arXiv Machine Learning
Aug 5

Exploiting Separability in Multi-Scale Grey-Box Bayesian Optimization

arXiv:2608. 03045v1 Announce Type: new Abstract: We consider grey-box optimization problems where the decision variables naturally partition into black-box variables (as arguments to an expensive black-box function) and white-box variables, governed by a set of explicit, closed-form equations that also depend on the output of the black-box function.

By Joshua E. Hammond, Tyler A. Soderstrom, Brian A. Korgel, Michael Baldea
arXiv Machine Learning
Oct 8

Towards Regret Guarantees for One-Step Lookahead Bayesian Optimization

The paper investigates theoretical guarantees for a one‑step lookahead Bayesian optimization method called optimal‑point variance reduction (OVR). It derives a uniform Monte Carlo estimation error bound for the acquisition function and shows that a regularized version of OVR achieves a vanishing Bayesian expected simple regret bound. Numerical experiments validate the performance of both OVR and its regularized variant.

By Shion Takeno
arXiv Machine Learning
Sep 15

Bayesian Optimisation Using Product-of-Experts Gaussian Process Models with Uncertainty Calibration

The paper introduces BO-pro-c, a Bayesian optimisation algorithm that employs a product-of-experts Gaussian process (GP-pro-c) as its surrogate model. GP-pro-c combines multiple local GP experts to improve uncertainty quantification, reduce computational cost, and preserve global correlations, addressing the cubic complexity of single global GP models. Experiments show that BO-pro-c achieves competitive optimisation performance with a 0.9% lower simple regret and a 39.4% reduction in computational overhead compared to a single‑global‑GP baseline.

By Yean Hoon Ong