High-dimensional Bayesian Optimization via Covariance Matrix Adaptation Strategy

• URL: http://arxiv.org/abs/2402.03104v1
• Date: Mon, 5 Feb 2024 15:32:10 GMT
• Title: High-dimensional Bayesian Optimization via Covariance Matrix Adaptation Strategy
• Authors: Lam Ngo, Huong Ha, Jeffrey Chan, Vu Nguyen, Hongyu Zhang
• Abstract summary: We propose a novel technique for defining the local regions using the Covariance Matrix Adaptation (CMA) strategy. Based on this search distribution, we then define the local regions consisting of data points with high probabilities of being the global optimum. Our approach serves as a meta-algorithm as it can incorporate existing black-box BOs, such as BO, TuRBO, and BAxUS, to find the global optimum.
• Score: 16.521207412129833
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: Bayesian Optimization (BO) is an effective method for finding the global optimum of expensive black-box functions. However, it is well known that applying BO to high-dimensional optimization problems is challenging. To address this issue, a promising solution is to use a local search strategy that partitions the search domain into local regions with high likelihood of containing the global optimum, and then use BO to optimize the objective function within these regions. In this paper, we propose a novel technique for defining the local regions using the Covariance Matrix Adaptation (CMA) strategy. Specifically, we use CMA to learn a search distribution that can estimate the probabilities of data points being the global optimum of the objective function. Based on this search distribution, we then define the local regions consisting of data points with high probabilities of being the global optimum. Our approach serves as a meta-algorithm as it can incorporate existing black-box BO optimizers, such as BO, TuRBO, and BAxUS, to find the global optimum of the objective function within our derived local regions. We evaluate our proposed method on various benchmark synthetic and real-world problems. The results demonstrate that our method outperforms existing state-of-the-art techniques.

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