Towards Automated Design of Bayesian Optimization via Exploratory Landscape AnalysisDownload PDF

04 Oct 2022, 23:09 (modified: 26 Nov 2022, 09:49)NeurIPS 2022 Workshop MetaLearn PosterReaders: Everyone
Keywords: Bayesian Optimization, Acquisition Function Schedule, ELA, exploratory landscape analysis
TL;DR: In BO: Select schedule of acquisition function based on ELA features of the initial design.
Abstract: Bayesian optimization (BO) algorithms form a class of surrogate-based heuristics, aimed at efficiently computing high-quality solutions for numerical black-box optimization problems. The BO pipeline is highly modular, with different design choices for the initial sampling strategy, the surrogate model, the acquisition function (AF), the solver used to optimize the AF, etc. We demonstrate in this work that a dynamic selection of the AF can benefit the BO design. More precisely, we show that already a naive random forest regression model, built on top of exploratory landscape analysis features that are computed from the initial design points, suffices to recommend AFs that outperform any static choice, when considering performance over the classic BBOB benchmark suite for derivative-free numerical optimization methods on the COCO platform. Our work hence paves a way towards AutoML-assisted, on-the-fly BO designs that adjust their behavior on a run-by-run basis.
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