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Title: Optimizing Bayesian optimization
Author: McLeod, Mark
ISNI:       0000 0004 7971 5892
Awarding Body: University of Oxford
Current Institution: University of Oxford
Date of Award: 2018
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We are concerned primarily with improving the practical applicability of Bayesian optimization. We make contributions in three key areas. We develop an intuitive online stopping criterion, allowing only as many steps as necessary to achieve the desired target to be taken. By combining this with intelligent online switching between acquisition functions and pure local optimization we are also able to substantially improve convergence to the local minimum associated with our final solution. In cases where a continuum of reduced cost, but also reduced accuracy, evaluations are available we develop a Bayesian Optimization acquisition function to select both the location and cost of each evaluation. We achieve this with lower overheads than previous methods, translating to a real increase in performance. Part of this improvement is achieved by way of a new, more efficient, method for generating support points to sample the minimum of a Gaussian process. Further, in the case that the reduced cost estimates are unbiased we show that a practical solution cannot exist in most cases without also taking into consideration both computational overheads and a restriction on available resources. Given this knowledge we then develop a method which provides a viable solution in this setting. Finally, we outline practical implementation details for Bayesian optimization which allow substantial reductions in the overhead costs without changing the theoretical properties of optimization. This is primarily achieved by use of adaptive quadrature to marginalize Gaussian process hyperparameters in place of the more common slice sampling approach.
Supervisor: Roberts, Stephen ; Osborne, Michael Sponsor: Engineering and Physical Sciences Research Council
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available
Keywords: Machine learning