Knowing The What But Not The Where in Bayesian Optimization

Vu Nguyen, Michael A. Osborne
Proceedings of the 37th International Conference on Machine Learning, PMLR 119:7317-7326, 2020.

Abstract

Bayesian optimization has demonstrated impressive success in finding the optimum input x$\ast$ and output f$\ast$ = f(x$\ast$) = max f(x) of a black-box function f. In some applications, however, the optimum output is known in advance and the goal is to find the corresponding optimum input. Existing work in Bayesian optimization (BO) has not effectively exploited the knowledge of f$\ast$ for optimization. In this paper, we consider a new setting in BO in which the knowledge of the optimum output is available. Our goal is to exploit the knowledge about f$\ast$ to search for the input x$\ast$ efficiently. To achieve this goal, we first transform the Gaussian process surrogate using the information about the optimum output. Then, we propose two acquisition functions, called confidence bound minimization and expected regret minimization, which exploit the knowledge about the optimum output to identify the optimum input more efficient. We show that our approaches work intuitively and quantitatively better performance against standard BO methods. We demonstrate real applications in tuning a deep reinforcement learning algorithm on the CartPole problem and XGBoost on Skin Segmentation dataset in which the optimum values are publicly available.

Cite this Paper


BibTeX
@InProceedings{pmlr-v119-nguyen20d, title = {Knowing The What But Not The Where in {B}ayesian Optimization}, author = {Nguyen, Vu and Osborne, Michael A.}, booktitle = {Proceedings of the 37th International Conference on Machine Learning}, pages = {7317--7326}, year = {2020}, editor = {Hal Daumé III and Aarti Singh}, volume = {119}, series = {Proceedings of Machine Learning Research}, month = {13--18 Jul}, publisher = {PMLR}, pdf = {http://proceedings.mlr.press/v119/nguyen20d/nguyen20d.pdf}, url = { http://proceedings.mlr.press/v119/nguyen20d.html }, abstract = {Bayesian optimization has demonstrated impressive success in finding the optimum input x$\ast$ and output f$\ast$ = f(x$\ast$) = max f(x) of a black-box function f. In some applications, however, the optimum output is known in advance and the goal is to find the corresponding optimum input. Existing work in Bayesian optimization (BO) has not effectively exploited the knowledge of f$\ast$ for optimization. In this paper, we consider a new setting in BO in which the knowledge of the optimum output is available. Our goal is to exploit the knowledge about f$\ast$ to search for the input x$\ast$ efficiently. To achieve this goal, we first transform the Gaussian process surrogate using the information about the optimum output. Then, we propose two acquisition functions, called confidence bound minimization and expected regret minimization, which exploit the knowledge about the optimum output to identify the optimum input more efficient. We show that our approaches work intuitively and quantitatively better performance against standard BO methods. We demonstrate real applications in tuning a deep reinforcement learning algorithm on the CartPole problem and XGBoost on Skin Segmentation dataset in which the optimum values are publicly available.} }
Endnote
%0 Conference Paper %T Knowing The What But Not The Where in Bayesian Optimization %A Vu Nguyen %A Michael A. Osborne %B Proceedings of the 37th International Conference on Machine Learning %C Proceedings of Machine Learning Research %D 2020 %E Hal Daumé III %E Aarti Singh %F pmlr-v119-nguyen20d %I PMLR %P 7317--7326 %U http://proceedings.mlr.press/v119/nguyen20d.html %V 119 %X Bayesian optimization has demonstrated impressive success in finding the optimum input x$\ast$ and output f$\ast$ = f(x$\ast$) = max f(x) of a black-box function f. In some applications, however, the optimum output is known in advance and the goal is to find the corresponding optimum input. Existing work in Bayesian optimization (BO) has not effectively exploited the knowledge of f$\ast$ for optimization. In this paper, we consider a new setting in BO in which the knowledge of the optimum output is available. Our goal is to exploit the knowledge about f$\ast$ to search for the input x$\ast$ efficiently. To achieve this goal, we first transform the Gaussian process surrogate using the information about the optimum output. Then, we propose two acquisition functions, called confidence bound minimization and expected regret minimization, which exploit the knowledge about the optimum output to identify the optimum input more efficient. We show that our approaches work intuitively and quantitatively better performance against standard BO methods. We demonstrate real applications in tuning a deep reinforcement learning algorithm on the CartPole problem and XGBoost on Skin Segmentation dataset in which the optimum values are publicly available.
APA
Nguyen, V. & Osborne, M.A.. (2020). Knowing The What But Not The Where in Bayesian Optimization. Proceedings of the 37th International Conference on Machine Learning, in Proceedings of Machine Learning Research 119:7317-7326 Available from http://proceedings.mlr.press/v119/nguyen20d.html .

Related Material