论文标题

$ε$ -SHOTGUN:$ε$ - 绿批处理贝叶斯优化

$ε$-shotgun: $ε$-greedy Batch Bayesian Optimisation

论文作者

De Ath, George, Everson, Richard M., Fieldsend, Jonathan E., Rahat, Alma A. M.

论文摘要

贝叶斯优化是一种流行的,基于替代模型的方法,用于优化昂贵的黑盒功能。给定替代模型,通过最大化廉价的收购功能选择了廉价评估的下一个位置。我们在批处理设置中提出了用于贝叶斯优化的$ε$ - 绿色过程,其中可以并行评估黑框函数多次。我们的$ε$ -Shotgun算法利用了该模型的预测,不确定性和近似景观变化率,以确定要在推定位置周围分布的批处理解决方案的扩展。最初的目标位置是以平均预测的剥削方式以剥削方式选择的,或者(以概率$ε$)从设计空间中的其他地方选择。这将导致位置在函数迅速变化且预测为良好位置的区域中更密集地采样(即接近预测的Optima),在功能更平坦和/或质量较差的区域中,样品中有更多分散的样品。我们从经验上评估了$ε$ -Shotgun方法在一系列合成功能和两个现实世界中的问题上,发现它们至少和最先进的批处理方法一样,并且在许多情况下都超出了其性能。

Bayesian optimisation is a popular, surrogate model-based approach for optimising expensive black-box functions. Given a surrogate model, the next location to expensively evaluate is chosen via maximisation of a cheap-to-query acquisition function. We present an $ε$-greedy procedure for Bayesian optimisation in batch settings in which the black-box function can be evaluated multiple times in parallel. Our $ε$-shotgun algorithm leverages the model's prediction, uncertainty, and the approximated rate of change of the landscape to determine the spread of batch solutions to be distributed around a putative location. The initial target location is selected either in an exploitative fashion on the mean prediction, or -- with probability $ε$ -- from elsewhere in the design space. This results in locations that are more densely sampled in regions where the function is changing rapidly and in locations predicted to be good (i.e close to predicted optima), with more scattered samples in regions where the function is flatter and/or of poorer quality. We empirically evaluate the $ε$-shotgun methods on a range of synthetic functions and two real-world problems, finding that they perform at least as well as state-of-the-art batch methods and in many cases exceed their performance.

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