论文标题

校正最大值熵搜索贝叶斯优化

Rectified Max-Value Entropy Search for Bayesian Optimization

论文作者

Nguyen, Quoc Phong, Low, Bryan Kian Hsiang, Jaillet, Patrick

论文摘要

尽管现有的最大值熵搜索(MES)是基于广泛庆祝的相互信息的概念,但由于两个误解,其经验表现可能会遭受对探索探索探索折衷的含义,因此在本文中进行了研究。这些问题对于未来获取功能的发展和改进的问题至关重要,因为它们鼓励对共同信息的准确度量,例如我们在这项工作中开发的纠正MES(RMES)采集功能。与MES的评估不同,我们得出了以最大值为条件的观测值的闭合形式概率密度,并采用随机梯度上升并进行重新聚集,以有效地优化RME。由于更有原则的采集函数,RMES在几个合成功能基准和现实世界优化问题中对ME的MES表现出一致的改善。

Although the existing max-value entropy search (MES) is based on the widely celebrated notion of mutual information, its empirical performance can suffer due to two misconceptions whose implications on the exploration-exploitation trade-off are investigated in this paper. These issues are essential in the development of future acquisition functions and the improvement of the existing ones as they encourage an accurate measure of the mutual information such as the rectified MES (RMES) acquisition function we develop in this work. Unlike the evaluation of MES, we derive a closed-form probability density for the observation conditioned on the max-value and employ stochastic gradient ascent with reparameterization to efficiently optimize RMES. As a result of a more principled acquisition function, RMES shows a consistent improvement over MES in several synthetic function benchmarks and real-world optimization problems.

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