Distributionally Ambiguous Optimization for Batch Bayesian Optimization

We propose a novel, theoretically-grounded, acquisition function for Batch Bayesian Optimization informed by insights from distributionally ambiguous optimization. Our acquisition function is a lower bound on the well-known Expected Improvement function, which requires evaluation of a Gaussian expectation over a multivariate piecewise affine function. Our bound is computed instead by evaluating the best-case expectation over all probability distributions consistent with the same mean and variance as the original Gaussian distribution. Unlike alternative approaches, including Expected Improvement, our proposed acquisition function avoids multi-dimensional integrations entirely, and can be computed exactly - even on large batch sizes - as the solution of a tractable convex optimization problem. Our suggested acquisition function can also be optimized efficiently, since first and second derivative information can be calculated inexpensively as by-products of the acquisition function calculation itself. We derive various novel theorems that ground our work theoretically and we demonstrate superior performance via simple motivating examples, benchmark functions and real-world problems. [abs] [ pdf ][ bib ] [ code ] © JMLR 2020. (edit, beta)