Publication

BOTORCH: A Framework for Efficient Monte-Carlo Bayesian Optimization

Conference on Neural Information Processing Systems (NeurIPS)


Abstract

Bayesian optimization provides sample-efficient global optimization for a broad range of applications, including automatic machine learning, engineering, physics, and experimental design. We introduce BOTORCH, a modern programming framework for Bayesian optimization that combines Monte-Carlo (MC) acquisition functions, a novel sample average approximation optimization approach, auto-differentiation, and variance reduction techniques. BOTORCH’s modular design facilitates flexible specification and optimization of probabilistic models written in PyTorch, simplifying implementation of new acquisition functions. Our approach is backed by novel theoretical convergence results and made practical by a distinctive algorithmic foundation that leverages fast predictive distributions, hardware acceleration, and deterministic optimization. We also propose a novel “one-shot” formulation of the Knowledge Gradient, enabled by a combination of our theoretical and software contributions. In experiments, we demonstrate the improved sample efficiency of BOTORCH relative to other popular libraries.

Related Publications

All Publications

SIGDIAL - August 1, 2021

Annotation Inconsistency and Entity Bias in MultiWOZ

Kun Qian, Ahmad Berrami, Zhouhan Lin, Ankita De, Alborz Geramifard, Zhou Yu, Chinnadhurai Sankar

Uncertainty and Robustness in Deep Learning Workshop at ICML - August 1, 2020

Tilted Empirical Risk Minimization

Tian Li, Ahmad Beirami, Maziar Sanjabi, Virginia Smith

arxiv - November 1, 2020

The Hateful Memes Challenge: Detecting Hate Speech in Multimodal Memes

Douwe Kiela, Hamed Firooz, Aravind Mohan, Vedanuj Goswami, Amanpreet Singh, Pratik Ringshia, Davide Testuggine

ICML - July 24, 2021

Using Bifurcations for Diversity in Differentiable Games

Jonathan Lorraine, Jack Parker-Holder, Paul Vicol, Aldo Pacchiano, Luke Metz, Tal Kachman, Jakob Foerster

To help personalize content, tailor and measure ads, and provide a safer experience, we use cookies. By clicking or navigating the site, you agree to allow our collection of information on and off Facebook through cookies. Learn more, including about available controls: Cookies Policy