Asynchronous Batch Bayesian Optimisation with Improved Local Penalisation


Ahsan Alvi, Binxin Ru, Jan-Peter Calliess, Stephen Roberts, Michael A. Osborne ;
Proceedings of the 36th International Conference on Machine Learning, PMLR 97:253-262, 2019.


Batch Bayesian optimisation (BO) has been successfully applied to hyperparameter tuning using parallel computing, but it is wasteful of resources: workers that complete jobs ahead of others are left idle. We address this problem by developing an approach, Penalising Locally for Asynchronous Bayesian Optimisation on K Workers (PLAyBOOK), for asynchronous parallel BO. We demonstrate empirically the efficacy of PLAyBOOK and its variants on synthetic tasks and a real-world problem. We undertake a comparison between synchronous and asynchronous BO, and show that asynchronous BO often outperforms synchronous batch BO in both wall-clock time and sample efficiency.

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