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arXiv · 2003.11435

Preferential Batch Bayesian Optimization

Eero Siivola·Akash Kumar Dhaka·Michael Riis Andersen·Javier Gonzalez·Pablo Garcia Moreno·Aki Vehtari
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Abstract

Most research in Bayesian optimization (BO) has focused on \emph{direct feedback} scenarios, where one has access to exact values of some expensive-to-evaluate objective. This direction has been mainly driven by the use of BO in machine learning hyper-parameter configuration problems. However, in domains such as modelling human preferences, A/B tests, or recommender systems, there is a need for methods that can replace direct feedback with \emph{preferential feedback}, obtained via rankings or pairwise comparisons. In this work, we present preferential batch Bayesian optimization (PBBO), a new framework that allows finding the optimum of a latent function of interest, given any type of parallel preferential feedback for a group of two or more points. We do so by using a Gaussian process model with a likelihood specially designed to enable parallel and efficient data collection mechanisms, which are key in modern machine learning. We show how the acquisitions developed under this framework generalize and augment previous approaches in Bayesian optimization, expanding the use of these techniques to a wider range of domains. An extensive simulation study shows the benefits of this approach, both with simulated functions and four real data sets.

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Eero Siivola, Akash Kumar Dhaka, Michael Riis Andersen, Javier Gonzalez, Pablo Garcia Moreno, Aki Vehtari. 2020-03-25. Preferential Batch Bayesian Optimization. https://arxiv.org/abs/2003.11435

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