Information-theoretic Bayesian optimisation techniques have demonstrated state-of-the-art performance in tackling important global optimisation problems. However, current information-theoretic approaches require many approximations in implementation, introduce often-prohibitive computational overhead and limit the choice of kernels available to model the objective. We develop a fast information-theoretic Bayesian Optimisation method, FITBO, that avoids the need for sampling the global minimiser, thus significantly reducing computational overhead. Moreover, in comparison with existing approaches, our method faces fewer constraints on kernel choice and enjoys the merits of dealing with the output space. We demonstrate empirically that FITBO inherits the performance associated with information-theoretic Bayesian optimisation, while being even faster than simpler Bayesian optimisation approaches, such as Expected Improvement.

We develop the first Bayesian Optimization algorithm, BLOSSOM, which selects between multiple alternative acquisition functions and traditional local optimization at each step. This is combined with a novel stopping condition based on expected regret. This pairing allows us to obtain the best characteristics of both local and Bayesian optimization, making efficient use of function evaluations while yielding superior convergence to the global minimum on a selection of optimization problems, and also halting optimization once a principled and intuitive stopping condition has been fulfilled.

Bayesian optimization methods are promising for the optimization of black-box functions that are expensive to evaluate. In this paper, a novel batch Bayesian optimization approach is proposed. The parallelization is realized via a multi-objective ensemble of multiple acquisition functions. In each iteration, the multi-objective optimization of the multiple acquisition functions is performed to search for the Pareto front of the acquisition functions. The batch of inputs are then selected from the Pareto front. The Pareto front represents the best trade-off between the multiple acquisition functions. Such a policy for batch Bayesian optimization can significantly improve the efficiency of optimization. The proposed method is compared with several state-of-the-art batch Bayesian optimization algorithms using analytical benchmark functions and real-world analog integrated circuits. The experimental results show that the proposed method is competitive compared with the state-of-the-art algorithms.

We consider the problem of Bayesian optimization (BO) in one dimension, under a Gaussian process prior and Gaussian sampling noise. We provide a theoretical analysis showing that, under fairly mild technical assumptions on the kernel, the best possible cumulative regret up to time $T$ behaves as $\Omega(\sqrt{T})$ and $O(\sqrt{T\log T})$. This gives a tight characterization up to a $\sqrt{\log T}$ factor, and includes the first non-trivial lower bound for noisy BO. Our assumptions are satisfied, for example, by the squared exponential and Mat\'ern-$\nu$ kernels, with the latter requiring $\nu > 2$. Our results certify the near-optimality of existing bounds (Srinivas {\em et al.}, 2009) for the SE kernel, while proving them to be strictly suboptimal for the Mat\'ern kernel with $\nu > 2$.