Informed Initialization for Bayesian Optimization and Active Learning
This addresses a critical bottleneck for practitioners using Bayesian Optimization in expensive, data-limited applications, offering an incremental improvement over standard initialization methods.
The paper tackles the problem of poor initialization in Bayesian Optimization and active learning by proposing HIPE, a strategy that balances predictive uncertainty reduction with hyperparameter learning, resulting in improved predictive accuracy, hyperparameter identification, and optimization performance in few-shot settings.
Bayesian Optimization is a widely used method for optimizing expensive black-box functions, relying on probabilistic surrogate models such as Gaussian Processes. The quality of the surrogate model is crucial for good optimization performance, especially in the few-shot setting where only a small number of batches of points can be evaluated. In this setting, the initialization plays a critical role in shaping the surrogate's predictive quality and guiding subsequent optimization. Despite this, practitioners typically rely on (quasi-)random designs to cover the input space. However, such approaches neglect two key factors: (a) space-filling designs may not be desirable to reduce predictive uncertainty, and (b) efficient hyperparameter learning during initialization is essential for high-quality prediction, which may conflict with space-filling designs. To address these limitations, we propose Hyperparameter-Informed Predictive Exploration (HIPE), a novel acquisition strategy that balances predictive uncertainty reduction with hyperparameter learning using information-theoretic principles. We derive a closed-form expression for HIPE in the Gaussian Process setting and demonstrate its effectiveness through extensive experiments in active learning and few-shot BO. Our results show that HIPE outperforms standard initialization strategies in terms of predictive accuracy, hyperparameter identification, and subsequent optimization performance, particularly in large-batch, few-shot settings relevant to many real-world Bayesian Optimization applications.