SOBER: Highly Parallel Bayesian Optimization and Bayesian Quadrature over Discrete and Mixed Spaces

Masaki Adachi, Satoshi Hayakawa, Saad Hamid, Martin Jørgensen, Harald Oberhauser, Michael A Osborne

Keywords: Bayesian optimization, Bayesian quadrature, Probabilistic Numerics

TL;DR: Fast and diversified batch selection method for batch Bayesian optimization and Bayesian quadrature

Abstract: Batch Bayesian optimisation and Bayesian quadrature have been shown to be sample-efficient methods of performing optimisation and quadrature where expensive-to-evaluate objective functions can be queried in parallel. However, current methods do not scale to large batch sizes — a frequent desideratum in practice (e.g. drug discovery or simulation-based inference). We present a novel algorithm, SOBER, which permits scalable and diversified batch global optimisation and quadrature with arbitrary acquisition functions and kernels over discrete and mixed spaces. The key to our approach is to reformulate batch selection for global optimisation as a quadrature problem, which relaxes acquisition function maximisation (non-convex) to kernel recombination (convex). Bridging global optimisation and quadrature can efficiently solve both tasks by balancing the merits of exploitative Bayesian optimisation and explorative Bayesian quadrature. We show that SOBER outperforms 11 competitive baselines on 12 synthetic and diverse real-world tasks.

Submission Number: 5