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Adaptive multi-fidelity optimization with fast learning rates Enhancing AI and Dynamical Subseasonal Forecasts with Probabilistic Bias Correction Sample Complexity Bounds for Stochastic Shortest Path with a Generative Model The Harder Path: Last Iterate Convergence for Uncoupled Learning in Zero-Sum Games with Bandit Feedback Stylistic-STORM (ST-STORM) : Perceiving the Semantic Nature of Appearance Collective Kernel EFT for Pre-activation ResNets PRIM-cipal components analysis One-Shot Generative Flows: Existence and Obstructions Structural interpretability in SVMs with truncated orthogonal polynomial kernels Amortized Optimal Transport from Sliced Potentials MinShap: A Modified Shapley Value Approach for Feature Selection Unsupervised feature selection using Bayesian Tucker decomposition Multi-User mmWave Beam and Rate Adaptation via Combinatorial Satisficing Bandits Best of both worlds: Stochastic & adversarial best-arm identification Scalable Model-Based Clustering with Sequential Monte Carlo Expert-Guided Class-Conditional Goodness-of-Fit Scores for Interpretable Classification with Informative Missingness: An Application to Seismic Monitoring Lightweight Geometric Adaptation for Training Physics-Informed Neural Networks Gating Enables Curvature: A Geometric Expressivity Gap in Attention Zeroth-Order Optimization at the Edge of Stability Differentially Private Conformal Prediction CLion: Efficient Cautious Lion Optimizer with Enhanced Generalization Generative Augmented Inference Improving Machine Learning Performance with Synthetic Augmentation PAC-MCTS: Bias-Aware Pruning for Robust LLM-Guided Search and Planning Path-Sampled Integrated Gradients Heat and Matérn Kernels on Matchings Doubly Outlier-Robust Online Infinite Hidden Markov Model Momentum Further Constrains Sharpness at the Edge of Stochastic Stability Multistage Conditional Compositional Optimization BOAT: Navigating the Sea of In Silico Predictors for Antibody Design via Multi-Objective Bayesian Optimization
Bayesian Optimization over Discrete and Mixed Spaces via ...
Samuel Daulton, Xingchen Wan, David Eriksson, Maximilian Balanda · 2022-10-19 · via stat.ML updates on arXiv.org

Optimizing expensive-to-evaluate black-box functions of discrete (and potentially continuous) design parameters is a ubiquitous problem in scientific and engineering applications. Bayesian optimization (BO) is a popular, sample-efficient method that leverages a probabilistic surrogate model and an acquisition function (AF) to select promising designs to evaluate. However, maximizing the AF over mixed or high-cardinality discrete search spaces is challenging standard gradient-based methods cannot be used directly or evaluating the AF at every point in the search space would be computationally prohibitive. To address this issue, we propose using probabilistic reparameterization (PR). Instead of directly optimizing the AF over the search space containing discrete parameters, we instead maximize the expectation of the AF over a probability distribution defined by continuous parameters. We prove that under suitable reparameterizations, the BO policy that maximizes the probabilistic objective is the same as that which maximizes the AF, and therefore, PR enjoys the same regret bounds as the original BO policy using the underlying AF. Moreover, our approach provably converges to a stationary point of the probabilistic objective under gradient ascent using scalable, unbiased estimators of both the probabilistic objective and its gradient. Therefore, as the number of starting points and gradient steps increase, our approach will recover of a maximizer of the AF (an often-neglected requisite for commonly used BO regret bounds). We validate our approach empirically and demonstrate state-of-the-art optimization performance on a wide range of real-world applications. PR is complementary to (and benefits) recent work and naturally generalizes to settings with multiple objectives and black-box constraints.