Bayesian Algorithm Execution: Estimating Computable Properties of Black-box Functions Using Mutual Information

Willie Neiswanger, Ke Alexander Wang, Stefano Ermon
Proceedings of the 38th International Conference on Machine Learning, PMLR 139:8005-8015, 2021.

Abstract

In many real world problems, we want to infer some property of an expensive black-box function f, given a budget of T function evaluations. One example is budget constrained global optimization of f, for which Bayesian optimization is a popular method. Other properties of interest include local optima, level sets, integrals, or graph-structured information induced by f. Often, we can find an algorithm A to compute the desired property, but it may require far more than T queries to execute. Given such an A, and a prior distribution over f, we refer to the problem of inferring the output of A using T evaluations as Bayesian Algorithm Execution (BAX). To tackle this problem, we present a procedure, InfoBAX, that sequentially chooses queries that maximize mutual information with respect to the algorithm’s output. Applying this to Dijkstra’s algorithm, for instance, we infer shortest paths in synthetic and real-world graphs with black-box edge costs. Using evolution strategies, we yield variants of Bayesian optimization that target local, rather than global, optima. On these problems, InfoBAX uses up to 500 times fewer queries to f than required by the original algorithm. Our method is closely connected to other Bayesian optimal experimental design procedures such as entropy search methods and optimal sensor placement using Gaussian processes.

Cite this Paper

BibTeX
@InProceedings{pmlr-v139-neiswanger21a, title = {Bayesian Algorithm Execution: Estimating Computable Properties of Black-box Functions Using Mutual Information}, author = {Neiswanger, Willie and Wang, Ke Alexander and Ermon, Stefano}, booktitle = {Proceedings of the 38th International Conference on Machine Learning}, pages = {8005--8015}, year = {2021}, editor = {Meila, Marina and Zhang, Tong}, volume = {139}, series = {Proceedings of Machine Learning Research}, month = {18--24 Jul}, publisher = {PMLR}, pdf = {http://proceedings.mlr.press/v139/neiswanger21a/neiswanger21a.pdf}, url = {https://proceedings.mlr.press/v139/neiswanger21a.html}, abstract = {In many real world problems, we want to infer some property of an expensive black-box function f, given a budget of T function evaluations. One example is budget constrained global optimization of f, for which Bayesian optimization is a popular method. Other properties of interest include local optima, level sets, integrals, or graph-structured information induced by f. Often, we can find an algorithm A to compute the desired property, but it may require far more than T queries to execute. Given such an A, and a prior distribution over f, we refer to the problem of inferring the output of A using T evaluations as Bayesian Algorithm Execution (BAX). To tackle this problem, we present a procedure, InfoBAX, that sequentially chooses queries that maximize mutual information with respect to the algorithm’s output. Applying this to Dijkstra’s algorithm, for instance, we infer shortest paths in synthetic and real-world graphs with black-box edge costs. Using evolution strategies, we yield variants of Bayesian optimization that target local, rather than global, optima. On these problems, InfoBAX uses up to 500 times fewer queries to f than required by the original algorithm. Our method is closely connected to other Bayesian optimal experimental design procedures such as entropy search methods and optimal sensor placement using Gaussian processes.} }
Endnote
%0 Conference Paper %T Bayesian Algorithm Execution: Estimating Computable Properties of Black-box Functions Using Mutual Information %A Willie Neiswanger %A Ke Alexander Wang %A Stefano Ermon %B Proceedings of the 38th International Conference on Machine Learning %C Proceedings of Machine Learning Research %D 2021 %E Marina Meila %E Tong Zhang %F pmlr-v139-neiswanger21a %I PMLR %P 8005--8015 %U https://proceedings.mlr.press/v139/neiswanger21a.html %V 139 %X In many real world problems, we want to infer some property of an expensive black-box function f, given a budget of T function evaluations. One example is budget constrained global optimization of f, for which Bayesian optimization is a popular method. Other properties of interest include local optima, level sets, integrals, or graph-structured information induced by f. Often, we can find an algorithm A to compute the desired property, but it may require far more than T queries to execute. Given such an A, and a prior distribution over f, we refer to the problem of inferring the output of A using T evaluations as Bayesian Algorithm Execution (BAX). To tackle this problem, we present a procedure, InfoBAX, that sequentially chooses queries that maximize mutual information with respect to the algorithm’s output. Applying this to Dijkstra’s algorithm, for instance, we infer shortest paths in synthetic and real-world graphs with black-box edge costs. Using evolution strategies, we yield variants of Bayesian optimization that target local, rather than global, optima. On these problems, InfoBAX uses up to 500 times fewer queries to f than required by the original algorithm. Our method is closely connected to other Bayesian optimal experimental design procedures such as entropy search methods and optimal sensor placement using Gaussian processes.
APA
Neiswanger, W., Wang, K.A. & Ermon, S.. (2021). Bayesian Algorithm Execution: Estimating Computable Properties of Black-box Functions Using Mutual Information. Proceedings of the 38th International Conference on Machine Learning, in Proceedings of Machine Learning Research 139:8005-8015 Available from https://proceedings.mlr.press/v139/neiswanger21a.html.

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