Maximizing acquisition functions for Bayesian optimization

James T. Wilson, Frank Hutter, Marc Peter Deisenroth

Published 2018-05-25Version 1

Bayesian optimization is a sample-efficient approach to global optimization that relies on theoretically motivated value heuristics (acquisition functions) to guide the search process. Fully maximizing acquisition functions produces the Bayes' decision rule, but this ideal is difficult to achieve since these functions are frequently non-trivial to optimize. This statement is especially true when evaluating queries in parallel, where acquisition functions are routinely non-convex, high-dimensional, and intractable. We present two modern approaches for maximizing acquisition functions that exploit key properties thereof, namely the differentiability of Monte Carlo integration and the submodularity of parallel querying.