论文标题

PI回来了!切换贝叶斯优化中的采集功能

PI is back! Switching Acquisition Functions in Bayesian Optimization

论文作者

Benjamins, Carolin, Raponi, Elena, Jankovic, Anja, van der Blom, Koen, Santoni, Maria Laura, Lindauer, Marius, Doerr, Carola

论文摘要

贝叶斯优化(BO)是一种功能强大的样品效率技术,可优化昂贵的评估功能。每个BO组件,例如替代模型,采集函数(AF)或初始设计,都需要广泛的设计选择。为给定优化任务选择合适的组件是一项具有挑战性的任务,这可能会对获得的结果的质量产生重大影响。在这项工作中,我们启动了哪些AF偏爱哪些优化方案的分析。为此,我们使用预期改进(EI)和改进概率(PI)作为对可可环境的24个BBOB函数的采集函数进行基准测试。我们将它们的结果与AFS之间切换的时间表进行比较。一个时间表旨在在早期优化步骤中使用EI的探索行为,然后切换到PI,以在最后一步中进行更好的利用。我们还将其与EI和PI的随机时间表和旋转蛋白选择进行了比较。我们观察到,动态时间表通常优于任何单个静态。我们的结果表明,将优化预算的前25%分配给EI的时间表,而最后75%为PI是可靠的默认值。但是,我们还观察到24个功能的性能差异很大,这表明可能会在即时学习的每种企业分配可以对最先进的BO设计提供显着改善。

Bayesian Optimization (BO) is a powerful, sample-efficient technique to optimize expensive-to-evaluate functions. Each of the BO components, such as the surrogate model, the acquisition function (AF), or the initial design, is subject to a wide range of design choices. Selecting the right components for a given optimization task is a challenging task, which can have significant impact on the quality of the obtained results. In this work, we initiate the analysis of which AF to favor for which optimization scenarios. To this end, we benchmark SMAC3 using Expected Improvement (EI) and Probability of Improvement (PI) as acquisition functions on the 24 BBOB functions of the COCO environment. We compare their results with those of schedules switching between AFs. One schedule aims to use EI's explorative behavior in the early optimization steps, and then switches to PI for a better exploitation in the final steps. We also compare this to a random schedule and round-robin selection of EI and PI. We observe that dynamic schedules oftentimes outperform any single static one. Our results suggest that a schedule that allocates the first 25 % of the optimization budget to EI and the last 75 % to PI is a reliable default. However, we also observe considerable performance differences for the 24 functions, suggesting that a per-instance allocation, possibly learned on the fly, could offer significant improvement over the state-of-the-art BO designs.

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