Batched High-dimensional Bayesian Optimization via Structural Kernel Learning
Zi Wang, Chengtao Li, Stefanie Jegelka, Pushmeet Kohli
Abstract
Optimization of high-dimensional black-box functions is an extremely challenging problem. While Bayesian optimization has emerged as a popular approach for optimizing black-box functions, its applicability has been limited to low-dimensional problems due to its computational and statistical challenges arising from high-dimensional settings. In this paper, we propose to tackle these challenges by (1) assuming a latent additive structure in the function and inferring it properly for more efficient and effective BO, and (2) performing multiple evaluations in parallel to reduce the number of iterations required by the method. Our novel approach learns the latent structure with Gibbs sampling and constructs batched queries using determinantal point processes. Experimental validations on both synthetic and real-world functions demonstrate that the proposed method outperforms the existing state-of-the-art approaches.
BibTeX
@InProceedings{pmlr-v70-wang17h,
title = {Batched High-dimensional {B}ayesian Optimization via Structural Kernel Learning},
author = {Zi Wang and Chengtao Li and Stefanie Jegelka and Pushmeet Kohli},
booktitle = {Proceedings of the 34th International Conference on Machine Learning},
pages = {3656--3664},
year = {2017},
editor = {Precup, Doina and Teh, Yee Whye},
volume = {70},
series = {Proceedings of Machine Learning Research},
month = {06--11 Aug},
publisher = {PMLR},
pdf = {http://proceedings.mlr.press/v70/wang17h/wang17h.pdf},
url = {https://proceedings.mlr.press/v70/wang17h.html},
abstract = {Optimization of high-dimensional black-box functions is an extremely challenging problem. While Bayesian optimization has emerged as a popular approach for optimizing black-box functions, its applicability has been limited to low-dimensional problems due to its computational and statistical challenges arising from high-dimensional settings. In this paper, we propose to tackle these challenges by (1) assuming a latent additive structure in the function and inferring it properly for more efficient and effective BO, and (2) performing multiple evaluations in parallel to reduce the number of iterations required by the method. Our novel approach learns the latent structure with Gibbs sampling and constructs batched queries using determinantal point processes. Experimental validations on both synthetic and real-world functions demonstrate that the proposed method outperforms the existing state-of-the-art approaches.}
}