Conference Paper/Proceeding/Abstract 716 views 151 downloads
ϵ-shotgun: ϵ-greedy batch bayesian optimisation
George De Ath,
Richard M. Everson,
Jonathan E. Fieldsend,
Alma Rahat 
Proceedings of the 2020 Genetic and Evolutionary Computation Conference, Pages: 787 - 795
Swansea University Author:
Alma Rahat
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DOI (Published version): 10.1145/3377930.3390154
Abstract
Bayesian optimisation is a popular surrogate model-based approach for optimising expensive black-box functions. Given a surrogate model, the next location to expensively evaluate is chosen via maximisation of a cheap-to-query acquisition function. We present an ϵ-greedy procedure for Bayesian optimi...
| Published in: | Proceedings of the 2020 Genetic and Evolutionary Computation Conference |
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| ISBN: | 9781450371285 |
| Published: |
New York, NY, USA
ACM
2020
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa54660 |
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| Abstract: |
Bayesian optimisation is a popular surrogate model-based approach for optimising expensive black-box functions. Given a surrogate model, the next location to expensively evaluate is chosen via maximisation of a cheap-to-query acquisition function. We present an ϵ-greedy procedure for Bayesian optimisation in batch settings in which the black-box function can be evaluated multiple times in parallel. Our ϵ-shotgun algorithm leverages the model's prediction, uncertainty, and the approximated rate of change of the landscape to determine the spread of batch solutions to be distributed around a putative location. The initial target location is selected either in an exploitative fashion on the mean prediction, or - with probability ϵ - from elsewhere in the design space. This results in locations that are more densely sampled in regions where the function is changing rapidly and in locations predicted to be good (i.e. close to predicted optima), with more scattered samples in regions where the function is flatter and/or of poorer quality. We empirically evaluate the ϵ-shotgun methods on a range of synthetic functions and two real-world problems, finding that they perform at least as well as state-of-the-art batch methods and in many cases exceed their performance. |
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| Keywords: |
Bayesian optimisation, Batch, Parallel, Exploitation, -greedy, Infill criteria, Acquisition function |
| College: |
Faculty of Science and Engineering |
| Start Page: |
787 |
| End Page: |
795 |