Paper

Beyond Regrets: Geometric Metrics for Bayesian Optimization

Kim, Jungtaek

2024

Overview

Bayesian optimization is a principled optimization strategy for a black-box objective function. It shows its effectiveness in a wide variety of real-world applications such as scientific discovery and experimental design. In general, the performance of Bayesian optimization is reported through regret-based metrics such as instantaneous, simple, and cumulative regrets. These metrics only rely on function evaluations, so that they do not consider geometric relationships between query points and global solutions, or query points themselves. Notably, they cannot discriminate if multiple global solutions are successfully found. Moreover, they do not evaluate Bayesian optimization's abilities to exploit and explore a search space given. To tackle these issues, we propose four new geometric metrics, i.e., precision, recall, average degree, and average distance. These metrics allow us to compare Bayesian optimization algorithms considering the geometry of both query points and global optima, or query points. However, they are accompanied by an extra parameter, which needs to be carefully determined. We therefore devise the parameter-free forms of the respective metrics by integrating out the additional parameter. Finally, we validate that our proposed metrics can provide more delicate interpretation of Bayesian optimization, on top of assessment via the conventional metrics.

• Publisher: Cornell University Library, arXiv.org
• Subject: Algorithms / Bayesian analysis / Design of experiments / Optimization / Optimization algorithms / Parameters / Queries