Multi-Attribute Bayesian Optimization With Interactive Preference Learning
This work addresses optimization challenges for decision-makers in fields like engineering or design, offering a more robust and flexible approach compared to prior methods, though it is incremental in improving preference learning integration.
The paper tackles the problem of black-box optimization for decision-makers with uncertain preferences by proposing a multi-attribute Bayesian optimization method that accounts for utility estimation errors and provides a menu of designs for selection, demonstrating its value in experiments.
We consider black-box global optimization of time-consuming-to-evaluate functions on behalf of a decision-maker (DM) whose preferences must be learned. Each feasible design is associated with a time-consuming-to-evaluate vector of attributes and each vector of attributes is assigned a utility by the DM's utility function, which may be learned approximately using preferences expressed over pairs of attribute vectors. Past work has used a point estimate of this utility function as if it were error-free within single-objective optimization. However, utility estimation errors may yield a poor suggested design. Furthermore, this approach produces a single suggested "best" design, whereas DMs often prefer to choose from a menu. We propose a novel multi-attribute Bayesian optimization with preference learning approach. Our approach acknowledges the uncertainty in preference estimation and implicitly chooses designs to evaluate that are good not just for a single estimated utility function but a range of likely ones. The outcome of our approach is a menu of designs and evaluated attributes from which the DM makes a final selection. We demonstrate the value and flexibility of our approach in a variety of experiments.