Replacing the acquisition function in Bayesian optimization by a neural network
How effectively do meta-learned acquisition functions in Bayesian optimization perform when optimizing for control variates of unknown functions, as compared to BO with standard acquisition functions
S. Ramezani (TU Delft - Electrical Engineering, Mathematics and Computer Science)
MTJ Spaan – Mentor (TU Delft - Algorithmics)
J.A. de Vries – Mentor (TU Delft - Algorithmics)
Christoph Lofi – Graduation committee member (TU Delft - Web Information Systems)
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Abstract
Bayesian Optimization (BO) has demonstrated significant utility across numerous applications. However, due to it being designed as a universal optimizer, its performance can often be suboptimal in specialized environments. To overcome this issue, research has been conducted into the application of transfer learning for enhancing BO performance in these specialized contexts. This paper describes the research done into evaluating the MetaBO algorithm in some specific environments. MetaBO innovates by substituting the acquisition function component in BO with a neural network that serves as an acquisition function, trained via a reinforcement learning framework. Although the results indicate that the algorithm's performance is not optimal in the environments tested, these limitations are ascribed to elements of the implementation rather than the concept of the algorithm itself. Consequently, further research is necessary to refine the implementation process and fully exploit the potential of the MetaBO algorithm.