A robust approach to warped Gaussian process-constrained optimization
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Abstract: Optimization problems with uncertain black-box constraints, modeled by warped Gaussian processes, have recently been considered in the Bayesian optimization setting. This work introduces a new class of constraints in which the same black-box function occurs multiple times evaluated at different domain points. Such constraints are important in applications where, e.g., safety-critical measures are aggregated over multiple time periods. Our approach, which uses robust optimization, reformulates these uncertain constraints into deterministic constraints guaranteed to be satisfied with a specified probability, i.e., deterministic approximations to a chance constraint. This approach extends robust optimization methods from parametric uncertainty to uncertain functions modeled by warped Gaussian processes. We analyze convexity conditions and propose a custom global optimization strategy for non-convex cases. A case study derived from production planning and an industrially relevant example from oil well drilling show that the approach effectively mitigates uncertainty in the learned curves. For the drill scheduling example, we develop a custom strategy for globally optimizing integer decisions.
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