Decentralized High-Dimensional Bayesian Optimization with Factor Graphs

This paper presents a novel decentralized high-dimensional Bayesian optimization (DEC-HBO) algorithm that, in contrast to existing HBO algorithms, can exploit the interdependent effects of various input components on the output of the unknown objective function f for boosting the BO performance and...

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Bibliographic Details
Published inarXiv.org
Main Authors Trong Nghia Hoang, Hoang, Quang Minh, Ouyang, Ruofei, Low, Kian Hsiang
Format Paper
LanguageEnglish
Published Ithaca Cornell University Library, arXiv.org 24.01.2018
Subjects
Algorithms
Bayesian analysis
Gaussian process
Graph representations
Graphical representations
Message passing
Optimization
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Summary:This paper presents a novel decentralized high-dimensional Bayesian optimization (DEC-HBO) algorithm that, in contrast to existing HBO algorithms, can exploit the interdependent effects of various input components on the output of the unknown objective function f for boosting the BO performance and still preserve scalability in the number of input dimensions without requiring prior knowledge or the existence of a low (effective) dimension of the input space. To realize this, we propose a sparse yet rich factor graph representation of f to be exploited for designing an acquisition function that can be similarly represented by a sparse factor graph and hence be efficiently optimized in a decentralized manner using distributed message passing. Despite richly characterizing the interdependent effects of the input components on the output of f with a factor graph, DEC-HBO can still guarantee no-regret performance asymptotically. Empirical evaluation on synthetic and real-world experiments (e.g., sparse Gaussian process model with 1811 hyperparameters) shows that DEC-HBO outperforms the state-of-the-art HBO algorithms.
ISSN:2331-8422