Chong Liu

Haitao Lin, Boxin Zhao, Mladen Kolar et al.

We study how Bayesian optimization (BO) can be accelerated on a target task with historical knowledge transferred from related source tasks. Existing works on BO with knowledge transfer either do not have theoretical guarantees or achieve the same regret as BO in the non-transfer setting, $\tilde{\mathcal{O}}(\sqrt{T γ_f})$, where $T$ is the number of evaluations of the target function and $γ_f$ denotes its information gain. In this paper, we propose the DeltaBO algorithm, in which a novel uncertainty-quantification approach is built on the difference function $δ$ between the source and target functions, which are allowed to belong to different reproducing kernel Hilbert spaces (RKHSs). Under mild assumptions, we prove that the regret of DeltaBO is of order $\tilde{\mathcal{O}}(\sqrt{T (T/N + γ_δ)})$, where $N$ denotes the number of evaluations from source tasks and typically $N \gg T$. In many applications, source and target tasks are similar, which implies that $γ_δ$ can be much smaller than $γ_f$. Empirical studies on both real-world hyperparameter tuning tasks and synthetic functions show that DeltaBO outperforms other baseline methods and support our theoretical claims.

Diantong Li, Kyunghyun Cho, Chong Liu

Bayesian Optimization (BO) is an efficient tool for optimizing black-box functions, but its theoretical guarantees typically hold in the asymptotic regime. In many critical real-world applications such as drug discovery or materials design, where each evaluation can be very costly and time-consuming, BO becomes impractical for many evaluations. In this paper, we introduce the Procedure-inFormed BO (ProfBO) algorithm, which solves black-box optimization with remarkably few function evaluations. At the heart of our algorithmic design are Markov Decision Process (MDP) priors that model optimization trajectories from related source tasks, thereby capturing procedural knowledge on efficient optimization. We embed these MDP priors into a prior-fitted neural network and employ model-agnostic meta-learning for fast adaptation to new target tasks. Experiments on real-world Covid and Cancer benchmarks and hyperparameter tuning tasks demonstrate that ProfBO consistently outperforms state-of-the-art methods by achieving high-quality solutions with significantly fewer evaluations, making it ready for practical deployment.

Hwanwoo Kim, Chong Liu, Yuxin Chen

Bayesian optimization (BO) is a widely used iterative algorithm for optimizing black-box functions. Each iteration requires maximizing an acquisition function, such as the upper confidence bound (UCB) or a sample path from the Gaussian process (GP) posterior, as in Thompson sampling (TS). However, finding an exact solution to these maximization problems is often intractable and computationally expensive. Reflecting such realistic situations, in this paper, we delve into the effect of inexact maximizers of the acquisition functions. Defining a measure of inaccuracy in acquisition solutions, we establish cumulative regret bounds for both GP-UCB and GP-TS without requiring exact solutions of acquisition function maximization. Our results show that under appropriate conditions on accumulated inaccuracy, inexact BO algorithms can still achieve sublinear cumulative regret. Motivated by such findings, we provide both theoretical justification and numerical validation for random grid search as an effective and computationally efficient acquisition function solver.