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arXiv · 1608.03585

Warm Starting Bayesian Optimization

Matthias Poloczek·Jialei Wang·Peter I. Frazier
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Abstract

We develop a framework for warm-starting Bayesian optimization, that reduces the solution time required to solve an optimization problem that is one in a sequence of related problems. This is useful when optimizing the output of a stochastic simulator that fails to provide derivative information, for which Bayesian optimization methods are well-suited. Solving sequences of related optimization problems arises when making several business decisions using one optimization model and input data collected over different time periods or markets. While many gradient-based methods can be warm started by initiating optimization at the solution to the previous problem, this warm start approach does not apply to Bayesian optimization methods, which carry a full metamodel of the objective function from iteration to iteration. Our approach builds a joint statistical model of the entire collection of related objective functions, and uses a value of information calculation to recommend points to evaluate.

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Matthias Poloczek, Jialei Wang, Peter I. Frazier. 2016-08-11. Warm Starting Bayesian Optimization. https://arxiv.org/abs/1608.03585

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