论文标题
联合贝叶斯优化和随机映射函数与凸多属的函数
Combinatorial Bayesian Optimization with Random Mapping Functions to Convex Polytopes
论文作者
论文摘要
贝叶斯优化是解决昂贵评估的黑盒功能的全球优化问题的流行方法。它依赖于目标函数的概率替代模型,在该模型上构建了采集函数以确定接下来在哪里评估目标函数。通常,使用高斯过程回归的贝叶斯优化在连续空间上运行。当输入变量分类或离散时,需要额外的护理。一种常见的方法是将单热编码或布尔表示形式用于可能产生组合爆炸问题的分类变量。在本文中,我们提出了一种在组合空间中贝叶斯优化的方法,该方法可以在大型组合空间中运行良好。主要思想是使用一个随机映射,该映射将组合空间嵌入到连续空间中的凸多角形中,在该空间上,所有基本过程都将在组合空间中确定黑框优化的解决方案。我们描述了我们的组合贝叶斯优化算法,并介绍其遗憾分析。数值实验表明,与现有方法相比,我们的方法表现出令人满意的性能。
Bayesian optimization is a popular method for solving the problem of global optimization of an expensive-to-evaluate black-box function. It relies on a probabilistic surrogate model of the objective function, upon which an acquisition function is built to determine where next to evaluate the objective function. In general, Bayesian optimization with Gaussian process regression operates on a continuous space. When input variables are categorical or discrete, an extra care is needed. A common approach is to use one-hot encoded or Boolean representation for categorical variables which might yield a combinatorial explosion problem. In this paper we present a method for Bayesian optimization in a combinatorial space, which can operate well in a large combinatorial space. The main idea is to use a random mapping which embeds the combinatorial space into a convex polytope in a continuous space, on which all essential process is performed to determine a solution to the black-box optimization in the combinatorial space. We describe our combinatorial Bayesian optimization algorithm and present its regret analysis. Numerical experiments demonstrate that our method shows satisfactory performance compared to existing methods.