When tuning the architecture and hyperparameters of large machine learning models for on-device deployment, it is desirable to understand the optimal trade-offs between on-device latency and model accuracy. In this work, we leverage recent methodological advances in Bayesian optimization over high-dimensional search spaces and multi-objective Bayesian optimization to efficiently explore these trade-offs for a production-scale on-device natural language understanding model at Facebook.
Bayesian Optimization is a sample-efficient black-box optimization procedure that is typically applied to problems with a small number of independent objectives. However, in practice we often wish to optimize objectives defined over many correlated outcomes (or ``tasks"). For example, scientists may want to optimize the coverage of a cell tower network across a dense grid of locations. Similarly, engineers may seek to balance the performance of a robot across dozens of different environments via constrained or robust optimization. However, the Gaussian Process (GP) models typically used as probabilistic surrogates for multi-task Bayesian Optimization scale poorly with the number of outcomes, greatly limiting applicability. We devise an efficient technique for exact multi-task GP sampling that combines exploiting Kronecker structure in the covariance matrices with Matheron's identity, allowing us to perform Bayesian Optimization using exact multi-task GP models with tens of thousands of correlated outputs. In doing so, we achieve substantial improvements in sample efficiency compared to existing approaches that only model aggregate functions of the outcomes. We demonstrate how this unlocks a new class of applications for Bayesian Optimization across a range of tasks in science and engineering, including optimizing interference patterns of an optical interferometer with more than 65,000 outputs.
Optimizing multiple competing black-box objectives is a challenging problem in many fields, including science, engineering, and machine learning. Multi-objective Bayesian optimization is a powerful approach for identifying the optimal trade-offs between the objectives with very few function evaluations. However, existing methods tend to perform poorly when observations are corrupted by noise, as they do not take into account uncertainty in the true Pareto frontier over the previously evaluated designs. We propose a novel acquisition function, NEHVI, that overcomes this important practical limitation by applying a Bayesian treatment to the popular expected hypervolume improvement criterion to integrate over this uncertainty in the Pareto frontier. We further argue that, even in the noiseless setting, the problem of generating multiple candidates in parallel reduces that of handling uncertainty in the Pareto frontier. Through this lens, we derive a natural parallel variant of NEHVI that can efficiently generate large batches of candidates. We provide a theoretical convergence guarantee for optimizing a Monte Carlo estimator of NEHVI using exact sample-path gradients. Empirically, we show that NEHVI achieves state-of-the-art performance in noisy and large-batch environments.
Bayesian optimization is a sequential decision making framework for optimizing expensive-to-evaluate black-box functions. Computing a full lookahead policy amounts to solving a highly intractable stochastic dynamic program. Myopic approaches, such as expected improvement, are often adopted in practice, but they ignore the long-term impact of the immediate decision. Existing nonmyopic approaches are mostly heuristic and/or computationally expensive. In this paper, we provide the first efficient implementation of general multi-step lookahead Bayesian optimization, formulated as a sequence of nested optimization problems within a multi-step scenario tree. Instead of solving these problems in a nested way, we equivalently optimize all decision variables in the full tree jointly, in a ``one-shot'' fashion. Combining this with an efficient method for implementing multi-step Gaussian process ``fantasization,'' we demonstrate that multi-step expected improvement is computationally tractable and exhibits performance superior to existing methods on a wide range of benchmarks.
In many real-world scenarios, decision makers seek to efficiently optimize multiple competing objectives in a sample-efficient fashion. Multi-objective Bayesian optimization (BO) is a common approach, but many existing acquisition functions do not have known analytic gradients and suffer from high computational overhead. We leverage recent advances in programming models and hardware acceleration for multi-objective BO using Expected Hypervolume Improvement (EHVI)---an algorithm notorious for its high computational complexity. We derive a novel formulation of $q$-Expected Hypervolume Improvement ($q$EHVI), an acquisition function that extends EHVI to the parallel, constrained evaluation setting. $q$EHVI is an exact computation of the joint EHVI of $q$ new candidate points (up to Monte-Carlo (MC) integration error). Whereas previous EHVI formulations rely on gradient-free acquisition optimization or approximated gradients, we compute exact gradients of the MC estimator via auto-differentiation, thereby enabling efficient and effective optimization using first-order and quasi-second-order methods. Lastly, our empirical evaluation demonstrates that $q$EHVI is computationally tractable in many practical scenarios and outperforms state-of-the-art multi-objective BO algorithms at a fraction of their wall time.
Bayesian optimization provides sample-efficient global optimization for a broad range of applications, including automatic machine learning, molecular chemistry, and experimental design. We introduce BoTorch, a modern programming framework for Bayesian optimization. Enabled by Monte-Carlo (MC) acquisition functions and auto-differentiation, BoTorch's modular design facilitates flexible specification and optimization of probabilistic models written in PyTorch, radically simplifying implementation of novel acquisition functions. Our MC approach is made practical by a distinctive algorithmic foundation that leverages fast predictive distributions and hardware acceleration. In experiments, we demonstrate the improved sample efficiency of BoTorch relative to other popular libraries. BoTorch is open source and available at https://github.com/pytorch/botorch.
We study a general version of the adversarial online learning problem. We are given a decision set $\mathcal{X}$ in a reflexive Banach space $X$ and a sequence of reward vectors in the dual space of $X$. At each iteration, we choose an action from $\mathcal{X}$, based on the observed sequence of previous rewards. Our goal is to minimize regret, defined as the gap between the realized reward and the reward of the best fixed action in hindsight. Using results from infinite dimensional convex analysis, we generalize the method of Dual Averaging (or Follow the Regularized Leader) to our setting and obtain general upper bounds on the worst-case regret that subsume a wide range of results from the literature. Under the assumption of uniformly continuous rewards, we obtain explicit anytime regret bounds in a setting where the decision set is the set of probability distributions on a compact metric space $S$ whose Radon-Nikodym derivatives are elements of $L^p(S)$ for some $p > 1$. Importantly, we make no convexity assumptions on either the set $S$ or the reward functions. We also prove a general lower bound on the worst-case regret for any online algorithm. We then apply these results to the problem of learning in repeated continuous two-player zero-sum games, in which players' strategy sets are compact metric spaces. In doing so, we first prove that if both players play a Hannan-consistent strategy, then with probability 1 the empirical distributions of play weakly converge to the set of Nash equilibria of the game. We then show that, under mild assumptions, Dual Averaging on the (infinite-dimensional) space of probability distributions indeed achieves Hannan-consistency. Finally, we illustrate our results through numerical examples.