Random Exploration in Bayesian Optimization: Order-Optimal Regret and Computational Efficiency

• URL: http://arxiv.org/abs/2310.15351v2
• Date: Fri, 2 Feb 2024 15:28:17 GMT
• Title: Random Exploration in Bayesian Optimization: Order-Optimal Regret and Computational Efficiency
• Authors: Sudeep Salgia, Sattar Vakili, Qing Zhao
• Abstract summary: We study the methodology of exploring the domain using random samples drawn from a distribution. We show that this random exploration approach achieves the optimal error rates.
• Score: 18.17090625880964
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: We consider Bayesian optimization using Gaussian Process models, also referred to as kernel-based bandit optimization. We study the methodology of exploring the domain using random samples drawn from a distribution. We show that this random exploration approach achieves the optimal error rates. Our analysis is based on novel concentration bounds in an infinite dimensional Hilbert space established in this work, which may be of independent interest. We further develop an algorithm based on random exploration with domain shrinking and establish its order-optimal regret guarantees under both noise-free and noisy settings. In the noise-free setting, our analysis closes the existing gap in regret performance and thereby resolves a COLT open problem. The proposed algorithm also enjoys a computational advantage over prevailing methods due to the random exploration that obviates the expensive optimization of a non-convex acquisition function for choosing the query points at each iteration.

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