Bayesian Optimization by Kernel Regression and Density-based Exploration

• URL: http://arxiv.org/abs/2502.06178v1
• Date: Mon, 10 Feb 2025 06:16:51 GMT
• Title: Bayesian Optimization by Kernel Regression and Density-based Exploration
• Authors: Tansheng Zhu, Hongyu Zhou, Ke Jin, Xusheng Xu, Qiufan Yuan, Lijie Ji,
• Abstract summary: We propose the Bayesian Optimization by Kernel regression and density-based Exploration (BOKE) algorithm. BOKE uses kernel regression for efficient function approximation, kernel density for exploration, and the improved kernel regression upper confidence bound criteria to guide the optimization process. We demonstrate that BOKE not only performs competitively compared to Gaussian process-based methods but also exhibits superior computational efficiency.
• Score: 12.074000212223446
• License:
• Abstract: Bayesian optimization is highly effective for optimizing expensive-to-evaluate black-box functions, but it faces significant computational challenges due to the high computational complexity of Gaussian processes, which results in a total time complexity that is quartic with respect to the number of iterations. To address this limitation, we propose the Bayesian Optimization by Kernel regression and density-based Exploration (BOKE) algorithm. BOKE uses kernel regression for efficient function approximation, kernel density for exploration, and the improved kernel regression upper confidence bound criteria to guide the optimization process, thus reducing computational costs to quadratic. Our theoretical analysis rigorously establishes the global convergence of BOKE and ensures its robustness. Through extensive numerical experiments on both synthetic and real-world optimization tasks, we demonstrate that BOKE not only performs competitively compared to Gaussian process-based methods but also exhibits superior computational efficiency. These results highlight BOKE's effectiveness in resource-constrained environments, providing a practical approach for optimization problems in engineering applications.

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