Improved max-value entropy search for multi-objective bayesian optimization with constraints

Daniel Fernández-Sánchez, Eduardo C. Garrido-Merchán, Daniel Hernández-Lobato

Abstract: We present MESMOC+, an improved version of Max-value Entropy search for Multi-Objective Bayesian optimization with Constraints (MESMOC). MESMOC+ can be used to solve constrained multi-objective problems when the objectives and the constraints are expensive to evaluate. It is based on minimizing the entropy of the solution of the optimization problem in function space (i.e., the Pareto front) to guide the search for the optimum. The cost of MESMOC+ is linear in the number of objectives and constraints. Furthermore, it is often significantly smaller than the cost of alternative methods based on minimizing the entropy of the Pareto set. The reason for this is that it is easier to approximate the required computations in MESMOC+. Moreover, MESMOC+’s acquisition function is expressed as the sum of one acquisition per each black-box (objective or constraint). Therefore, it can be used in a decoupled evaluation setting in which it is chosen not only the next input location to evaluate, but also which black-box to evaluate there. We compare MESMOC+ with related methods in synthetic, benchmark and real optimization problems. These experiments show that MESMOC+ has similar performance to that of state-of-the-art acquisitions based on entropy search, but it is faster to execute and simpler to implement. Moreover, our experiments also show that MESMOC+ is more robust with respect to the number of samples of the Pareto front.