Constrained Multi-objective Bayesian Optimization

Diantong Li, Fengxue Zhang, Chong Liu, Yuxin Chen

Keywords: Constrained Multi-objective Bayesian optimization, Scientific experiment design, Drug discovery, Constrained Bayesian Optimization, Feasibility analysis, Theoretical convergence, Scalarization of objectives, Random scalarization

TL;DR: We propose a sample-efficient constrained multi-objective Bayesian optimization algorithm that balances active learning of level sets with optimization in feasible regions, supported by theoretical justification and empirical validation.

Abstract: Multi-objective Bayesian optimization has been widely adopted in scientific experiment design, including drug discovery and hyperparameter optimization. In practice, regulatory or safety concerns often impose additional thresholds on certain attributes of the experimental outcomes. Previous work has primarily focused on constrained single-objective optimization tasks or active search under constraints. We propose CMOBO, a sample-efficient constrained multi-objective Bayesian optimization algorithm that balances learning of the feasible region (defined on multiple unknowns) with multi-objective optimization within the feasible region in a principled manner. We provide both theoretical justification and empirical evidence, demonstrating the efficacy of our approach on various synthetic benchmarks and real-world applications.

Submission Number: 41