论文标题

并行预测性熵搜索具有约束的多目标贝叶斯优化

Parallel Predictive Entropy Search for Multi-objective Bayesian Optimization with Constraints

论文作者

Garrido-Merchán, Eduardo C., Hernández-Lobato, Daniel

论文摘要

现实世界中的问题通常涉及在多个约束下优化几个目标。一个例子是机器学习算法的高参数调谐问题。特别是,最小化深神经网络的概括误差的估计以及其预测时间的最小化。我们也可以认为必须在芯片中实施深层神经网络,其区域低于某个大小。在这里,目标和约束都是黑匣子,即其分析表达式未知且评估昂贵的功能。贝叶斯优化(BO)方法论为黑盒的优化提供了最新结果。然而,大多数BO方法都是顺序的,并在一个输入位置(迭代地点)评估目标和约束。但是,有时,我们可能会有资源可以并行评估几种配置。尽管如此,尚未提出任何平行的BO方法来处理在多个约束下的多个目标的优化。如果可以并行进行昂贵的评估(如可用计算机群时),则顺序评估会导致浪费资源。本文介绍了PPESMOC,并行预测性熵搜索具有约束的多目标贝叶斯优化,这是一种基于信息的批处理方法,用于在存在多个约束的情况下同时优化多个昂贵评估的黑盒功能。迭代地,PPESMOC选择了一批输入位置来评估黑盒,以最大程度地减少优化问题的帕累托集的熵。我们以合成,基准和现实世界实验的形式提供了经验证据,这些实验说明了PPESMOC的有效性。

Real-world problems often involve the optimization of several objectives under multiple constraints. An example is the hyper-parameter tuning problem of machine learning algorithms. In particular, the minimization of the estimation of the generalization error of a deep neural network and at the same time the minimization of its prediction time. We may also consider as a constraint that the deep neural network must be implemented in a chip with an area below some size. Here, both the objectives and the constraint are black boxes, i.e., functions whose analytical expressions are unknown and are expensive to evaluate. Bayesian optimization (BO) methodologies have given state-of-the-art results for the optimization of black-boxes. Nevertheless, most BO methods are sequential and evaluate the objectives and the constraints at just one input location, iteratively. Sometimes, however, we may have resources to evaluate several configurations in parallel. Notwithstanding, no parallel BO method has been proposed to deal with the optimization of multiple objectives under several constraints. If the expensive evaluations can be carried out in parallel (as when a cluster of computers is available), sequential evaluations result in a waste of resources. This article introduces PPESMOC, Parallel Predictive Entropy Search for Multi-objective Bayesian Optimization with Constraints, an information-based batch method for the simultaneous optimization of multiple expensive-to-evaluate black-box functions under the presence of several constraints. Iteratively, PPESMOC selects a batch of input locations at which to evaluate the black-boxes so as to maximally reduce the entropy of the Pareto set of the optimization problem. We present empirical evidence in the form of synthetic, benchmark and real-world experiments that illustrate the effectiveness of PPESMOC.

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