论文标题

在输入噪声下强大的多目标贝叶斯优化

Robust Multi-Objective Bayesian Optimization Under Input Noise

论文作者

Daulton, Samuel, Cakmak, Sait, Balandat, Maximilian, Osborne, Michael A., Zhou, Enlu, Bakshy, Eytan

论文摘要

贝叶斯优化(BO)是一种调整设计参数的样品效率方法,可优化昂贵的评估,黑盒性能指标。在许多制造过程中,设计参数会受到随机输入噪声的约束,导致产品的性能通常比预期的要低。尽管已经提出了BO方法来优化输入噪声下的单个目标,但没有现有方法解决了有多种目标对输入扰动敏感的实际情况。在这项工作中,我们提出了第一种对输入噪声强大的多目标BO方法。我们将目标形式化为优化多元价值风险(MVAR),这是对不确定目标的风险度量。由于在许多设置中直接优化MVAR在计算上是不可行的,因此我们提出了一种可扩展的,理论上的方法,用于使用随机标量表来优化MVAR。从经验上讲,我们发现我们的方法显着优于替代方法,并有效地识别最佳的鲁棒设计,这些设计将满足具有高概率的多个指标的规格。

Bayesian optimization (BO) is a sample-efficient approach for tuning design parameters to optimize expensive-to-evaluate, black-box performance metrics. In many manufacturing processes, the design parameters are subject to random input noise, resulting in a product that is often less performant than expected. Although BO methods have been proposed for optimizing a single objective under input noise, no existing method addresses the practical scenario where there are multiple objectives that are sensitive to input perturbations. In this work, we propose the first multi-objective BO method that is robust to input noise. We formalize our goal as optimizing the multivariate value-at-risk (MVaR), a risk measure of the uncertain objectives. Since directly optimizing MVaR is computationally infeasible in many settings, we propose a scalable, theoretically-grounded approach for optimizing MVaR using random scalarizations. Empirically, we find that our approach significantly outperforms alternative methods and efficiently identifies optimal robust designs that will satisfy specifications across multiple metrics with high probability.

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