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arXiv 1802.07028cs.LGstat.ML
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基于重叠群可加模型的高维贝叶斯优化

High-Dimensional Bayesian Optimization via Additive Models with Overlapping Groups

EPFL(洛桑联邦理工学院);National University of Singapore(新加坡国立大学)

Paul Rolland, Jonathan Scarlett, Ilija Bogunovic, Volkan Cevher

摘要:

贝叶斯优化(BO)是一种用于顺序黑盒函数优化的流行技术,其应用包括参数调整,机器人,环境监测等。BO中最重要的挑战之一是开发可扩展到高维的算法,尽管最近取得了进展,但这仍然是一个关键的开放问题。在本文中,我们考虑Kandasamy等人的方法。(2015),其中高维函数分解为基础变量子集上的低维函数之和。特别是,我们显着推广这种方法,通过提升的假设,子集是不相交的,并考虑添加剂模型与任意重叠的子集。通过表示的依赖关系,通过一个图,我们推导出一个有效的消息传递算法优化采集功能。此外,我们提供了一个算法学习的图形从样本的基础上吉布斯采样。我们实证证明了我们的方法对合成和真实世界数据的有效性。

英文摘要:

Bayesian optimization (BO) is a popular technique for sequential black-box function optimization, with applications including parameter tuning, robotics, environmental monitoring, and more. One of the most important challenges in BO is the development of algorithms that scale to high dimensions, which remains a key open problem despite recent progress. In this paper, we consider the approach of Kandasamy et al. (2015), in which the high-dimensional function decomposes as a sum of lower-dimensional functions on subsets of the underlying variables. In particular, we significantly generalize this approach by lifting the assumption that the subsets are disjoint, and consider additive models with arbitrary overlap among the subsets. By representing the dependencies via a graph, we deduce an efficient message passing algorithm for optimizing the acquisition function. In addition, we provide an algorithm for learning the graph from samples based on Gibbs sampling. We empirically demonstrate the effectiveness of our methods on both synthetic and real-world data.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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