Parallel cost-aware optimization of multidimensional black-box functions

Bachelor thesis (2023)

Authors

O. Sihlovec Electrical Engineering, Mathematics and Computer Science

Contributors

M.T.J. Spaan Algorithmics - EEMCS (mentor)
J.A. de Vries Algorithmics - EEMCS (mentor)
C. Lofi Web Information Systems - EEMCS (graduation committee member)
Faculty
Electrical Engineering, Mathematics and Computer Science, Electrical Engineering, Mathematics and Computer Science
Copyright: © 2023 Oliver Sihlovec
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Published Date

28-05-2023

Language

English

Reuse Rights

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Faculty

Electrical Engineering, Mathematics and Computer Science

Abstract

Scientific problems are often concerned with optimization of control variables of complex systems, for instance hyperparameters of machine learning models. A popular solution for such intractable environments is Bayesian optimization. However, many implementations disregard dynamic evaluation costs associated with the optimization procedure. Furthermore, another common trope among
Bayesian algorithms is that they are short-sighted and do not consider long-term effects of their actions. This paper investigates the viability of multitimestep cost-aware Bayesian optimizers and evaluates their performance in environments with delayed rewards. To this end, we combine existing works on parallel Bayesian optimizers and costaware heuristics. Our findings reveal that although
such parallel optimizers yield more optimal results and are more resistant to delayed feedback compared to their myopic counterparts, they are unable to achieve cost-awareness.

Files

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