Gaussian process bandit optimisation with multi-fidelity evaluations

Kirthevasan Kandasamy, Gautam Dasarathy, Junier Oliva, Jeff Schneider, Barnabs Póczos

Research output: Contribution to journalConference article

29 Scopus citations

Abstract

In many scientific and engineering applications, we are tasked with the optimisation of an expensive to evaluate black box function f. Traditional methods for this problem assume just the availability of this single function. However, in many cases, cheap approximations to f may be obtainable. For example, the expensive real world behaviour of a robot can be approximated by a cheap computer simulation. We can use these approximations to eliminate low function value regions cheaply and use the expensive evaluations of f in a small but promising region and speedily identify the optimum. We formalise this task as a multi-fidelity bandit problem where the target function and its approximations are sampled from a Gaussian process. We develop MF-GP-UCB, a novel method based on upper confidence bound techniques. In our theoretical analysis we demonstrate that it exhibits precisely the above behaviour, and achieves better regret than strategies which ignore multi-fidelity information. MF-GP-UCB outperforms such naive strategies and other multi-fidelity methods on several synthetic and real experiments.

Original languageEnglish (US)
Pages (from-to)1000-1008
Number of pages9
JournalAdvances in Neural Information Processing Systems
StatePublished - Jan 1 2016
Externally publishedYes
Event30th Annual Conference on Neural Information Processing Systems, NIPS 2016 - Barcelona, Spain
Duration: Dec 5 2016Dec 10 2016

ASJC Scopus subject areas

  • Computer Networks and Communications
  • Information Systems
  • Signal Processing

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