Multi-attribute Bayesian optimization with interactive preference learning
Abstract
We consider black-box global optimization of time-consuming-to-evaluate functions on behalf of a decision-maker (DM) whose preferences must be learned. Each feasible design is associated with a time-consuming-to-evaluate vector of attributes and each vector of attributes is assigned a utility by the DM’s utility function, which may be learned approximately using preferences expressed over pairs of attribute vectors. Past work has used a point estimate of this utility function as if it were error-free within single-objective optimization. However, utility estimation errors may yield a poor suggested design. Furthermore, this approach produces a single suggested ‘best’ design, whereas DMs often prefer to choose from a menu. We propose a novel multi-attribute Bayesian optimization with preference learning approach. Our approach acknowledges the uncertainty in preference estimation and implicitly chooses designs to evaluate that are good not just for a single estimated utility function but a range of likely ones. The outcome of our approach is a menu of designs and evaluated attributes from which the DM makes a final selection. We demonstrate the value and flexibility of our approach in a variety of experiments.
BibTeX
@InProceedings{pmlr-v108-astudillo20a,
title = {Multi-attribute Bayesian optimization with interactive preference learning},
author = {Astudillo, Raul and Frazier, Peter},
booktitle = {Proceedings of the Twenty Third International Conference on Artificial Intelligence and Statistics},
pages = {4496--4507},
year = {2020},
editor = {Chiappa, Silvia and Calandra, Roberto},
volume = {108},
series = {Proceedings of Machine Learning Research},
month = {26--28 Aug},
publisher = {PMLR},
pdf = {http://proceedings.mlr.press/v108/astudillo20a/astudillo20a.pdf},
url = {https://proceedings.mlr.press/v108/astudillo20a.html},
abstract = {We consider black-box global optimization of time-consuming-to-evaluate functions on behalf of a decision-maker (DM) whose preferences must be learned. Each feasible design is associated with a time-consuming-to-evaluate vector of attributes and each vector of attributes is assigned a utility by the DM’s utility function, which may be learned approximately using preferences expressed over pairs of attribute vectors. Past work has used a point estimate of this utility function as if it were error-free within single-objective optimization. However, utility estimation errors may yield a poor suggested design. Furthermore, this approach produces a single suggested ‘best’ design, whereas DMs often prefer to choose from a menu. We propose a novel multi-attribute Bayesian optimization with preference learning approach. Our approach acknowledges the uncertainty in preference estimation and implicitly chooses designs to evaluate that are good not just for a single estimated utility function but a range of likely ones. The outcome of our approach is a menu of designs and evaluated attributes from which the DM makes a final selection. We demonstrate the value and flexibility of our approach in a variety of experiments. }
}