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SnAKe: Bayesian Optimization with Pathwise Exploration
Jose Pablo Folch · Shiqiang Zhang · Robert Lee · Behrang Shafei · David Walz · Calvin Tsay · Mark van der Wilk · Ruth Misener

Tue Nov 29 02:00 PM -- 04:00 PM (PST) @ Hall J #507

"Bayesian Optimization is a very effective tool for optimizing expensive black-box functions. Inspired by applications developing and characterizing reaction chemistry using droplet microfluidic reactors, we consider a novel setting where the expense of evaluating the function can increase significantly when making large input changes between iterations. We further assume we are working asynchronously, meaning we have to decide on new queries before we finish evaluating previous experiments. This paper investigates the problem and introduces 'Sequential Bayesian Optimization via Adaptive Connecting Samples' (SnAKe), which provides a solution by considering large batches of queries and preemptively building optimization paths that minimize input costs. We investigate some convergence properties and empirically show that the algorithm is able to achieve regret similar to classical Bayesian Optimization algorithms in both the synchronous and asynchronous settings, while reducing the input costs significantly. We show the method is robust to the choice of its single hyper-parameter and provide a parameter-free alternative."

Author Information

Jose Pablo Folch (Imperial College London)
Jose Pablo Folch

PhD Student at Imperial College London, as part of the StatML CDT. Working on chemistry-inspired Bayesian Optimization problems.

Shiqiang Zhang (Imperial College London)
Robert Lee (BASF SE)
Behrang Shafei (BASF)
David Walz (BASF SE)
Calvin Tsay (Imperial College London)
Mark van der Wilk (Imperial College London)
Ruth Misener (Imperial College London)

Dr Ruth Misener is Professor in Computational Optimization in the Imperial College London Department of Computing. Ruth received an SB from MIT and a PhD from Princeton. Foundations of her research are in numerical optimization algorithms. Applications include decision-making under uncertainty, energy efficiency, process network design & operations, and scheduling. Ruth's research team makes their software contributions available open source (<https://github.com/cog-imperial>). Ruth received the 2017 Macfarlane Medal from the Royal Academy of Engineering and the 2020 Outstanding Young Researcher Award from the AIChE Computing & Systems Technology Division. She has won best paper awards at AAMAS (2020, Best Innovative Demo), CPAIOR (2021), and the Journal of Global Optimization (2013). Ruth is an associate editor for *Computers & Chemical Engineering* and *INFORMS Journal on Computing*.

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