$ε$-shotgun: $ε$-greedy Batch Bayesian Optimisation
This incremental improvement addresses the challenge of efficient parallel evaluations in Bayesian optimization for researchers and practitioners in fields like machine learning and engineering.
The paper tackles the problem of optimizing expensive black-box functions in batch settings by introducing an ε-greedy procedure that selects batch locations based on model predictions, uncertainty, and landscape change rates, achieving performance at least as good as state-of-the-art batch methods and often exceeding it.
Bayesian optimisation is a popular, surrogate model-based approach for optimising expensive black-box functions. Given a surrogate model, the next location to expensively evaluate is chosen via maximisation of a cheap-to-query acquisition function. We present an $ε$-greedy procedure for Bayesian optimisation in batch settings in which the black-box function can be evaluated multiple times in parallel. Our $ε$-shotgun algorithm leverages the model's prediction, uncertainty, and the approximated rate of change of the landscape to determine the spread of batch solutions to be distributed around a putative location. The initial target location is selected either in an exploitative fashion on the mean prediction, or -- with probability $ε$ -- from elsewhere in the design space. This results in locations that are more densely sampled in regions where the function is changing rapidly and in locations predicted to be good (i.e close to predicted optima), with more scattered samples in regions where the function is flatter and/or of poorer quality. We empirically evaluate the $ε$-shotgun methods on a range of synthetic functions and two real-world problems, finding that they perform at least as well as state-of-the-art batch methods and in many cases exceed their performance.