Wasserstein enabled Bayesian optimization of composite functions

Abstract

AbstractBayesian optimization (BO) based on the Gaussian process model (GP-BO) has become the most used approach for the global optimization of black-box functions and computationally expensive optimization problems. BO has proved its sample efficiency and its versatility in a wide range of engineering and machine learning problems. A limiting factor in its applications is the difficulty of scaling over 15–20 dimensions. In order to mitigate this drawback, it has been remarked that optimization problems can have a lower intrinsic dimensionality. Several optimization strategies, built on this observation, map the original problem into a lower dimension manifold. In this paper we take a novel approach mapping the original problem into a space of discrete probability distributions endowed with a Wasserstein metric. The Wasserstein space is a non-linear manifold whose elements are discrete probability distributions. The input of the Gaussian process is given by discrete probability distributions and the acquisition function becomes a functional in the Wasserstein space. The minimizer of the acquisition functional in the Wasserstein space is then mapped back to the original space using a neural network. Computational results for three test functions with dimensionality ranging from 5 to 100, show that the exploration in the Wasserstein space is significantly more effective than that performed by plain Bayesian optimization in the Euclidean space and its advantage grows with the dimensions of the search space.