Triangulation candidates for Bayesian optimization
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Publication:84902
DOI10.48550/ARXIV.2112.07457arXiv2112.07457MaRDI QIDQ84902FDOQ84902
Annie Sauer, Robert B. Gramacy, Nathan Wycoff
Publication date: 14 December 2021
Abstract: Bayesian optimization involves "inner optimization" over a new-data acquisition criterion which is non-convex/highly multi-modal, may be non-differentiable, or may otherwise thwart local numerical optimizers. In such cases it is common to replace continuous search with a discrete one over random candidates. Here we propose using candidates based on a Delaunay triangulation of the existing input design. We detail the construction of these "tricands" and demonstrate empirically how they outperform both numerically optimized acquisitions and random candidate-based alternatives, and are well-suited for hybrid schemes, on benchmark synthetic and real simulation experiments.
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