Bayesian optimization with unknown constraints

Michael A. Gelbart, Jasper Snoek, Ryan P. Adams

Research output: Chapter in Book/Report/Conference proceedingConference contribution

63 Scopus citations

Abstract

Recent work on Bayesian optimization has shown its effectiveness in global optimization of difficult black-box objective functions. Many real-world optimization problems of interest also have constraints which are unknown a priori. In this paper, we study Bayesian optimization for constrained problems in the general case that noise may be present in the constraint functions, and the objective and constraints may be evaluated independently. We provide motivating practical examples, and present a general framework to solve such problems. We demonstrate the effectiveness of our approach on optimizing the performance of online latent Dirichlet allocation subject to topic sparsity constraints, tuning a neural network given test-time memory constraints, and optimizing Hamiltonian Monte Carlo to achieve maximal effectiveness in a fixed time, subject to passing standard convergence diagnostics.

Original languageEnglish (US)
Title of host publicationUncertainty in Artificial Intelligence - Proceedings of the 30th Conference, UAI 2014
EditorsNevin L. Zhang, Jin Tian
PublisherAUAI Press
Pages250-259
Number of pages10
ISBN (Electronic)9780974903910
StatePublished - 2014
Event30th Conference on Uncertainty in Artificial Intelligence, UAI 2014 - Quebec City, Canada
Duration: Jul 23 2014Jul 27 2014

Publication series

NameUncertainty in Artificial Intelligence - Proceedings of the 30th Conference, UAI 2014

Other

Other30th Conference on Uncertainty in Artificial Intelligence, UAI 2014
CountryCanada
CityQuebec City
Period7/23/147/27/14

All Science Journal Classification (ASJC) codes

  • Artificial Intelligence

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