Juergen Branke

Florian Karl, Tobias Pielok, Julia Moosbauer et al.

Hyperparameter optimization constitutes a large part of typical modern machine learning workflows. This arises from the fact that machine learning methods and corresponding preprocessing steps often only yield optimal performance when hyperparameters are properly tuned. But in many applications, we are not only interested in optimizing ML pipelines solely for predictive accuracy; additional metrics or constraints must be considered when determining an optimal configuration, resulting in a multi-objective optimization problem. This is often neglected in practice, due to a lack of knowledge and readily available software implementations for multi-objective hyperparameter optimization. In this work, we introduce the reader to the basics of multi-objective hyperparameter optimization and motivate its usefulness in applied ML. Furthermore, we provide an extensive survey of existing optimization strategies, both from the domain of evolutionary algorithms and Bayesian optimization. We illustrate the utility of MOO in several specific ML applications, considering objectives such as operating conditions, prediction time, sparseness, fairness, interpretability and robustness.

Juan Ungredda, Michael Pearce, Juergen Branke

Bayesian optimization is a powerful collection of methods for optimizing stochastic expensive black box functions. One key component of a Bayesian optimization algorithm is the acquisition function that determines which solution should be evaluated in every iteration. A popular and very effective choice is the Knowledge Gradient acquisition function, however there is no analytical way to compute it. Several different implementations make different approximations. In this paper, we review and compare the spectrum of Knowledge Gradient implementations and propose One-shot Hybrid KG, a new approach that combines several of the previously proposed ideas and is cheap to compute as well as powerful and efficient. We prove the new method preserves theoretical properties of previous methods and empirically show the drastically reduced computational overhead with equal or improved performance. All experiments are implemented in BOTorch and code is available on github.

Sebastian Rojas Gonzalez, Juergen Branke, Inneke van Nieuwenhuyse

We consider bi-objective ranking and selection problems, where the goal is to correctly identify the Pareto optimal solutions among a finite set of candidates for which the two objective outcomes have been observed with uncertainty (e.g., after running a multiobjective stochastic simulation optimization procedure). When identifying these solutions, the noise perturbing the observed performance may lead to two types of errors: solutions that are truly Pareto-optimal can be wrongly considered dominated, and solutions that are truly dominated can be wrongly considered Pareto-optimal. We propose a novel Bayesian bi-objective ranking and selection method that sequentially allocates extra samples to competitive solutions, in view of reducing the misclassification errors when identifying the solutions with the best expected performance. The approach uses stochastic kriging to build reliable predictive distributions of the objective outcomes, and exploits this information to decide how to resample. Experimental results show that the proposed method outperforms the standard allocation method, as well as a well-known the state-of-the-art algorithm. Moreover, we show that the other competing algorithms also benefit from the use of stochastic kriging information; yet, the proposed method remains superior.

George Watkins, Giovanni Montana, Juergen Branke

The graph colouring problem consists of assigning labels, or colours, to the vertices of a graph such that no two adjacent vertices share the same colour. In this work we investigate whether deep reinforcement learning can be used to discover a competitive construction heuristic for graph colouring. Our proposed approach, ReLCol, uses deep Q-learning together with a graph neural network for feature extraction, and employs a novel way of parameterising the graph that results in improved performance. Using standard benchmark graphs with varied topologies, we empirically evaluate the benefits and limitations of the heuristic learned by ReLCol relative to existing construction algorithms, and demonstrate that reinforcement learning is a promising direction for further research on the graph colouring problem.

Lennart Schneider, Florian Pfisterer, Paul Kent et al.

Neural architecture search (NAS) has been studied extensively and has grown to become a research field with substantial impact. While classical single-objective NAS searches for the architecture with the best performance, multi-objective NAS considers multiple objectives that should be optimized simultaneously, e.g., minimizing resource usage along the validation error. Although considerable progress has been made in the field of multi-objective NAS, we argue that there is some discrepancy between the actual optimization problem of practical interest and the optimization problem that multi-objective NAS tries to solve. We resolve this discrepancy by formulating the multi-objective NAS problem as a quality diversity optimization (QDO) problem and introduce three quality diversity NAS optimizers (two of them belonging to the group of multifidelity optimizers), which search for high-performing yet diverse architectures that are optimal for application-specific niches, e.g., hardware constraints. By comparing these optimizers to their multi-objective counterparts, we demonstrate that quality diversity NAS in general outperforms multi-objective NAS with respect to quality of solutions and efficiency. We further show how applications and future NAS research can thrive on QDO.

Jack M. Buckingham, Ivo Couckuyt, Juergen Branke

Bayesian optimization is a sample-efficient method for solving expensive, black-box optimization problems. Stochastic programming concerns optimization under uncertainty where, typically, average performance is the quantity of interest. In the first stage of a two-stage problem, here-and-now decisions must be made in the face of uncertainty, while in the second stage, wait-and-see decisions are made after the uncertainty has been resolved. Many methods in stochastic programming assume that the objective is cheap to evaluate and linear or convex. We apply Bayesian optimization to solve non-convex, two-stage stochastic programs which are black-box and expensive to evaluate as, for example, is often the case with simulation objectives. We formulate a knowledge-gradient-based acquisition function to jointly optimize the first- and second-stage variables, establish a guarantee of asymptotic consistency, and provide a computationally efficient approximation. We demonstrate comparable empirical results to an alternative we formulate with fewer approximations, which alternates its focus between the two variable types, and superior empirical results over the state of the art and the standard, naïve, two-step benchmark.

Jack M. Buckingham, Sebastian Rojas Gonzalez, Juergen Branke

Multi-objective Bayesian optimization aims to find the Pareto front of trade-offs between a set of expensive objectives while collecting as few samples as possible. In some cases, it is possible to evaluate the objectives separately, and a different latency or evaluation cost can be associated with each objective. This decoupling of the objectives presents an opportunity to learn the Pareto front faster by avoiding unnecessary, expensive evaluations. We propose a scalarization based knowledge gradient acquisition function which accounts for the different evaluation costs of the objectives. We prove asymptotic consistency of the estimator of the optimum for an arbitrary, D-dimensional, real compact search space and show empirically that the algorithm performs comparably with the state of the art and significantly outperforms versions which always evaluate both objectives.

Xietao Wang Lin, Juan Ungredda, Max Butler et al.

Bayesian optimisation has proven to be a powerful tool for expensive global black-box optimisation problems. In this paper, we propose new Bayesian optimisation variants of the popular Knowledge Gradient acquisition functions for problems with \emph{decoupled} black-box constraints, in which subsets of the objective and constraint functions may be evaluated independently. In particular, our methods aim to take into account that often only a handful of the constraints may be binding at the optimum, and hence we should evaluate only relevant constraints when trying to optimise a function. We empirically benchmark these methods against existing methods and demonstrate their superiority over the state-of-the-art.

Jack M. Buckingham, Ivo Couckuyt, Juergen Branke

Bayesian optimization (BO) is a popular, sample-efficient technique for expensive, black-box optimization. One such problem arising in manufacturing is that of maximizing the reliability, or equivalently minimizing the probability of a failure, of a design which is subject to random perturbations - a problem that can involve extremely rare failures ($P_\mathrm{fail} = 10^{-6}-10^{-8}$). In this work, we propose two BO methods based on Thompson sampling and knowledge gradient, the latter approximating the one-step Bayes-optimal policy for minimizing the logarithm of the failure probability. Both methods incorporate importance sampling to target extremely small failure probabilities. Empirical results show the proposed methods outperform existing methods in both extreme and non-extreme regimes.

Phurinut Srisawad, Juergen Branke, Long Tran-Thanh

This paper formulates a new Best-Arm Identification problem in the non-stationary stochastic bandits setting, where the means of all arms are shifted in the same way due to a global influence of the environment. The aim is to identify the unique best arm across environmental change given a fixed total budget. While this setting can be regarded as a special case of Adversarial Bandits or Corrupted Bandits, we demonstrate that existing solutions tailored to those settings do not fully utilise the nature of this global influence, and thus, do not work well in practice (despite their theoretical guarantees). To overcome this issue, in this paper we develop a novel selection policy that is consistent and robust in dealing with global environmental shifts. We then propose an allocation policy, LinLUCB, which exploits information about global shifts across all arms in each environment. Empirical tests depict a significant improvement in our policies against other existing methods.

Danial Yazdani, Juergen Branke, Mohammad Sadegh Khorshidi et al.

Clustering in dynamic environments is of increasing importance, with broad applications ranging from real-time data analysis and online unsupervised learning to dynamic facility location problems. While meta-heuristics have shown promising effectiveness in static clustering tasks, their application for tracking optimal clustering solutions or robust clustering over time in dynamic environments remains largely underexplored. This is partly due to a lack of dynamic datasets with diverse, controllable, and realistic dynamic characteristics, hindering systematic performance evaluations of clustering algorithms in various dynamic scenarios. This deficiency leads to a gap in our understanding and capability to effectively design algorithms for clustering in dynamic environments. To bridge this gap, this paper introduces the Dynamic Dataset Generator (DDG). DDG features multiple dynamic Gaussian components integrated with a range of heterogeneous, local, and global changes. These changes vary in spatial and temporal severity, patterns, and domain of influence, providing a comprehensive tool for simulating a wide range of dynamic scenarios.

Omer Ekmekcioglu, Nursen Aydin, Juergen Branke

Bilevel optimization, a hierarchical mathematical framework where one optimization problem is nested within another, has emerged as a powerful tool for modeling complex decision-making processes in various fields such as economics, engineering, and machine learning. This paper focuses on bilevel optimization where both upper-level and lower-level functions are black boxes and expensive to evaluate. We propose a Bayesian Optimization framework that models the upper and lower-level functions as Gaussian processes over the combined space of upper and lower-level decisions, allowing us to exploit knowledge transfer between different sub-problems. Additionally, we propose a novel acquisition function for this model. Our experimental results demonstrate that the proposed algorithm is highly sample-efficient and outperforms existing methods in finding high-quality solutions.

Hanyang Wang, Juergen Branke, Matthias Poloczek

Many real-world black-box optimization problems have multiple conflicting objectives. Rather than attempting to approximate the entire set of Pareto-optimal solutions, interactive preference learning allows to focus the search on the most relevant subset. However, few previous studies have exploited the fact that utility functions are usually monotonic. In this paper, we address the Bayesian Optimization with Preference Exploration (BOPE) problem and propose using a neural network ensemble as a utility surrogate model. This approach naturally integrates monotonicity and supports pairwise comparison data. Our experiments demonstrate that the proposed method outperforms state-of-the-art approaches and exhibits robustness to noise in utility evaluations. An ablation study highlights the critical role of monotonicity in enhancing performance.

Hanyang Wang, Juergen Branke, Matthias Poloczek

In many real-world optimization problems, we have prior information about what objective function values are achievable. In this paper, we study the scenario that we have either exact knowledge of the minimum value or a, possibly inexact, lower bound on its value. We propose bound-aware Bayesian optimization (BABO), a Bayesian optimization method that uses a new surrogate model and acquisition function to utilize such prior information. We present SlogGP, a new surrogate model that incorporates bound information and adapts the Expected Improvement (EI) acquisition function accordingly. Empirical results on a variety of benchmarks demonstrate the benefit of taking prior information about the optimal value into account, and that the proposed approach significantly outperforms existing techniques. Furthermore, we notice that even in the absence of prior information on the bound, the proposed SlogGP surrogate model still performs better than the standard GP model in most cases, which we explain by its larger expressiveness.

Danial Yazdani, Michalis Mavrovouniotis, Changhe Li et al.

The Generalized Moving Peaks Benchmark (GMPB) is a tool for generating continuous dynamic optimization problem instances with controllable dynamic and morphological characteristics. GMPB has been used in recent Competitions on Dynamic Optimization at prestigious conferences, such as the IEEE Congress on Evolutionary Computation (CEC). This dynamic benchmark generator can create a wide variety of landscapes, ranging from simple unimodal to highly complex multimodal configurations and from symmetric to asymmetric forms. It also supports diverse surface textures, from smooth to highly irregular, and can generate varying levels of variable interaction and conditioning. This document provides an overview of GMPB, emphasizing how its parameters can be adjusted to produce landscapes with customizable characteristics. The MATLAB implementation of GMPB is available on the EDOLAB Platform.

Juan Ungredda, Mariapia Marchi, Teresa Montrone et al.

We consider a multi-objective optimization problem with objective functions that are expensive to evaluate. The decision maker (DM) has unknown preferences, and so the standard approach is to generate an approximation of the Pareto front and let the DM choose from the generated non-dominated designs. However, especially for expensive to evaluate problems where the number of designs that can be evaluated is very limited, the true best solution according to the DM's unknown preferences is unlikely to be among the small set of non-dominated solutions found, even if these solutions are truly Pareto optimal. We address this issue by using a multi-objective Bayesian optimization algorithm and allowing the DM to select a preferred solution from a predicted continuous Pareto front just once before the end of the algorithm rather than selecting a solution after the end. This allows the algorithm to understand the DM's preferences and make a final attempt to identify a more preferred solution. We demonstrate the idea using ParEGO, and show empirically that the found solutions are significantly better in terms of true DM preferences than if the DM would simply pick a solution at the end.

Juan Ungredda, Juergen Branke

Many real-world optimisation problems such as hyperparameter tuning in machine learning or simulation-based optimisation can be formulated as expensive-to-evaluate black-box functions. A popular approach to tackle such problems is Bayesian optimisation (BO), which builds a response surface model based on the data collected so far, and uses the mean and uncertainty predicted by the model to decide what information to collect next. In this paper, we propose a novel variant of the well-known Knowledge Gradient acquisition function that allows it to handle constraints. We empirically compare the new algorithm with four other state-of-the-art constrained Bayesian optimisation algorithms and demonstrate its superior performance. We also prove theoretical convergence in the infinite budget limit.

Manuel López-Ibáñez, Juergen Branke, Luís Paquete

Experimental studies are prevalent in Evolutionary Computation (EC), and concerns about the reproducibility and replicability of such studies have increased in recent times, reflecting similar concerns in other scientific fields. In this article, we discuss, within the context of EC, the different types of reproducibility and suggest a classification that refines the badge system of the Association of Computing Machinery (ACM) adopted by ACM Transactions on Evolutionary Learning and Optimization (https://dlnext.acm.org/journal/telo). We identify cultural and technical obstacles to reproducibility in the EC field. Finally, we provide guidelines and suggest tools that may help to overcome some of these reproducibility obstacles.

Michael Pearce, Matthias Poloczek, Juergen Branke

Bayesian optimization is a powerful tool for expensive stochastic black-box optimization problems such as simulation-based optimization or machine learning hyperparameter tuning. Many stochastic objective functions implicitly require a random number seed as input. By explicitly reusing a seed a user can exploit common random numbers, comparing two or more inputs under the same randomly generated scenario, such as a common customer stream in a job shop problem, or the same random partition of training data into training and validation set for a machine learning algorithm. With the aim of finding an input with the best average performance over infinitely many seeds, we propose a novel Gaussian process model that jointly models both the output for each seed and the average. We then introduce the Knowledge gradient for Common Random Numbers that iteratively determines a combination of input and random seed to evaluate the objective and automatically trades off reusing old seeds and querying new seeds, thus overcoming the need to evaluate inputs in batches or measuring differences of pairs as suggested in previous methods. We investigate the Knowledge Gradient for Common Random Numbers both theoretically and empirically, finding it achieves significant performance improvements with only moderate added computational cost.