: 115.82591413062546
- License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
- Abstract: The acquisition function, a critical component in Bayesian optimization (BO),
can often be written as the expectation of a utility function under a surrogate
model. However, to ensure that acquisition functions are tractable to optimize,
restrictions must be placed on the surrogate model and utility function. To
extend BO to a broader class of models and utilities, we propose
likelihood-free BO (LFBO), an approach based on likelihood-free inference. LFBO
directly models the acquisition function without having to separately perform
inference with a probabilistic surrogate model. We show that computing the
acquisition function in LFBO can be reduced to optimizing a weighted
classification problem, where the weights correspond to the utility being
chosen. By choosing the utility function for expected improvement (EI), LFBO
outperforms various state-of-the-art black-box optimization methods on several
real-world optimization problems. LFBO can also effectively leverage composite
structures of the objective function, which further improves its regret by
several orders of magnitude.
Related papers
- Batched Energy-Entropy acquisition for Bayesian Optimization [0.0]
We propose a statistical physics inspired acquisition function for BO with Gaussian processes that can handle batches.
BEEBO enables tight control of the explore-exploit trade-off of the optimization process and generalizes to heteroskedastic black-box problems.
arXiv Detail & Related papers (2024-10-11T13:39:47Z) - Cost-Sensitive Multi-Fidelity Bayesian Optimization with Transfer of Learning Curve Extrapolation [55.75188191403343]
We introduce utility, which is a function predefined by each user and describes the trade-off between cost and performance of BO.
We validate our algorithm on various LC datasets and found it outperform all the previous multi-fidelity BO and transfer-BO baselines we consider.
arXiv Detail & Related papers (2024-05-28T07:38:39Z) - Poisson Process for Bayesian Optimization [126.51200593377739]
We propose a ranking-based surrogate model based on the Poisson process and introduce an efficient BO framework, namely Poisson Process Bayesian Optimization (PoPBO)
Compared to the classic GP-BO method, our PoPBO has lower costs and better robustness to noise, which is verified by abundant experiments.
arXiv Detail & Related papers (2024-02-05T02:54:50Z) - Simulation Based Bayesian Optimization [0.6526824510982799]
This paper introduces Simulation Based Bayesian Optimization (SBBO) as a novel approach to optimizing acquisition functions.
SBBO allows the use of surrogate models tailored for spaces with discrete variables.
We demonstrate empirically the effectiveness of SBBO method using various choices of surrogate models.
arXiv Detail & Related papers (2024-01-19T16:56:11Z) - A General Framework for User-Guided Bayesian Optimization [51.96352579696041]
We propose ColaBO, the first Bayesian-principled framework for prior beliefs beyond the typical kernel structure.
We empirically demonstrate ColaBO's ability to substantially accelerate optimization when the prior information is accurate, and to retain approximately default performance when it is misleading.
arXiv Detail & Related papers (2023-11-24T18:27:26Z) - Predictive Modeling through Hyper-Bayesian Optimization [60.586813904500595]
We propose a novel way of integrating model selection and BO for the single goal of reaching the function optima faster.
The algorithm moves back and forth between BO in the model space and BO in the function space, where the goodness of the recommended model is captured.
In addition to improved sample efficiency, the framework outputs information about the black-box function.
arXiv Detail & Related papers (2023-08-01T04:46:58Z) - Model-based Causal Bayesian Optimization [78.120734120667]
We propose model-based causal Bayesian optimization (MCBO)
MCBO learns a full system model instead of only modeling intervention-reward pairs.
Unlike in standard Bayesian optimization, our acquisition function cannot be evaluated in closed form.
arXiv Detail & Related papers (2022-11-18T14:28:21Z) - R-MBO: A Multi-surrogate Approach for Preference Incorporation in
Multi-objective Bayesian Optimisation [0.0]
We present an a-priori multi-surrogate approach to incorporate the desirable objective function values as the preferences of a decision-maker in multi-objective BO.
The results and comparison with the existing mono-surrogate approach on benchmark and real-world optimisation problems show the potential of the proposed approach.
arXiv Detail & Related papers (2022-04-27T19:58:26Z) - Sparse Bayesian Optimization [16.867375370457438]
We present several regularization-based approaches that allow us to discover sparse and more interpretable configurations.
We propose a novel differentiable relaxation based on homotopy continuation that makes it possible to target sparsity.
We show that we are able to efficiently optimize for sparsity.
arXiv Detail & Related papers (2022-03-03T18:25:33Z) - Composition of kernel and acquisition functions for High Dimensional
Bayesian Optimization [0.1749935196721634]
We use the addition-ality of the objective function into mapping both the kernel and the acquisition function of the Bayesian Optimization.
This ap-proach makes more efficient the learning/updating of the probabilistic surrogate model.
Results are presented for real-life application, that is the control of pumps in urban water distribution systems.
arXiv Detail & Related papers (2020-03-09T15:45:57Z)
This list is automatically generated from the titles and abstracts of the papers in this site.
This site does not guarantee the quality of this site (including all information) and is not responsible for any consequences.