Bayesian Optimization of Robustness Measures Using Randomized GP-UCB-based Algorithms under Input Uncertainty

Abstract

Bayesian optimization based on Gaussian process upper confidence bound (GP-UCB) has a theoretical guarantee for optimizing black-box functions. Black-box functions often have input uncertainty, but even in this case, GP-UCB can be extended to optimize evaluation measures called robustness measures. However, GP-UCB-based methods for robustness measures include a trade-off parameter , which must be excessively large to achieve theoretical validity, just like the original GP-UCB. In this study, we propose a new method called randomized robustness measure GP-UCB (RRGP-UCB), which samples the trade-off parameter from a probability distribution based on a chi-squared distribution and avoids explicitly specifying . The expected value of is not excessively large. Furthermore, we show that RRGP-UCB provides tight bounds on the expected value of regret based on the optimal solution and estimated solutions. Finally, we demonstrate the usefulness of the proposed method through numerical experiments.

Tasks

Reproductions