THEORETICAL ANALYSIS OF BAYESIAN OPTIMIZATION
WITH UNKNOWN GAUSSIAN PROCESS HYPER-PARAMETER
Prepared by: Sneha Dey(20221IST0039) , Sneha S(20221IST0114) ,
T. Mahitha(20221IST0113)
Department of Computer Science
Your University : Presidency University
Abstract
Bayesian Optimization (BO) has gained significant popularity in the domain of black-box
optimization, especially when dealing with expensive-to-evaluate objective functions. This
report focuses on the theoretical analysis of BO, particularly when the hyper-parameters of
the Gaussian Process (GP) prior are unknown. We explore how such uncertainty affects the
convergence, efficiency, and decision-making capabilities of the BO process. The document
discusses existing methods for hyper-parameter estimation, the impact on acquisition
functions, and offers a comparative analysis. The results shed light on the necessity for
robust hyper-parameter learning techniques in BO.
Table of Contents
1. 1. Introduction
2. 2. Fundamentals of Bayesian Optimization
3. 3. Gaussian Processes in Optimization
4. 4. Unknown Hyper-parameters: Challenges and Impacts
5. 5. Theoretical Analysis
6. 6. Mathematical Formulations
7. 7. Illustrative Examples
8. 8. Discussion
9. 9. Future Work
10. 10. Conclusion
11. 11. References
1. Introduction
Bayesian Optimization (BO) is a strategy for optimizing black-box functions that are
expensive to evaluate...
Bayesian Optimization (BO) is a strategy for optimizing black-box functions that are
expensive to evaluate...
Bayesian Optimization (BO) is a strategy for optimizing black-box functions that are
expensive to evaluate...
2. Fundamentals of Bayesian Optimization
BO utilizes a surrogate model to predict the function's behavior and an acquisition function
to decide where to sample next...
BO utilizes a surrogate model to predict the function's behavior and an acquisition function
to decide where to sample next...
BO utilizes a surrogate model to predict the function's behavior and an acquisition function
to decide where to sample next...
3. Gaussian Processes in Optimization
Gaussian Processes (GPs) offer a probabilistic framework to model uncertainty...
Gaussian Processes (GPs) offer a probabilistic framework to model uncertainty...
Gaussian Processes (GPs) offer a probabilistic framework to model uncertainty...
4. Unknown Hyper-parameters: Challenges and Impacts
When hyper-parameters such as length scale or variance are not known, the GP model can
produce misleading predictions...
When hyper-parameters such as length scale or variance are not known, the GP model can
produce misleading predictions...
When hyper-parameters such as length scale or variance are not known, the GP model can
produce misleading predictions...
5. Theoretical Analysis
We examine convergence bounds and posterior consistency under unknown hyper-
parameter conditions...
We examine convergence bounds and posterior consistency under unknown hyper-
parameter conditions...
We examine convergence bounds and posterior consistency under unknown hyper-
parameter conditions...
6. Mathematical Formulations
Let f(x) be a black-box function modeled as a GP with unknown parameters θ...
Let f(x) be a black-box function modeled as a GP with unknown parameters θ...
Let f(x) be a black-box function modeled as a GP with unknown parameters θ...
7. Illustrative Examples
Consider a simple 1D optimization problem with a synthetic function and compare
performance with known vs unknown parameters...
Consider a simple 1D optimization problem with a synthetic function and compare
performance with known vs unknown parameters...
Consider a simple 1D optimization problem with a synthetic function and compare
performance with known vs unknown parameters...
8. Discussion
The analysis shows that marginal likelihood estimation introduces noise in acquisition
function optimization...
The analysis shows that marginal likelihood estimation introduces noise in acquisition
function optimization...
The analysis shows that marginal likelihood estimation introduces noise in acquisition
function optimization...
9. Future Work
Future research could involve meta-learning of GP hyper-parameters or robust Bayesian
inference methods...
Future research could involve meta-learning of GP hyper-parameters or robust Bayesian
inference methods...
Future research could involve meta-learning of GP hyper-parameters or robust Bayesian
inference methods...
10. Conclusion
Unknown hyper-parameters introduce complexity into Bayesian Optimization, requiring
more robust modeling...
Unknown hyper-parameters introduce complexity into Bayesian Optimization, requiring
more robust modeling...
Unknown hyper-parameters introduce complexity into Bayesian Optimization, requiring
more robust modeling...
11. References
[1] Rasmussen, C.E. & Williams, C.K.I. (2006). Gaussian Processes for Machine Learning...
[2] Snoek, J. et al. (2012). Practical Bayesian Optimization of Machine Learning Algorithms...
[1] Rasmussen, C.E. & Williams, C.K.I. (2006). Gaussian Processes for Machine Learning...
[2] Snoek, J. et al. (2012). Practical Bayesian Optimization of Machine Learning Algorithms...
[1] Rasmussen, C.E. & Williams, C.K.I. (2006). Gaussian Processes for Machine Learning...
[2] Snoek, J. et al. (2012). Practical Bayesian Optimization of Machine Learning Algorithms...
