optimization.md

id	title
optimization	Optimization

Model Fitting

BoTorch provides the convenience method fit_gpytorch_mll() for fitting GPyTorch models (optimizing model hyperparameters) using L-BFGS-B via scipy.optimize.minimize(). We recommend using this method for exact GPs, but other optimizers may be necessary for models with thousands of parameters or observations.

Optimizing Acquisition Functions

Using scipy Optimizers on Tensors

The default method used by BoTorch to optimize acquisition functions is gen_candidates_scipy(). Given a set of starting points (for multiple restarts) and an acquisition function, this optimizer makes use of scipy.optimize.minimize() for optimization, via either the L-BFGS-B or SLSQP routines. gen_candidates_scipy() automatically handles conversion between torch and numpy types, and utilizes PyTorch's autograd capabilities to compute the gradient of the acquisition function.

Using torch Optimizers

A torch optimizer such as torch.optim.Adam or torch.optim.SGD can also be used directly, without the need to perform numpy conversion. These first-order gradient-based optimizers are particularly useful for the case when the acquisition function is stochastic, where algorithms like L-BFGS or SLSQP that are designed for deterministic functions should not be applied. The function gen_candidates_torch() provides an interface for torch optimizers and handles bounding. See the example notebooks here and here for tutorials on how to use different optimizers.

Multiple Random Restarts

Acquisition functions are often difficult to optimize as they are generally non-convex and often flat (e.g., EI), so BoTorch makes use of multiple random restarts to improve optimization quality. Each restart can be thought of as an optimization routine within a local region; thus, taking the best result over many restarts can help provide an approximation to the global optimization objective. The function gen_batch_initial_conditions() implements heuristics for choosing a set of initial restart locations (candidates).

Rather than optimize sequentially from each initial restart candidate, gen_candidates_scipy() takes advantage of batch mode evaluation (t-batches) of the acquisition function to solve a single $b \times q \times d$-dimensional optimization problem, where the objective is defined as the sum of the $b$ individual q-batch acquisition values. The wrapper function optimize_acqf() uses get_best_candidates() to process the output of gen_candidates_scipy() and return the best point found over the random restarts. For reasonable values of $b$ and $q$, jointly optimizing over random restarts can significantly reduce wall time by exploiting parallelism, while maintaining high quality solutions.

Joint vs. Sequential Candidate Generation for Batch Acquisition Functions

In batch Bayesian Optimization $q$ design points are selected for parallel experimentation. The parallel (qEI, qNEI, qUCB, qPI) variants of acquisition functions call for joint optimization over the $q$ design points (i.e., solve an optimization problem with a $q \times d$-dimensional decision), but when $q$ is large, one might also consider sequentially selecting the $q$ points using successive conditioning on so-called "fantasies", and solving $q$ optimization problems, each with a $d$-dimensional decision. The functions optimize_acqf() by default performs joint optimization; when specifying sequential=True it will perform sequential optimization.

Our empirical observations of the closed-loop Bayesian Optimization performance for $q = 5$ show that joint optimization and sequential optimization have similar optimization performance on some standard benchmarks, but sequential optimization comes at a steep cost in wall time (2-6x in our tests). Therefore, for moderately sized $q$, a reasonable default option is to use joint optimization.

However, it is important to note that as $q$ increases, the performance of joint optimization can be hindered by the harder $q \times d$-dimensional problem, and sequential optimization might be preferred. See ¹ for further discussion on how sequential greedy maximization is an effective strategy for common classes of acquisition functions.

Footnotes

1. J. Wilson, F. Hutter, M. Deisenroth. Maximizing Acquisition Functions for Bayesian Optimization. NeurIPS, 2018. ↩