Adversarially Robust Optimization with Gaussian Processes
This addresses robustness in optimization for scenarios where functions differ between stages or when seeking regions of good inputs, representing a novel method for a known bottleneck.
The paper tackles the problem of Gaussian process optimization with adversarial perturbations, requiring the function value to remain high after perturbation, and introduces StableOpt, a confidence-bound based algorithm that finds a stable maximizer with rigorous sample guarantees and outperforms baselines in real-world experiments.
In this paper, we consider the problem of Gaussian process (GP) optimization with an added robustness requirement: The returned point may be perturbed by an adversary, and we require the function value to remain as high as possible even after this perturbation. This problem is motivated by settings in which the underlying functions during optimization and implementation stages are different, or when one is interested in finding an entire region of good inputs rather than only a single point. We show that standard GP optimization algorithms do not exhibit the desired robustness properties, and provide a novel confidence-bound based algorithm StableOpt for this purpose. We rigorously establish the required number of samples for StableOpt to find a near-optimal point, and we complement this guarantee with an algorithm-independent lower bound. We experimentally demonstrate several potential applications of interest using real-world data sets, and we show that StableOpt consistently succeeds in finding a stable maximizer where several baseline methods fail.