A portfolio approach to massively parallel Bayesian optimization - Inria - Institut national de recherche en sciences et technologies du numérique Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2021

A portfolio approach to massively parallel Bayesian optimization

Résumé

One way to reduce the time of conducting optimization studies is to evaluate designs in parallel rather than just one-at-a-time. For expensive-to-evaluate black-boxes, batch versions of Bayesian optimization have been proposed. They work by building a surrogate model of the black-box that can be used to select the designs to evaluate efficiently via an infill criterion. Still, with higher levels of parallelization becoming available, the strategies that work for a few tens of parallel evaluations become limiting, in particular due to the complexity of selecting more evaluations. It is even more crucial when the black-box is noisy, necessitating more evaluations as well as repeating experiments. Here we propose a scalable strategy that can keep up with massive batching natively, focused on the exploration/exploitation trade-off and a portfolio allocation. We compare the approach with related methods on deterministic and noisy functions, for mono and multiobjective optimization tasks. These experiments show similar or better performance than existing methods, while being orders of magnitude faster.

Mots clés

Fichier principal
Vignette du fichier
MOSO_hal_arxiv.pdf (1.85 Mo) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-03383097 , version 1 (18-10-2021)
hal-03383097 , version 2 (31-05-2022)
hal-03383097 , version 3 (03-04-2023)

Identifiants

Citer

Mickael Binois, Nicholson Collier, Jonathan Ozik. A portfolio approach to massively parallel Bayesian optimization. 2021. ⟨hal-03383097v1⟩
139 Consultations
139 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More