26,931 research outputs found

    Bayesian Optimization of Composite Functions

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    We consider optimization of composite objective functions, i.e., of the form f(x)=g(h(x))f(x)=g(h(x)), where hh is a black-box derivative-free expensive-to-evaluate function with vector-valued outputs, and gg is a cheap-to-evaluate real-valued function. While these problems can be solved with standard Bayesian optimization, we propose a novel approach that exploits the composite structure of the objective function to substantially improve sampling efficiency. Our approach models hh using a multi-output Gaussian process and chooses where to sample using the expected improvement evaluated on the implied non-Gaussian posterior on ff, which we call expected improvement for composite functions (\ei). Although \ei\ cannot be computed in closed form, we provide a novel stochastic gradient estimator that allows its efficient maximization. We also show that our approach is asymptotically consistent, i.e., that it recovers a globally optimal solution as sampling effort grows to infinity, generalizing previous convergence results for classical expected improvement. Numerical experiments show that our approach dramatically outperforms standard Bayesian optimization benchmarks, reducing simple regret by several orders of magnitude.Comment: In Proceedings of the 36th International Conference on Machine Learning, PMLR 97:354-363, 201

    Robust Optimization for Non-Convex Objectives

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    We consider robust optimization problems, where the goal is to optimize in the worst case over a class of objective functions. We develop a reduction from robust improper optimization to Bayesian optimization: given an oracle that returns α\alpha-approximate solutions for distributions over objectives, we compute a distribution over solutions that is α\alpha-approximate in the worst case. We show that de-randomizing this solution is NP-hard in general, but can be done for a broad class of statistical learning tasks. We apply our results to robust neural network training and submodular optimization. We evaluate our approach experimentally on corrupted character classification, and robust influence maximization in networks

    Constrained Bayesian Optimization for Automatic Chemical Design

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    Automatic Chemical Design is a framework for generating novel molecules with optimized properties. The original scheme, featuring Bayesian optimization over the latent space of a variational autoencoder, suffers from the pathology that it tends to produce invalid molecular structures. First, we demonstrate empirically that this pathology arises when the Bayesian optimization scheme queries latent points far away from the data on which the variational autoencoder has been trained. Secondly, by reformulating the search procedure as a constrained Bayesian optimization problem, we show that the effects of this pathology can be mitigated, yielding marked improvements in the validity of the generated molecules. We posit that constrained Bayesian optimization is a good approach for solving this class of training set mismatch in many generative tasks involving Bayesian optimization over the latent space of a variational autoencoder.Comment: Previous versions accepted to the NIPS 2017 Workshop on Bayesian Optimization (BayesOpt 2017) and the NIPS 2017 Workshop on Machine Learning for Molecules and Material

    Expander Framework for Generating High-Dimensional GLM Gradient and Hessian from Low-Dimensional Base Distributions: R Package RegressionFactory

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    The R package RegressionFactory provides expander functions for constructing the high-dimensional gradient vector and Hessian matrix of the log-likelihood function for generalized linear models (GLMs), from the lower-dimensional base-distribution derivatives. The software follows a modular implementation using the chain rule of derivatives. Such modularity offers a clear separation of case-specific components (base distribution functional form and link functions) from common steps (e.g., matrix algebra operations needed for expansion) in calculating log-likelihood derivatives. In doing so, RegressionFactory offers several advantages: 1) It provides a fast and convenient method for constructing log-likelihood and its derivatives by requiring only the low-dimensional, base-distribution derivatives, 2) The accompanying definiteness-invariance theorem allows researchers to reason about the negative-definiteness of the log-likelihood Hessian in the much lower-dimensional space of the base distributions, 3) The factorized, abstract view of regression suggests opportunities to generate novel regression models, and 4) Computational techniques for performance optimization can be developed generically in the abstract framework and be readily applicable across all the specific regression instances. We expect RegressionFactory to facilitate research and development on optimization and sampling techniques for GLM log-likelihoods as well as construction of composite models from GLM lego blocks, such as Hierarchical Bayesian models

    Bayesian optimization under mixed constraints with a slack-variable augmented Lagrangian

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    An augmented Lagrangian (AL) can convert a constrained optimization problem into a sequence of simpler (e.g., unconstrained) problems, which are then usually solved with local solvers. Recently, surrogate-based Bayesian optimization (BO) sub-solvers have been successfully deployed in the AL framework for a more global search in the presence of inequality constraints; however, a drawback was that expected improvement (EI) evaluations relied on Monte Carlo. Here we introduce an alternative slack variable AL, and show that in this formulation the EI may be evaluated with library routines. The slack variables furthermore facilitate equality as well as inequality constraints, and mixtures thereof. We show how our new slack "ALBO" compares favorably to the original. Its superiority over conventional alternatives is reinforced on several mixed constraint examples.Comment: 24 pages, 5 figure

    Probabilistic Programming with Gaussian Process Memoization

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    Gaussian Processes (GPs) are widely used tools in statistics, machine learning, robotics, computer vision, and scientific computation. However, despite their popularity, they can be difficult to apply; all but the simplest classification or regression applications require specification and inference over complex covariance functions that do not admit simple analytical posteriors. This paper shows how to embed Gaussian processes in any higher-order probabilistic programming language, using an idiom based on memoization, and demonstrates its utility by implementing and extending classic and state-of-the-art GP applications. The interface to Gaussian processes, called gpmem, takes an arbitrary real-valued computational process as input and returns a statistical emulator that automatically improve as the original process is invoked and its input-output behavior is recorded. The flexibility of gpmem is illustrated via three applications: (i) robust GP regression with hierarchical hyper-parameter learning, (ii) discovering symbolic expressions from time-series data by fully Bayesian structure learning over kernels generated by a stochastic grammar, and (iii) a bandit formulation of Bayesian optimization with automatic inference and action selection. All applications share a single 50-line Python library and require fewer than 20 lines of probabilistic code each.Comment: 36 pages, 9 figure

    The Automatic Statistician: A Relational Perspective

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    Gaussian Processes (GPs) provide a general and analytically tractable way of modeling complex time-varying, nonparametric functions. The Automatic Bayesian Covariance Discovery (ABCD) system constructs natural-language description of time-series data by treating unknown time-series data nonparametrically using GP with a composite covariance kernel function. Unfortunately, learning a composite covariance kernel with a single time-series data set often results in less informative kernel that may not give qualitative, distinctive descriptions of data. We address this challenge by proposing two relational kernel learning methods which can model multiple time-series data sets by finding common, shared causes of changes. We show that the relational kernel learning methods find more accurate models for regression problems on several real-world data sets; US stock data, US house price index data and currency exchange rate data

    Fast Optimization of Wildfire Suppression Policies with SMAC

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    Managers of US National Forests must decide what policy to apply for dealing with lightning-caused wildfires. Conflicts among stakeholders (e.g., timber companies, home owners, and wildlife biologists) have often led to spirited political debates and even violent eco-terrorism. One way to transform these conflicts into multi-stakeholder negotiations is to provide a high-fidelity simulation environment in which stakeholders can explore the space of alternative policies and understand the tradeoffs therein. Such an environment needs to support fast optimization of MDP policies so that users can adjust reward functions and analyze the resulting optimal policies. This paper assesses the suitability of SMAC---a black-box empirical function optimization algorithm---for rapid optimization of MDP policies. The paper describes five reward function components and four stakeholder constituencies. It then introduces a parameterized class of policies that can be easily understood by the stakeholders. SMAC is applied to find the optimal policy in this class for the reward functions of each of the stakeholder constituencies. The results confirm that SMAC is able to rapidly find good policies that make sense from the domain perspective. Because the full-fidelity forest fire simulator is far too expensive to support interactive optimization, SMAC is applied to a surrogate model constructed from a modest number of runs of the full-fidelity simulator. To check the quality of the SMAC-optimized policies, the policies are evaluated on the full-fidelity simulator. The results confirm that the surrogate values estimates are valid. This is the first successful optimization of wildfire management policies using a full-fidelity simulation. The same methodology should be applicable to other contentious natural resource management problems where high-fidelity simulation is extremely expensive

    Differential Evolution and Bayesian Optimisation for Hyper-Parameter Selection in Mixed-Signal Neuromorphic Circuits Applied to UAV Obstacle Avoidance

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    The Lobula Giant Movement Detector (LGMD) is a an identified neuron of the locust that detects looming objects and triggers its escape responses. Understanding the neural principles and networks that lead to these fast and robust responses can lead to the design of efficient facilitate obstacle avoidance strategies in robotic applications. Here we present a neuromorphic spiking neural network model of the LGMD driven by the output of a neuromorphic Dynamic Vision Sensor (DVS), which has been optimised to produce robust and reliable responses in the face of the constraints and variability of its mixed signal analogue-digital circuits. As this LGMD model has many parameters, we use the Differential Evolution (DE) algorithm to optimise its parameter space. We also investigate the use of Self-Adaptive Differential Evolution (SADE) which has been shown to ameliorate the difficulties of finding appropriate input parameters for DE. We explore the use of two biological mechanisms: synaptic plasticity and membrane adaptivity in the LGMD. We apply DE and SADE to find parameters best suited for an obstacle avoidance system on an unmanned aerial vehicle (UAV), and show how it outperforms state-of-the-art Bayesian optimisation used for comparison.Comment: Submitted to TNNL

    A Statistical Theory of Deep Learning via Proximal Splitting

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    In this paper we develop a statistical theory and an implementation of deep learning models. We show that an elegant variable splitting scheme for the alternating direction method of multipliers optimises a deep learning objective. We allow for non-smooth non-convex regularisation penalties to induce sparsity in parameter weights. We provide a link between traditional shallow layer statistical models such as principal component and sliced inverse regression and deep layer models. We also define the degrees of freedom of a deep learning predictor and a predictive MSE criteria to perform model selection for comparing architecture designs. We focus on deep multiclass logistic learning although our methods apply more generally. Our results suggest an interesting and previously under-exploited relationship between deep learning and proximal splitting techniques. To illustrate our methodology, we provide a multi-class logit classification analysis of Fisher's Iris data where we illustrate the convergence of our algorithm. Finally, we conclude with directions for future research
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