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# Re-Examining Linear Embeddings for High-Dimensional Bayesian Optimization

NIPS 2020, (2020)

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Abstract

Bayesian optimization (BO) is a popular approach to optimize expensive-to-evaluate black-box functions. A significant challenge in BO is to scale to high-dimensional parameter spaces while retaining sample efficiency. A solution considered in existing literature is to embed the high-dimensional space in a lower-dimensional manifold, oft...More

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Introduction

- Bayesian optimization (BO) is a robust, sample-efficient technique for optimizing expensive-toevaluate black-box functions (Mockus, 1989; Jones, 2001).
- HeSBO (Nayebi et al, 2019) is a recent extension of REMBO that avoids clipping to B and heuristic box bounds in the embedding by changing the projection matrix A.
- The authors highlight one recent observation from Binois et al (2019), that most points in the embedding project up outside the box bounds, and discuss three novel observations about how existing methods can make it difficult to learn high-dimensional surrogates.

Highlights

- Bayesian optimization (BO) is a robust, sample-efficient technique for optimizing expensive-toevaluate black-box functions (Mockus, 1989; Jones, 2001)
- We show that existing approaches produce representations that cannot be well-modeled by a Gaussian process (GP), or representations that likely do not contain an optimum (Sec. 4). 2) We construct a representation with better properties for BO (Sec. 5): we improve modelability by deriving a Mahalanobis kernel tailored for linear embeddings and adding polytope bounds to the embedding, and we show how to maintain a high probability that the embedding contains an optimum
- We evaluate the performance of adaptive linear embedding BO (ALEBO) on synthetic high-dimensional BO (HDBO) tasks, and compare its performance to a broad selection of HDBO methods
- Relative to other linear embedding approaches, ALEBO had low variance in the final best-value, which is important in real applications where one can typically only run one optimization run
- We showed how polytope constraints on the embedding eliminate boundary distortions, and we derived a Mahalanobis kernel appropriate for GP modeling in a linear embedding
- When constructing a VAE for BO it will be important to ensure the function remains well-modeled on the embedding and that box bounds are not handled in a way that adds distortion

Results

- Even if the function is well-modeled by a GP in the true low-dimensional space, the distortion produced by the REMBO projection transforms it into one on the embedding that is not appropriate for a GP.
- From these results the authors see that for the REMBO projection with box bounds the authors cannot expect to successfully model the function on the embedding with a regular GP.
- HeSBO avoids the challenges of REMBO related to box bounds: all interior points in the embedding map to interior points of B, and there is no need for the L2 projection and the ability to model in the embedding is improved.
- To determine the covariance in function values of points in the embedding, the authors first project up to the ambient space and project down to the true subspace fB(y) = f (B†y) = fd(T B†y) .
- Fig. 3 shows these probabilities for D = 100 as a function of d and de, for three strategies for generating the projection matrix: the REMBO strategy of N (0, 1), the HeSBO projection matrix, and the unit hypersphere sampling described in Sec. 4.
- The linear embedding methods (ALEBO, REMBO, and HeSBO) can naturally be extended to constrained optimization as described in Appendix A.5.
- Relative to other linear embedding approaches, ALEBO had low variance in the final best-value, which is important in real applications where one can typically only run one optimization run.
- Fig. 6 shows optimization performance for the linear embedding methods on this task, which is a maximization problem.

Conclusion

- The authors showed how polytope constraints on the embedding eliminate boundary distortions, and the authors derived a Mahalanobis kernel appropriate for GP modeling in a linear embedding.
- When constructing a VAE for BO it will be important to ensure the function remains well-modeled on the embedding and that box bounds are not handled in a way that adds distortion.
- The authors applied linear constraints to restrict the acquisition function optimization to points that project up inside the ambient box bounds.

- Table1: Average running time per iteration in seconds on the Hartmann6 problem, D=100 and

Related work

- There are generally two approaches to extending BO into high dimensions. The first is to produce a low-dimensional embedding, do standard BO in this low-dimensional space, and then project up to the original space for function evaluations. The foundational work on embeddings for BO is REMBO (Wang et al, 2016), which creates a linear embedding by generating a random projection matrix. Sec. 3 provides a thorough description of REMBO and several subsequent approaches based on random linear embeddings (Qian et al, 2016; Binois et al, 2019; Nayebi et al, 2019). If derivatives of f are available, the active subspace method can be used to recover a linear embedding (Constantine et al, 2014; Eriksson et al, 2018), or approximate gradients can be used (Djolonga et al, 2013). BO can also be done in nonlinear embeddings through VAEs (Gomez-Bombarelli et al, 2018; Lu et al, 2018; Moriconi et al, 2019). An attractive aspect of random embeddings is that they can be extremely sample-efficient, since the only model to be estimated is a low-dimensional GP.

Study subjects and analysis

samples: 1000

√thdeei]ndtee,rsioarmopfliBng. This is A with measured empirically by N (0, 1) entries, and then checking if Ay ∈ B (with 1000 samples). Even for small D, with de > 2 practically all of the volume in the embedding projects up outside the box bounds, and is thus clipped to a facet of B

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