Coupling and selecting constraints in Bayesian optimization under uncertainties
From MaRDI portal
Abstract: We consider chance constrained optimization where it is sought to optimize a function while complying with constraints, both of which are affected by uncertainties. The high computational cost of realistic simulations strongly limits the number of evaluations and makes this type of problems particularly challenging. In such a context, it is common to rely on Bayesian optimization algorithms. Assuming, without loss of generality, that the uncertainty comes from some of the inputs, it becomes possible to build a Gaussian process model in the joint space of design and uncertain variables. A two-step acquisition function is then used to provide, both, promising optimization variables associated to relevant uncertain samples. Our overall contribution is to correlate the constraints in the GP model and exploit this to optimally decide, at each iteration, which constraint should be evaluated and at which point. The coupled Gaussian model of the constraints relies on an output-as-input encoding. The constraint selection idea is developed by enabling that each constraint can be evaluated for a different uncertain input, thus improving the refinement efficiency. Constraints coupling and selection are gradually implement in 3 algorithm variants which are compared to a reference Bayesian approach. The results are promising in terms of convergence speed, accuracy and stability as observed on a 2, a 4 and a 27-dimensional problems.
Recommendations
- A sampling criterion for constrained Bayesian optimization with uncertainties
- A Bayesian approach to constrained single- and multi-objective optimization
- A robust multi-objective Bayesian optimization framework considering input uncertainty
- scientific article; zbMATH DE number 7164723
- Deep Gaussian process for multi-objective Bayesian optimization
Cited in
(4)- A sampling criterion for constrained Bayesian optimization with uncertainties
- Collaborative and adaptive Bayesian optimization for bounding variances and probabilities under hybrid uncertainties
- A robust multi-objective Bayesian optimization framework considering input uncertainty
- A two-stage simulation-based framework for reliability-based robust design optimization of systems
This page was built for publication: Coupling and selecting constraints in Bayesian optimization under uncertainties
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6395419)
