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Continuous multi-task Bayesian optimisation with correlation
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Pearce, Michael and Branke, Jürgen (2018) Continuous multi-task Bayesian optimisation with correlation. European Journal of Operational Research, 270 (3). pp. 1074-1085. doi:10.1016/j.ejor.2018.03.017
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Official URL: https://doi.org/10.1016/j.ejor.2018.03.017
Abstract
This paper considers the problem of simultaneously identifying the optima for a (continuous or discrete) set of correlated tasks, where the performance of a particular input parameter on a particular task can only be estimated from (potentially noisy) samples. This has many applications, for example, identifying a stochastic algorithm’s optimal parameter settings for various tasks described by continuous feature values. We adapt the framework of Bayesian Optimisation to this problem. We propose a general multi-task optimisation framework and two myopic sampling procedures that determine task and parameter values for sampling, in order to efficiently find the best parameter setting for all tasks simultaneously. We show experimentally that our methods are much more efficient than collecting information randomly, and also more efficient than two other Bayesian multi-task optimisation algorithms from the literature.
| Item Type: | Journal Article | ||||||||
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| Subjects: | Q Science > QA Mathematics > QA76 Electronic computers. Computer science. Computer software | ||||||||
| Divisions: | Faculty of Science > Centre for Complexity Science | ||||||||
| Library of Congress Subject Headings (LCSH): | Heuristic algorithms, Stochastic analysis, Bayesian statistical decision theory | ||||||||
| Journal or Publication Title: | European Journal of Operational Research | ||||||||
| Publisher: | Elsevier Science BV | ||||||||
| ISSN: | 0377-2217 | ||||||||
| Official Date: | 1 November 2018 | ||||||||
| Dates: |
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| Volume: | 270 | ||||||||
| Number: | 3 | ||||||||
| Page Range: | pp. 1074-1085 | ||||||||
| DOI: | 10.1016/j.ejor.2018.03.017 | ||||||||
| Status: | Peer Reviewed | ||||||||
| Publication Status: | Published | ||||||||
| Access rights to Published version: | Restricted or Subscription Access | ||||||||
| RIOXX Funder/Project Grant: |
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