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Batch Bayesian optimization via adaptive local search
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DOI：10.1007/s10489-020-01790-5.png)
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Bayesianoptimization (BO) provides an efficient tool for solving the black-box global optimization problems. Under situations where multiple points can be evaluated simultaneously, batch Bayesian optimization has been a popular extension by taking full use of the computational and experimental resources. In this paper, an adaptive local search strategy is investigated to select batch points for Bayesian optimization. First, multi-start strategy and gradient-based optimization method are combined to maximize the acquisition function. Then, an automatic cluster approach (e.g., X-means) is applied to adaptively identify the acquisition function's local maxima from the gradient-based optimization results. Third, the Bayesian stopping criterion is utilized to guarantee all the local maxima can be obtained theoretically. Moreover, the lower bound confidence criterion and frontend truncation operation are employed to select the most promising local maxima as batch points. Extensive evaluations on various synthetic functions and two hyperparameter tuning problems for deep learning models are utilized to verify the proposed method.
Keyword:
Batch Bayesian optimization
Adaptive local search
Parallel search
Hyperparameter tuning
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