$ε$-shotgun: $ε$-greedy Batch Bayesian Optimisation

Abstract

Bayesian optimisation is a popular surrogate model-based approach for optimising expensive black-box functions. Given a surrogate model, the next location to expensively evaluate is chosen via maximisation of a cheap-to-query acquisition function. We present an ϵ-greedy procedure for Bayesian optimisation in batch settings in which the black-box function can be evaluated multiple times in parallel. Our ϵ-shotgun algorithm leverages the model's prediction, uncertainty, and the approximated rate of change of the landscape to determine the spread of batch solutions to be distributed around a putative location. The initial target location is selected either in an exploitative fashion on the mean prediction, or -with probability ϵ -from elsewhere in the design space. This results in locations that are more densely sampled in regions where the function is changing rapidly and in locations predicted to be good (i.e. close to predicted optima), with more scattered samples in regions where the function is flatter and/or of poorer quality. We empirically evaluate the ϵ-shotgun methods on a range of synthetic functions and two real-world problems, finding that they perform at least as well as state-of-the-art batch methods and in many cases exceed their performance.

Uncertainty quantification and exploration–exploitation trade-off in humans

“…The mean-variance framework has been also considered in (Iwazaki et al, 2020), for multi-task, multi-objective and constrained optimization scenarios. (De Ath et al, 2019;De Ath et al, 2020) show that taking a decision by randomly sampling from the Pareto frontier can outperform other acquisition functions. The main motivation is that the Pareto frontier offers a set of Pareto-efficient decisions wider than that allowed by "traditional" acquisition functions.…”