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arXiv 2312.03212cs.LGstat.ML
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部分观测下的约束贝叶斯优化:平衡改进与可证明收敛

Constrained Bayesian Optimization Under Partial Observations: Balanced Improvements and Provable Convergence

University of Electronic Science and Technology of China(电子科技大学);University of Exeter(埃克塞特大学)

Shengbo Wang, Ke Li

AI总结:

针对部分可观测约束优化问题,提出一种结合改进采集函数与嵌入不同似然的高斯过程代理模型的约束贝叶斯优化方法,实现平衡探索并证明收敛性,在合成和实际问题上表现优异。

摘要:

部分可观测约束优化问题(POCOPs)阻碍了数据驱动优化技术的发展,因为POCOPs的一个不可行解几乎无法提供关于目标函数以及约束条件的信息。我们致力于在约束贝叶斯优化框架下,为昂贵的POCOPs设计一种高效且可证明的方法。我们的方法包含两个关键组成部分。首先,我们提出了一种改进的采集函数设计,该设计在优化过程中引入了平衡探索。我们严格研究了该设计的收敛性质,以证明其有效性。其次,我们提出了一种嵌入不同似然函数的高斯过程作为部分可观测约束的代理模型。与传统基于分类的模型相比,该模型能够更准确地表示可行区域。我们在合成问题和实际问题上对所提出的方法进行了实证研究。结果表明,我们的方法在解决POCOPs方面具有竞争力。

英文摘要:

The partially observable constrained optimization problems (POCOPs) impede data-driven optimization techniques since an infeasible solution of POCOPs can provide little information about the objective as well as the constraints. We endeavor to design an efficient and provable method for expensive POCOPs under the framework of constrained Bayesian optimization. Our method consists of two key components. Firstly, we present an improved design of the acquisition functions that introduces balanced exploration during optimization. We rigorously study the convergence properties of this design to demonstrate its effectiveness. Secondly, we propose a Gaussian process embedding different likelihoods as the surrogate model for a partially observable constraint. This model leads to a more accurate representation of the feasible regions compared to traditional classification-based models. Our proposed method is empirically studied on both synthetic and real-world problems. The results demonstrate the competitiveness of our method for solving POCOPs.

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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