IQS-BO: In-Context Query Selection for Bayesian Optimisation

Abstract

Bayesian Optimisation (BO) is a powerful framework for the optimisation of expensive black-box functions, but typically requires refitting a surrogate and maximising an acquisition function at every evaluation step. In-context approaches based on Prior-data Fitted Networks (PFNs) amortise part of this cost by pre-training transformers on functions drawn from synthetic priors. PFNs4BO amortises the surrogate but still relies on a numerically maximised acquisition function, while FIBO performs BO fully in-context by sampling optimiser locations from a learned density, which fixes the decision rule and admits no surrogate. Learned acquisition functions score a finite candidate set with a trained network, but, lacking a label for the query, learn the score by reinforcement learning on previously solved tasks. We propose IQS-BO, a PFN that learns the query decision by supervised learning on synthetic priors. In a single forward pass, IQS-BO predicts the probability that each candidate maximises the objective over the set, and we show that the minimiser of its objective is the posterior probability of this event. The model can be pre-trained without a surrogate for fully in-context BO, or take the predictions of a fixed probabilistic surrogate as additional input, amortising only the decision step. Our method proposes queries at a fraction of the cost of acquisition-based methods, while either matching or outperforming standard BO with Gaussian processes (GPs) and available in-context methods on synthetic and real-world benchmarks. Finally, we propose a mixture prior for pre-training PFNs which combines samples from GPs with functions exhibiting warped inputs, isolated narrow optima, or plateaus that are poorly modeled by stationary kernels common in GP surrogates. We show that pre-training on this prior can lead to improved optimisation performance.