论文标题
高通量贝叶斯优化的信息理论诱导点位置
Information-theoretic Inducing Point Placement for High-throughput Bayesian Optimisation
论文作者
论文摘要
稀疏的高斯工艺是高通量贝叶斯优化(BO)循环的关键组成部分 - 越来越常见的环境,评估预算较大且高度平行。通过使用可用数据的代表性子集来构建近似后代,稀疏模型通过依靠一小部分伪观察,即所谓的诱导点,代替完整的数据集来大大降低替代建模的计算成本。但是,当前设计诱导点的方法在BO循环中不合适,因为它们试图减少目标函数的全球不确定性。因此,牺牲了精确优化所需的有前途和数据密集区域的高保真建模,而是牺牲了计算资源,而是浪费在已经已知的次优最佳空间的建模区域上。受基于熵的BO方法的启发,我们提出了一种新颖的诱导点设计,该设计使用原则的信息理论标准来选择诱导点。通过选择诱导点以最大程度地降低目标函数最大值的全局不确定性和不确定性,我们构建了能够支持高精度高通量BO的替代模型。
Sparse Gaussian Processes are a key component of high-throughput Bayesian optimisation (BO) loops -- an increasingly common setting where evaluation budgets are large and highly parallelised. By using representative subsets of the available data to build approximate posteriors, sparse models dramatically reduce the computational costs of surrogate modelling by relying on a small set of pseudo-observations, the so-called inducing points, in lieu of the full data set. However, current approaches to design inducing points are not appropriate within BO loops as they seek to reduce global uncertainty in the objective function. Thus, the high-fidelity modelling of promising and data-dense regions required for precise optimisation is sacrificed and computational resources are instead wasted on modelling areas of the space already known to be sub-optimal. Inspired by entropy-based BO methods, we propose a novel inducing point design that uses a principled information-theoretic criterion to select inducing points. By choosing inducing points to maximally reduce both global uncertainty and uncertainty in the maximum value of the objective function, we build surrogate models able to support high-precision high-throughput BO.