论文标题

贝叶斯优化框架,用于在昂贵的多模式功能中查找本地最佳

A Bayesian Optimization Framework for Finding Local Optima in Expensive Multi-Modal Functions

论文作者

Mei, Yongsheng, Lan, Tian, Imani, Mahdi, Subramaniam, Suresh

论文摘要

贝叶斯优化(BO)是一种流行的全局优化方案,用于具有昂贵功能评估的域中样品效率优化。现有的BO技术能够找到单个全局最佳解决方案。但是,在各种现实世界中,找到一组全球和本地最佳解决方案至关重要,因为由于各种实际限制(例如,资源限制,物理约束等),实施某些最佳解决方案可能是不可行的。在这样的域中,如果知道多个解决方案,则可以将实现快速切换到另一种解决方案,并且仍然可以获得最佳的系统性能。本文开发了一个多模式的BO框架,可以有效地找到一组本地/全球解决方案,以进行昂贵的多模式目标功能。我们考虑具有代表目标函数的高斯过程回归的标准BO设置。我们通过分析得出目标函数及其一阶导数的联合分布。该联合分布在BO采集函数的主体中用于在优化过程中搜索局部优势。我们将众所周知的BO采集功能的变体介绍到多模式设置,并在使用多个优化问题定位一组本地最佳解决方案时演示了所提出的框架的性能。

Bayesian optimization (BO) is a popular global optimization scheme for sample-efficient optimization in domains with expensive function evaluations. The existing BO techniques are capable of finding a single global optimum solution. However, finding a set of global and local optimum solutions is crucial in a wide range of real-world problems, as implementing some of the optimal solutions might not be feasible due to various practical restrictions (e.g., resource limitation, physical constraints, etc.). In such domains, if multiple solutions are known, the implementation can be quickly switched to another solution, and the best possible system performance can still be obtained. This paper develops a multimodal BO framework to effectively find a set of local/global solutions for expensive-to-evaluate multimodal objective functions. We consider the standard BO setting with Gaussian process regression representing the objective function. We analytically derive the joint distribution of the objective function and its first-order derivatives. This joint distribution is used in the body of the BO acquisition functions to search for local optima during the optimization process. We introduce variants of the well-known BO acquisition functions to the multimodal setting and demonstrate the performance of the proposed framework in locating a set of local optimum solutions using multiple optimization problems.

扫码加入交流群

加入微信交流群

微信交流群二维码

扫码加入学术交流群,获取更多资源