A Quadrature Approach for General-Purpose Batch Bayesian Optimization via Probabilistic Lifting
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arXiv
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| Main Authors: | , , , , , |
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| Format: | Preprint |
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2024
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| _version_ | 1866911845699289088 |
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| author | Adachi, Masaki Hayakawa, Satoshi Jørgensen, Martin Hamid, Saad Oberhauser, Harald Osborne, Michael A. |
| author_facet | Adachi, Masaki Hayakawa, Satoshi Jørgensen, Martin Hamid, Saad Oberhauser, Harald Osborne, Michael A. |
| contents | Parallelisation in Bayesian optimisation is a common strategy but faces several challenges: the need for flexibility in acquisition functions and kernel choices, flexibility dealing with discrete and continuous variables simultaneously, model misspecification, and lastly fast massive parallelisation. To address these challenges, we introduce a versatile and modular framework for batch Bayesian optimisation via probabilistic lifting with kernel quadrature, called SOBER, which we present as a Python library based on GPyTorch/BoTorch. Our framework offers the following unique benefits: (1) Versatility in downstream tasks under a unified approach. (2) A gradient-free sampler, which does not require the gradient of acquisition functions, offering domain-agnostic sampling (e.g., discrete and mixed variables, non-Euclidean space). (3) Flexibility in domain prior distribution. (4) Adaptive batch size (autonomous determination of the optimal batch size). (5) Robustness against a misspecified reproducing kernel Hilbert space. (6) Natural stopping criterion. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2404_12219 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | A Quadrature Approach for General-Purpose Batch Bayesian Optimization via Probabilistic Lifting Adachi, Masaki Hayakawa, Satoshi Jørgensen, Martin Hamid, Saad Oberhauser, Harald Osborne, Michael A. Machine Learning Numerical Analysis 62C10, 62F15 Parallelisation in Bayesian optimisation is a common strategy but faces several challenges: the need for flexibility in acquisition functions and kernel choices, flexibility dealing with discrete and continuous variables simultaneously, model misspecification, and lastly fast massive parallelisation. To address these challenges, we introduce a versatile and modular framework for batch Bayesian optimisation via probabilistic lifting with kernel quadrature, called SOBER, which we present as a Python library based on GPyTorch/BoTorch. Our framework offers the following unique benefits: (1) Versatility in downstream tasks under a unified approach. (2) A gradient-free sampler, which does not require the gradient of acquisition functions, offering domain-agnostic sampling (e.g., discrete and mixed variables, non-Euclidean space). (3) Flexibility in domain prior distribution. (4) Adaptive batch size (autonomous determination of the optimal batch size). (5) Robustness against a misspecified reproducing kernel Hilbert space. (6) Natural stopping criterion. |
| title | A Quadrature Approach for General-Purpose Batch Bayesian Optimization via Probabilistic Lifting |
| topic | Machine Learning Numerical Analysis 62C10, 62F15 |
| url | https://arxiv.org/abs/2404.12219 |