Stratified Bayesian optimization

DOI10.1007/978-3-319-91436-7_7MaRDI QIDQ1722513zbMATH OpenOpenAlexWikidataFDO

Authors Saul Toscano-Palmerin, Peter I. Frazier

Publication date 18 February 2019

Full work available at URL https://arxiv.org/abs/1602.02338

zbMATH Keywords

Gaussian processessimulationBayesian optimization

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Stochastic programming (90C15)

Abstract: We consider derivative-free black-box global optimization of expensive noisy functions, when most of the randomness in the objective is produced by a few influential scalar random inputs. We present a new Bayesian global optimization algorithm, called Stratified Bayesian Optimization (SBO), which uses this strong dependence to improve performance. Our algorithm is similar in spirit to stratification, a technique from simulation, which uses strong dependence on a categorical representation of the random input to reduce variance. We demonstrate in numerical experiments that SBO outperforms state-of-the-art Bayesian optimization benchmarks that do not leverage this dependence.

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Cited in

(9)

• High-dimensional Bayesian optimization with projections using quantile Gaussian processes
• Constrained Bayesian optimization with noisy experiments
• Surrogate-assisted bounding-box approach for optimization problems with tunable objectives fidelity
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