Adaptive Candidate Point Thompson Sampling for High-Dimensional Bayesian Optimization

Donney Fan, Geoff Pleiss

TL;DR: We propose a novel Bayesian optimization acquisition strategy based on Thompson sampling, using gradient samples to guide search in promising regions.

Abstract: In Bayesian optimization, Thompson sampling selects the evaluation point by sampling from the posterior distribution over the objective function maximizer. Because this sampling problem is intractable for Gaussian process (GP) surrogates, the posterior distribution is typically restricted to fixed discretizations (i.e., candidate points) that become exponentially sparse as dimensionality increases. While previous works aim to increase candidate point density through scalable GP approximations, our orthogonal approach increases density by adaptively reducing the search space during sampling. Specifically, we introduce Adaptive Candidate Thompson Sampling (ACTS), which generates candidate points in subspaces guided by the gradient of a surrogate model sample. ACTS is a simple drop-in replacement for existing TS methods—including those that use trust regions or other local approximations—producing better samples of maxima and improved optimization across synthetic and real-world benchmarks.

Submission Number: 1595