Efficient Nonmyopic Bayesian Optimization via One-Shot Multi-Step Trees

arXiv2006.15779MaRDI QIDQ6343932

Author name not available (Why is that?)

Publication date: 28 June 2020

Abstract: Bayesian optimization is a sequential decision making framework for optimizing expensive-to-evaluate black-box functions. Computing a full lookahead policy amounts to solving a highly intractable stochastic dynamic program. Myopic approaches, such as expected improvement, are often adopted in practice, but they ignore the long-term impact of the immediate decision. Existing nonmyopic approaches are mostly heuristic and/or computationally expensive. In this paper, we provide the first efficient implementation of general multi-step lookahead Bayesian optimization, formulated as a sequence of nested optimization problems within a multi-step scenario tree. Instead of solving these problems in a nested way, we equivalently optimize all decision variables in the full tree jointly, in a ``one-shot fashion. Combining this with an efficient method for implementing multi-step Gaussian process ``fantasization, we demonstrate that multi-step expected improvement is computationally tractable and exhibits performance superior to existing methods on a wide range of benchmarks.

Has companion code repository: https://github.com/shalijiang/bo

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