Timezone: »
Applying Bayesian optimization in problems wherein the search space is unknown is challenging. To address this problem, we propose a systematic volume expansion strategy for the Bayesian optimization. We devise a strategy to guarantee that in iterative expansions of the search space, our method can find a point whose function value within epsilon of the objective function maximum. Without the need to specify any parameters, our algorithm automatically triggers a minimal expansion required iteratively. We derive analytic expressions for when to trigger the expansion and by how much to expand. We also provide theoretical analysis to show that our method achieves epsilon-accuracy after a finite number of iterations. We demonstrate our method on both benchmark test functions and machine learning hyper-parameter tuning tasks and demonstrate that our method outperforms baselines.
Author Information
Huong Ha (Deakin University)
Santu Rana (Deakin University)
Sunil Gupta (Deakin University)
Thanh Nguyen-Tang (Deakin University)
Hung Tran-The (Deakin University)
Svetha Venkatesh (Deakin University)
More from the Same Authors
-
2021 : Offline neural contextual bandits: Pessimism, Optimization and Generalization »
Thanh Nguyen-Tang · Sunil Gupta · A. Tuan Nguyen · Svetha Venkatesh -
2021 Poster: Model-Based Episodic Memory Induces Dynamic Hybrid Controls »
Hung Le · Thommen Karimpanal George · Majid Abdolshah · Truyen Tran · Svetha Venkatesh -
2021 Poster: Kernel Functional Optimisation »
Arun Kumar Anjanapura Venkatesh · Alistair Shilton · Santu Rana · Sunil Gupta · Svetha Venkatesh -
2020 Poster: Sub-linear Regret Bounds for Bayesian Optimisation in Unknown Search Spaces »
Hung Tran-The · Sunil Gupta · Santu Rana · Huong Ha · Svetha Venkatesh -
2019 Poster: Multi-objective Bayesian optimisation with preferences over objectives »
Majid Abdolshah · Alistair Shilton · Santu Rana · Sunil Gupta · Svetha Venkatesh -
2018 Poster: Algorithmic Assurance: An Active Approach to Algorithmic Testing using Bayesian Optimisation »
Shivapratap Gopakumar · Sunil Gupta · Santu Rana · Vu Nguyen · Svetha Venkatesh -
2018 Poster: Variational Memory Encoder-Decoder »
Hung Le · Truyen Tran · Thin Nguyen · Svetha Venkatesh -
2017 Poster: Process-constrained batch Bayesian optimisation »
Pratibha Vellanki · Santu Rana · Sunil Gupta · David Rubin · Alessandra Sutti · Thomas Dorin · Murray Height · Paul Sanders · Svetha Venkatesh -
2017 Spotlight: Process-constrained batch Bayesian optimisation »
Pratibha Vellanki · Santu Rana · Sunil Gupta · David Rubin · Alessandra Sutti · Thomas Dorin · Murray Height · Paul Sanders · Svetha Venkatesh