This paper proposes a novel approach to batch Bayesian optimisation using a multi-objective optimisation framework with exploitation and exploration forming two objectives. The key advantage of this approach is that it uses a suite of strategies to balance exploration and exploitation and thus can efficiently handle the optimisation of a variety of functions with small to large number of local extrema. Another advantage is that it automatically determines the batch size within a specified budget avoiding unnecessary function evaluations. Theoretical analysis shows that the regret not only reduces sub-linearly but also by an additional reduction factor determined by the batch size. We demonstrate the efficiency of our algorithm by optimising a variety of benchmark functions, performing hyperparameter tuning of support vector regression and classification, and finally heat treatment process of an Al-Sc alloy. Comparisons with recent baseline algorithms confirm the usefulness of our algorithm.
History
Volume
84
Pagination
538-547
Location
Playa Blanca, Lanzarote, Canary Islands
Start date
2018-04-09
End date
2018-04-11
Language
eng
Publication classification
E1 Full written paper - refereed
Copyright notice
2018, the author(s)
Editor/Contributor(s)
Storkey A, Perez-Cruz F
Title of proceedings
AISTATS 2018 : Proceedings of the International Conference on Artificial Intelligence and Statistics