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Poster

Posterior Sampling-Based Bayesian Optimization with Tighter Bayesian Regret Bounds

Shion Takeno · Yu Inatsu · Masayuki Karasuyama · Ichiro Takeuchi

Hall C 4-9 #1107
[ ] [ Paper PDF ]
[ Poster
Wed 24 Jul 4:30 a.m. PDT — 6 a.m. PDT

Abstract:

Among various acquisition functions (AFs) in Bayesian optimization (BO), Gaussian process upper confidence bound (GP-UCB) and Thompson sampling (TS) are well-known options with established theoretical properties regarding Bayesian cumulative regret (BCR). Recently, it has been shown that a randomized variant of GP-UCB achieves a tighter BCR bound compared with GP-UCB, which we call the tighter BCR bound for brevity. Inspired by this study, this paper first shows that TS achieves the tighter BCR bound. On the other hand, GP-UCB and TS often practically suffer from manual hyperparameter tuning and over-exploration issues, respectively. Therefore, we analyze yet another AF called a probability of improvement from the maximum of a sample path (PIMS). We show that PIMS achieves the tighter BCR bound and avoids the hyperparameter tuning, unlike GP-UCB. Furthermore, we demonstrate a wide range of experiments, focusing on the effectiveness of PIMS that mitigates the practical issues of GP-UCB and TS.

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