arXiv subjects

Matthias Poloczek

Publications and source records attributed to Matthias Poloczek.

17 recordsLinked to original sources

arXiv2025

Respecting the limit:Bayesian optimization with a bound on the optimal value

In many real-world optimization problems, we have prior information about what objective function values are achievable. In this paper, we study the scenario that we have either exact knowledge of the minimum value or a, possibly inexact, lower bound on its value. We propose bound-aware Bayesian optimization (BABO), a Bayesian optimization method that uses a new surrogate model and acquisition function to utilize such prior information. We present SlogGP, a new surrogate model that incorporates bound information and adapts the Expected Improvement (EI) acquisition function accordingly. Empirical results on a variety of benchmarks demonstrate the benefit of taking prior information about the optimal value into account, and that the proposed approach significantly outperforms existing techniques. Furthermore, we notice that even in the absence of prior information on the bound, the proposed SlogGP surrogate model still performs better than the standard GP model in most cases, which we explain by its larger expressiveness.

cs.LG↗

arXiv2025

Understanding High-Dimensional Bayesian Optimization

Recent work reported that simple Bayesian optimization (BO) methods perform well for high-dimensional real-world tasks, seemingly contradicting prior work and tribal knowledge. This paper investigates why. We identify underlying challenges that arise in high-dimensional BO and explain why recent methods succeed. Our empirical analysis shows that vanishing gradients caused by Gaussian process (GP) initialization schemes play a major role in the failures of high-dimensional Bayesian optimization (HDBO) and that methods that promote local search behaviors are better suited for the task. We find that maximum likelihood estimation (MLE) of GP length scales suffices for state-of-the-art performance. Based on this, we propose a simple variant of MLE called MSR that leverages these findings to achieve state-of-the-art performance on a comprehensive set of real-world applications. We present targeted experiments to illustrate and confirm our findings.

cs.LG↗

arXiv2025

Bayesian Optimization with Preference Exploration using a Monotonic Neural Network Ensemble

Many real-world black-box optimization problems have multiple conflicting objectives. Rather than attempting to approximate the entire set of Pareto-optimal solutions, interactive preference learning allows to focus the search on the most relevant subset. However, few previous studies have exploited the fact that utility functions are usually monotonic. In this paper, we address the Bayesian Optimization with Preference Exploration (BOPE) problem and propose using a neural network ensemble as a utility surrogate model. This approach naturally integrates monotonicity and supports pairwise comparison data. Our experiments demonstrate that the proposed method outperforms state-of-the-art approaches and exhibits robustness to noise in utility evaluations. An ablation study highlights the critical role of monotonicity in enhancing performance.

cs.LG↗

arXiv2024

Bounce: Reliable High-Dimensional Bayesian Optimization for Combinatorial and Mixed Spaces

Impactful applications such as materials discovery, hardware design, neural architecture search, or portfolio optimization require optimizing high-dimensional black-box functions with mixed and combinatorial input spaces. While Bayesian optimization has recently made significant progress in solving such problems, an in-depth analysis reveals that the current state-of-the-art methods are not reliable. Their performances degrade substantially when the unknown optima of the function do not have a certain structure. To fill the need for a reliable algorithm for combinatorial and mixed spaces, this paper proposes Bounce that relies on a novel map of various variable types into nested embeddings of increasing dimensionality. Comprehensive experiments show that Bounce reliably achieves and often even improves upon state-of-the-art performance on a variety of high-dimensional problems.

cs.LG↗

arXiv2023

Dynamic Subgoal-based Exploration via Bayesian Optimization

Reinforcement learning in sparse-reward navigation environments with expensive and limited interactions is challenging and poses a need for effective exploration. Motivated by complex navigation tasks that require real-world training (when cheap simulators are not available), we consider an agent that faces an unknown distribution of environments and must decide on an exploration strategy. It may leverage a series of training environments to improve its policy before it is evaluated in a test environment drawn from the same environment distribution. Most existing approaches focus on fixed exploration strategies, while the few that view exploration as a meta-optimization problem tend to ignore the need for cost-efficient exploration. We propose a cost-aware Bayesian optimization approach that efficiently searches over a class of dynamic subgoal-based exploration strategies. The algorithm adjusts a variety of levers -- the locations of the subgoals, the length of each episode, and the number of replications per trial -- in order to overcome the challenges of sparse rewards, expensive interactions, and noise. An experimental evaluation demonstrates that the new approach outperforms existing baselines across a number of problem domains. We also provide a theoretical foundation and prove that the method asymptotically identifies a near-optimal subgoal design.

math.OC↗

arXiv2023

Increasing the Scope as You Learn: Adaptive Bayesian Optimization in Nested Subspaces

Recent advances have extended the scope of Bayesian optimization (BO) to expensive-to-evaluate black-box functions with dozens of dimensions, aspiring to unlock impactful applications, for example, in the life sciences, neural architecture search, and robotics. However, a closer examination reveals that the state-of-the-art methods for high-dimensional Bayesian optimization (HDBO) suffer from degrading performance as the number of dimensions increases or even risk failure if certain unverifiable assumptions are not met. This paper proposes BAxUS that leverages a novel family of nested random subspaces to adapt the space it optimizes over to the problem. This ensures high performance while removing the risk of failure, which we assert via theoretical guarantees. A comprehensive evaluation demonstrates that BAxUS achieves better results than the state-of-the-art methods for a broad set of applications.

cs.LG↗

arXiv2021

Scalable Constrained Bayesian Optimization

The global optimization of a high-dimensional black-box function under black-box constraints is a pervasive task in machine learning, control, and engineering. These problems are challenging since the feasible set is typically non-convex and hard to find, in addition to the curses of dimensionality and the heterogeneity of the underlying functions. In particular, these characteristics dramatically impact the performance of Bayesian optimization methods, that otherwise have become the de facto standard for sample-efficient optimization in unconstrained settings, leaving practitioners with evolutionary strategies or heuristics. We propose the scalable constrained Bayesian optimization (SCBO) algorithm that overcomes the above challenges and pushes the applicability of Bayesian optimization far beyond the state-of-the-art. A comprehensive experimental evaluation demonstrates that SCBO achieves excellent results on a variety of benchmarks. To this end, we propose two new control problems that we expect to be of independent value for the scientific community.

cs.LG↗

arXiv2020

Scalable Global Optimization via Local Bayesian Optimization

Bayesian optimization has recently emerged as a popular method for the sample-efficient optimization of expensive black-box functions. However, the application to high-dimensional problems with several thousand observations remains challenging, and on difficult problems Bayesian optimization is often not competitive with other paradigms. In this paper we take the view that this is due to the implicit homogeneity of the global probabilistic models and an overemphasized exploration that results from global acquisition. This motivates the design of a local probabilistic approach for global optimization of large-scale high-dimensional problems. We propose the $\texttt{TuRBO}$ algorithm that fits a collection of local models and performs a principled global allocation of samples across these models via an implicit bandit approach. A comprehensive evaluation demonstrates that $\texttt{TuRBO}$ outperforms state-of-the-art methods from machine learning and operations research on problems spanning reinforcement learning, robotics, and the natural sciences.

cs.LG↗

arXiv2019

Bayesian Optimization Allowing for Common Random Numbers

Bayesian optimization is a powerful tool for expensive stochastic black-box optimization problems such as simulation-based optimization or machine learning hyperparameter tuning. Many stochastic objective functions implicitly require a random number seed as input. By explicitly reusing a seed a user can exploit common random numbers, comparing two or more inputs under the same randomly generated scenario, such as a common customer stream in a job shop problem, or the same random partition of training data into training and validation set for a machine learning algorithm. With the aim of finding an input with the best average performance over infinitely many seeds, we propose a novel Gaussian process model that jointly models both the output for each seed and the average. We then introduce the Knowledge gradient for Common Random Numbers that iteratively determines a combination of input and random seed to evaluate the objective and automatically trades off reusing old seeds and querying new seeds, thus overcoming the need to evaluate inputs in batches or measuring differences of pairs as suggested in previous methods. We investigate the Knowledge Gradient for Common Random Numbers both theoretically and empirically, finding it achieves significant performance improvements with only moderate added computational cost.

stat.ML↗

arXiv2018

Bayesian Optimization of Combinatorial Structures

The optimization of expensive-to-evaluate black-box functions over combinatorial structures is an ubiquitous task in machine learning, engineering and the natural sciences. The combinatorial explosion of the search space and costly evaluations pose challenges for current techniques in discrete optimization and machine learning, and critically require new algorithmic ideas. This article proposes, to the best of our knowledge, the first algorithm to overcome these challenges, based on an adaptive, scalable model that identifies useful combinatorial structure even when data is scarce. Our acquisition function pioneers the use of semidefinite programming to achieve efficiency and scalability. Experimental evaluations demonstrate that this algorithm consistently outperforms other methods from combinatorial and Bayesian optimization.

stat.ML↗

arXiv2018

Bayesian Optimization with Gradients

Bayesian optimization has been successful at global optimization of expensive-to-evaluate multimodal objective functions. However, unlike most optimization methods, Bayesian optimization typically does not use derivative information. In this paper we show how Bayesian optimization can exploit derivative information to decrease the number of objective function evaluations required for good performance. In particular, we develop a novel Bayesian optimization algorithm, the derivative-enabled knowledge-gradient (dKG), for which we show one-step Bayes-optimality, asymptotic consistency, and greater one-step value of information than is possible in the derivative-free setting. Our procedure accommodates noisy and incomplete derivative information, comes in both sequential and batch forms, and can optionally reduce the computational cost of inference through automatically selected retention of a single directional derivative. We also compute the d-KG acquisition function and its gradient using a novel fast discretization-free technique. We show d-KG provides state-of-the-art performance compared to a wide range of optimization procedures with and without gradients, on benchmarks including logistic regression, deep learning, kernel learning, and k-nearest neighbors.

stat.ML↗

arXiv2017

Comparing the Finite-Time Performance of Simulation-Optimization Algorithms

We empirically evaluate the finite-time performance of several simulation-optimization algorithms on a testbed of problems with the goal of motivating further development of algorithms with strong finite-time performance. We investigate if the observed performance of the algorithms can be explained by properties of the problems, e.g., the number of decision variables, the topology of the objective function, or the magnitude of the simulation error.

math.OC↗

arXiv2016

Multi-Information Source Optimization

We consider Bayesian optimization of an expensive-to-evaluate black-box objective function, where we also have access to cheaper approximations of the objective. In general, such approximations arise in applications such as reinforcement learning, engineering, and the natural sciences, and are subject to an inherent, unknown bias. This model discrepancy is caused by an inadequate internal model that deviates from reality and can vary over the domain, making the utilization of these approximations a non-trivial task. We present a novel algorithm that provides a rigorous mathematical treatment of the uncertainties arising from model discrepancies and noisy observations. Its optimization decisions rely on a value of information analysis that extends the Knowledge Gradient factor to the setting of multiple information sources that vary in cost: each sampling decision maximizes the predicted benefit per unit cost. We conduct an experimental evaluation that demonstrates that the method consistently outperforms other state-of-the-art techniques: it finds designs of considerably higher objective value and additionally inflicts less cost in the exploration process.

stat.ML↗

arXiv2016

Warm Starting Bayesian Optimization

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.

stat.ML↗

arXiv2015

Contagious Sets in Dense Graphs

We study the activation process in undirected graphs known as bootstrap percolation: a vertex is active either if it belongs to a set of initially activated vertices or if at some point it had at least r active neighbors, for a threshold r that is identical for all vertices. A contagious set is a vertex set whose activation results with the entire graph being active. Let m(G,r) be the size of a smallest contagious set in a graph G on n vertices. We examine density conditions that ensure m(G,r) = r for all r >= 2. With respect to the minimum degree, we prove that such a smallest possible contagious set is guaranteed to exist if and only if G has minimum degree at least (k-1)/k * n. Moreover, we study the speed with which the activation spreads and provide tight upper bounds on the number of rounds it takes until all nodes are activated in such a graph. We also investigate what average degree asserts the existence of small contagious sets. For n >= k >= r, we denote by M(n,k,r) the maximum number of edges in an n-vertex graph G satisfying m(G,r)>k. We determine the precise value of M(n,k,2) and M(n,k,k), assuming that n is sufficiently large compared to k.

cs.DM↗

arXiv2015

Greedy Matching: Guarantees and Limitations

Since Tinhofer proposed the MinGreedy algorithm for maximum cardinality matching in 1984, several experimental studies found the randomized algorithm to perform excellently for various classes of random graphs and benchmark instances. In contrast, only few analytical results are known. We show that MinGreedy cannot improve on the trivial approximation ratio 1/2 whp., even for bipartite graphs. Our hard inputs seem to require a small number of high-degree nodes. This motivates an investigation of greedy algorithms on graphs with maximum degree D: We show that MinGreedy achieves a (D-1)/(2D-3)-approximation for graphs with D=3 and for D-regular graphs, and a guarantee of (D-1/2)/(2D-2) for graphs with maximum degree D. Interestingly, our bounds even hold for the deterministic MinGreedy that breaks all ties arbitrarily. Moreover, we investigate the limitations of the greedy paradigm, using the model of priority algorithms introduced by Borodin, Nielsen, and Rackoff. We study deterministic priority algorithms and prove a (D-1)/(2D-3)-inapproximability result for graphs with maximum degree D; thus, these greedy algorithms do not achieve a 1/2+eps-approximation and in particular the 2/3-approximation obtained by the deterministic MinGreedy for D=3 is optimal in this class. For k-uniform hypergraphs we show a tight 1/k-inapproximability bound. We also study fully randomized priority algorithms and give a 5/6-inapproximability bound. Thus, they cannot compete with matching algorithms of other paradigms.

cs.DS↗

arXiv2013

On Some Recent MAX SAT Approximation Algorithms

Recently a number of randomized 3/4-approximation algorithms for MAX SAT have been proposed that all work in the same way: given a fixed ordering of the variables, the algorithm makes a random assignment to each variable in sequence, in which the probability of assigning each variable true or false depends on the current set of satisfied (or unsatisfied) clauses. To our knowledge, the first such algorithm was proposed by Poloczek and Schnitger; Van Zuylen subsequently gave an algorithm that set the probabilities differently and had a simpler analysis. She also set up a framework for deriving such algorithms. Buchbinder, Feldman, Naor, and Schwartz, as a special case of their work on maximizing submodular functions, also give a randomized 3/4-approximation algorithm for MAX SAT with the same structure as these previous algorithms. In this note we give a gloss on the Buchbinder et al. algorithm that makes it even simpler, and show that in fact it is equivalent to the previous algorithm of Van Zuylen. We also show how it extends to a deterministic LP rounding algorithm; such an algorithm was also given by Van Zuylen.

cs.DS↗