Multi-Objective Bayesian Optimization with Active Preference Learning

There are a lot of real-world black-box optimization problems that need to optimize multiple criteria simultaneously. However, in a multi-objective optimization (MOO) problem, identifying the whole Pareto front requires the prohibitive search cost, while in many practical scenarios, the decision maker (DM) only needs a specific solution among the set of the Pareto optimal solutions. We propose a Bayesian optimization (BO) approach to identifying the most preferred solution in the MOO with expensive objective functions, in which a Bayesian preference model of the DM is adaptively estimated by an interactive manner based on the two types of supervisions called the pairwise preference and improvement request. To explore the most preferred solution, we define an acquisition function in which the uncertainty both in the objective functions and the DM preference is incorporated. Further, to minimize the interaction cost with the DM, we also propose an active learning strategy for the preference estimation. We empirically demonstrate the effectiveness of our proposed method through the benchmark function optimization and the hyper-parameter optimization problems for machine learning models.

Posterior Sampling-Based Bayesian Optimization with Tighter Bayesian Regret Bounds

Among various acquisition functions (AFs) in Bayesian optimization (BO), Gaussian process upper confidence bound (GP-UCB) and Thompson sampling (TS) are well-known options with established theoretical properties regarding Bayesian cumulative regret (BCR). Recently, it has been shown that a randomized variant of GP-UCB achieves a tighter BCR bound compared with GP-UCB, which we call the tighter BCR bound for brevity. Inspired by this study, this paper first shows that TS achieves the tighter BCR bound. On the other hand, GP-UCB and TS often practically suffer from manual hyperparameter tuning and over-exploration issues, respectively. To overcome these difficulties, we propose yet another AF called a probability of improvement from the maximum of a sample path (PIMS). We show that PIMS achieves the tighter BCR bound and avoids the hyperparameter tuning, unlike GP-UCB. Furthermore, we demonstrate a wide range of experiments, focusing on the effectiveness of PIMS that mitigates the practical issues of GP-UCB and TS.

Towards Practical Preferential Bayesian Optimization with Skew Gaussian Processes

We study preferential Bayesian optimization (BO) where reliable feedback is limited to pairwise comparison called duels. An important challenge in preferential BO, which uses the preferential Gaussian process (GP) model to represent flexible preference structure, is that the posterior distribution is a computationally intractable skew GP. The most widely used approach for preferential BO is Gaussian approximation, which ignores the skewness of the true posterior. Alternatively, Markov chain Monte Carlo (MCMC) based preferential BO is also proposed. In this work, we first verify the accuracy of Gaussian approximation, from which we reveal the critical problem that the predictive probability of duels can be inaccurate. This observation motivates us to improve the MCMC-based estimation for skew GP, for which we show the practical efficiency of Gibbs sampling and derive the low variance MC estimator. However, the computational time of MCMC can still be a bottleneck in practice. Towards building a more practical preferential BO, we develop a new method that achieves both high computational efficiency and low sample complexity, and then demonstrate its effectiveness through extensive numerical experiments.

Randomized Gaussian Process Upper Confidence Bound with Tight Bayesian Regret Bounds

Gaussian process upper confidence bound (GP-UCB) is a theoretically promising approach for black-box optimization; however, the confidence parameter $\beta$ is considerably large in the theorem and chosen heuristically in practice. Then, randomized GP-UCB (RGP-UCB) uses a randomized confidence parameter, which follows the Gamma distribution, to mitigate the impact of manually specifying $\beta$. This study first generalizes the regret analysis of RGP-UCB to a wider class of distributions, including the Gamma distribution. Furthermore, we propose improved RGP-UCB (IRGP-UCB) based on a two-parameter exponential distribution, which achieves tight Bayesian regret bounds. IRGP-UCB does not require an increase in the confidence parameter in terms of the number of iterations, which avoids over-exploration in the later iterations. Finally, we demonstrate the effectiveness of IRGP-UCB through extensive experiments.

Bayesian Optimization for Distributionally Robust Chance-constrained Problem

In black-box function optimization, we need to consider not only controllable design variables but also uncontrollable stochastic environment variables. In such cases, it is necessary to solve the optimization problem by taking into account the uncertainty of the environmental variables. Chance-constrained (CC) problem, the problem of maximizing the expected value under a certain level of constraint satisfaction probability, is one of the practically important problems in the presence of environmental variables. In this study, we consider distributionally robust CC (DRCC) problem and propose a novel DRCC Bayesian optimization method for the case where the distribution of the environmental variables cannot be precisely specified. We show that the proposed method can find an arbitrary accurate solution with high probability in a finite number of trials, and confirm the usefulness of the proposed method through numerical experiments.

Bayesian Optimization for Cascade-type Multi-stage Processes

Complex processes in science and engineering are often formulated as multi-stage decision-making problems. In this paper, we consider a type of multi-stage decision-making process called a cascade process. A cascade process is a multi-stage process in which the output of one stage is used as an input for the next stage. When the cost of each stage is expensive, it is difficult to search for the optimal controllable parameters for each stage exhaustively. To address this problem, we formulate the optimization of the cascade process as an extension of Bayesian optimization framework and propose two types of acquisition functions (AFs) based on credible intervals and expected improvement. We investigate the theoretical properties of the proposed AFs and demonstrate their effectiveness through numerical experiments. In addition, we consider an extension called suspension setting in which we are allowed to suspend the cascade process at the middle of the multi-stage decision-making process that often arises in practical problems. We apply the proposed method in the optimization problem of the solar cell simulator, which was the motivation for this study.

Sequential- and Parallel- Constrained Max-value Entropy Search via Information Lower Bound

Recently, several Bayesian optimization (BO) methods have been extended to the expensive black-box optimization problem with unknown constraints, which is an important problem that appears frequently in practice. We focus on an information-theoretic approach called Max-value Entropy Search (MES) whose superior performance has been repeatedly shown in BO literature. Since existing MES-based constrained BO is restricted to only one constraint, we first extend it to multiple constraints, but we found that this approach can cause negative approximate values for the mutual information, which can result in unreasonable decisions. In this paper, we employ a different approximation strategy that is based on a lower bound of the mutual information, and propose a novel constrained BO method called Constrained Max-value Entropy Search via Information lower BOund (CMES-IBO). Our approximate mutual information derived from the lower bound has a simple closed-form that is guaranteed to be nonnegative, and we show that irrational behavior caused by the negative value can be avoided. Furthermore, by using conditional mutual information, we extend our methods to the parallel setting in which multiple queries can be issued simultaneously. Finally, we demonstrate the effectiveness of our proposed methods by benchmark functions and real-world applications to materials science.

Cost-effective search for lower-error region in material parameter space using multifidelity Gaussian process modeling

Information regarding precipitate shapes is critical for estimating material parameters. Hence, we considered estimating a region of material parameter space in which a computational model produces precipitates having shapes similar to those observed in the experimental images. This region, called the lower-error region (LER), reflects intrinsic information of the material contained in the precipitate shapes. However, the computational cost of LER estimation can be high because the accurate computation of the model is required many times to better explore parameters. To overcome this difficulty, we used a Gaussian-process-based multifidelity modeling, in which training data can be sampled from multiple computations with different accuracy levels (fidelity). Lower-fidelity samples may have lower accuracy, but the computational cost is lower than that for higher-fidelity samples. Our proposed sampling procedure iteratively determines the most cost-effective pair of a point and a fidelity level for enhancing the accuracy of LER estimation. We demonstrated the efficiency of our method through estimation of the interface energy and lattice mismatch between MgZn2 and {\alpha}-Mg phases in an Mg-based alloy. The results showed that the sampling cost required to obtain accurate LER estimation could be drastically reduced.

Multi-objective Bayesian Optimization using Pareto-frontier Entropy

We propose Pareto-frontier entropy search (PFES) for multi-objective Bayesian optimization (MBO). Unlike the existing entropy search for MBO which considers the entropy of the input space, we define the entropy of Pareto-frontier in the output space. By using a sampled Pareto-frontier from the current model, PFES provides a simple formula for directly evaluating the entropy. Besides the usual MBO setting, in which all the objectives are simultaneously observed, we also consider the "decoupled" setting, in which the objective functions can be observed separately. PFES can easily derive an acquisition function for the decoupled setting through the entropy of the marginal density for each output variable. For the both settings, by conditioning on the sampled Pareto-frontier, dependence among different objectives arises in the entropy evaluation. PFES can incorporate this dependency into the acquisition function, while the existing information-based MBO employs an independent Gaussian approximation. Our numerical experiments show effectiveness of PFES through synthetic functions and real-world datasets from materials science.