Fast Bayesian Optimization of Function Networks with Partial Evaluations

Poompol Buathong, Peter I. Frazier

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Abstract: Bayesian optimization of function networks (BOFN) is a framework for optimizing expensive-to-evaluate objective functions structured as networks, where some nodes’ outputs serve as inputs for others. Many real-world applications, such as manufacturing and drug discovery, involve function networks with additional properties - nodes that can be evaluated independently and incur varying costs. A recent BOFN variant, p-KGFN, leverages this structure and enables cost-aware partial evaluations, selectively querying only a subset of nodes at each iteration. p-KGFN reduces the number of expensive objective function evaluations needed but has a large computational overhead: choosing where to evaluate requires optimizing a nested Monte Carlo-based acquisition function for each node in the network. To address this, we propose an accelerated p-KGFN algorithm that reduces computational overhead with only a modest loss in query efficiency. Key to our approach is generation of node-specific candidate inputs for each node in the network via one inexpensive global Monte Carlo simulation. Numerical experiments show that our method maintains competitive query efficiency while achieving up to a $16\times$ speedup over the original p-KGFN algorithm.

Submission Number: 40