PESC swMATH ID: 17860 Software Authors: Hernández-Lobato, José Miguel; Gelbart, Michael A.; Adams, Ryan P.; Hoffman, Matthew W.; Ghahramani, Zoubin Description: A general framework for constrained Bayesian optimization using information-based search. We present an information-theoretic framework for solving global black-box optimization problems that also have black-box constraints. Of particular interest to us is to efficiently solve problems with decoupled constraints, in which subsets of the objective and constraint functions may be evaluated independently. For example, when the objective is evaluated on a CPU and the constraints are evaluated independently on a GPU. These problems require an acquisition function that can be separated into the contributions of the individual function evaluations. We develop one such acquisition function and call it Predictive Entropy Search with Constraints (PESC). PESC is an approximation to the expected information gain criterion and it compares favorably to alternative approaches based on improvement in several synthetic and real- world problems. In addition to this, we consider problems with a mix of functions that are fast and slow to evaluate. These problems require balancing the amount of time spent in the meta- computation of PESC and in the actual evaluation of the target objective. We take a bounded rationality approach and develop a partial update for PESC which trades off accuracy against speed. We then propose a method for adaptively switching between the partial and full updates for PESC. This allows us to interpolate between versions of PESC that are efficient in terms of function evaluations and those that are efficient in terms of wall-clock time. Overall, we demonstrate that PESC is an effective algorithm that provides a promising direction towards a unified solution for constrained Bayesian optimization. Homepage: https://github.com/HIPS/Spearmint/tree/PESC Source Code: https://github.com/HIPS/Spearmint/tree/PESC Keywords: Bayesian optimization; constraints; predictive entropy search Related Software: EGO; Spearmint; NLopt; Cornell-MOE; DiceOptim; DiceKriging; GLIS; CMA-ES; MultiMin; Keras; ParEGO; GPareto; HypE; GPGame; Hyperopt; R; kergp; NOMAD; SafeOpt; MuJoCo Cited in: 13 Documents Standard Articles 1 Publication describing the Software, including 1 Publication in zbMATH Year A general framework for constrained Bayesian optimization using information-based search. Zbl 1391.90641Hernández-Lobato, José Miguel; Gelbart, Michael A.; Adams, Ryan P.; Hoffman, Matthew W.; Ghahramani, Zoubin 2016 all top 5 Cited by 38 Authors 2 Binois, Mickaël 2 Habbal, Abderrahmane 2 Picheny, Victor 1 Adams, Ryan Prescott 1 Ahmed, Mohamed Osama 1 Antonio, Candelieri 1 Ariafar, Setareh 1 Baumann, Dominik 1 Bect, Julien 1 Blanchet-Scalliet, Christophette 1 Brooks, Dana H. 1 Coll-Font, Jaume 1 Dy, Jennifer G. 1 Fagiano, Lorenzo Mario 1 Feliot, Paul 1 Gelbart, Michael A. 1 Ghahramani, Zoubin 1 Haber, Eldad 1 Helbert, Céline 1 Hernández-Lobato, Jose Miguel 1 Hoffman, Matthew W. 1 Krause, Andreas 1 Le Riche, Rodolphe 1 Lim, Hojun 1 Lindner, David 1 Locatelli, Marco 1 Pelamatti, Julien 1 Ruiz, Fredy 1 Ruthotto, Lars 1 Sabug, Lorenzo 1 Schmidt, Mark 1 Schoen, Fabio 1 Sukhija, Bhavya 1 Taillandier, Patrick 1 Trimpe, Sebastian 1 Turchetta, Matteo 1 Vaswani, Sharan 1 Vazquez, Emmanuel all top 5 Cited in 9 Serials 3 Journal of Global Optimization 3 Journal of Machine Learning Research (JMLR) 1 Artificial Intelligence 1 Information Sciences 1 Computational Mechanics 1 Machine Learning 1 Journal of Mathematical Imaging and Vision 1 Optimization and Engineering 1 EURO Journal on Computational Optimization all top 5 Cited in 8 Fields 9 Operations research, mathematical programming (90-XX) 4 Statistics (62-XX) 3 Computer science (68-XX) 2 Probability theory and stochastic processes (60-XX) 1 Partial differential equations (35-XX) 1 Mechanics of deformable solids (74-XX) 1 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year