Bayesian Optimization in a Billion Dimensions via Random Embeddings
published: Nov. 7, 2013, recorded: September 2013, views: 345
Report a problem or upload filesIf you have found a problem with this lecture or would like to send us extra material, articles, exercises, etc., please use our ticket system to describe your request and upload the data.
Enter your e-mail into the 'Cc' field, and we will keep you updated with your request's status.
Bayesian optimization techniques have been successfully applied to robotics, planning, sensor placement, recommendation, advertising, intelligent user interfaces and automatic algorithm configuration. Despite these successes, the approach is restricted to problems of moderate dimension, and several workshops on Bayesian optimization have identified its scaling to high-dimensions as one of the holy grails of the field. In this paper, we introduce a novel random embedding idea to attack this problem. The resulting Random EMbedding Bayesian Optimization (REMBO) algorithm is very simple, has important invariance properties, and applies to domains with both categorical and continuous variables. We present a thorough theoretical analysis of REMBO, including regret bounds that only depend on the problem's intrinsic dimensionality. Empirical results confirm that REMBO can effectively solve problems with billions of dimensions, provided the intrinsic dimensionality is low. They also show that REMBO achieves state-of-the-art performance in optimizing the 47 discrete parameters of a popular mixed integer linear programming solver.
Download slides: lsoldm2013_de_freitas_random_embeddings_01.pdf (3.3 MB)
Link this pageWould you like to put a link to this lecture on your homepage?
Go ahead! Copy the HTML snippet !