Bayesian Optimization by Kernel Regression and Density-based Exploration
This work addresses computational bottlenecks in Bayesian optimization for resource-constrained engineering applications, representing an incremental improvement over existing methods.
The paper tackles the high computational complexity of Bayesian optimization by proposing the BOKE algorithm, which reduces computational costs from quartic to quadratic while maintaining competitive performance in synthetic and real-world tasks.
Bayesian optimization is highly effective for optimizing expensive-to-evaluate black-box functions, but it faces significant computational challenges due to the high computational complexity of Gaussian processes, which results in a total time complexity that is quartic with respect to the number of iterations. To address this limitation, we propose the Bayesian Optimization by Kernel regression and density-based Exploration (BOKE) algorithm. BOKE uses kernel regression for efficient function approximation, kernel density for exploration, and integrates them into the confidence bound criteria to guide the optimization process, thus reducing computational costs to quadratic. Our theoretical analysis rigorously establishes the global convergence of BOKE and ensures its robustness in noisy settings. Through extensive numerical experiments on both synthetic and real-world optimization tasks, we demonstrate that BOKE not only performs competitively compared to Gaussian process-based methods and several other baseline methods but also exhibits superior computational efficiency. These results highlight BOKE's effectiveness in resource-constrained environments, providing a practical approach for optimization problems in engineering applications.