Expert-guided Bayesian Optimisation for Human-in-the-loop Experimental Design of Known Systems
Keywords: Bayesian Optimisation, Expert Guided, Human-In-The-Loop, Batch
TL;DR: At each iteration we solve a batch Bayesian optimisation problem using multi-objective optimisation, resulting in a set of promising but distinct solutions that an expert can choose from.
Abstract: Domain experts often possess valuable physical insights that are overlooked in fully automated decision-making processes such as Bayesian optimisation. In this article we apply high-throughput (batch) Bayesian optimisation alongside anthropological decision theory to enable domain experts to influence the selection of optimal experiments. Our methodology exploits the hypothesis that humans are better at making discrete choices than continuous ones and enables experts to influence critical early decisions. At each iteration we solve an augmented multi-objective optimisation problem across a number of alternate solutions, maximising both the sum of their utility function values and the determinant of their covariance matrix, equivalent to their total variability. By taking the solution at the knee point of the Pareto front, we return a set of alternate solutions at each iteration that have both high utility values and are reasonably distinct, from which the expert selects one for evaluation. We demonstrate that even in the case of an uninformed practitioner, our algorithm recovers the regret of standard Bayesian optimisation.
Submission Number: 13
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