Predictive Entropy Search for Multi-objective Bayesian Optimization with Constraints

Abstract

Real-world problems often involve the optimization of several objectives under multiple constraints. Furthermore, we may not have an expression for each objective or constraint; they may be expensive to evaluate; and the evaluations can be noisy. These functions are referred to as black-boxes. Bayesian optimization (BO) can efficiently solve the problems described. For this, BO iteratively fits a model to the observations of each black-box. The models are then used to choose where to evaluate the black-boxes next, with the goal of solving the optimization problem in a few iterations. In particular, they guide the search for the problem's solution, and avoid evaluations in regions of little expected utility. A limitation, however, is that current BO methods for these problems choose a point at a time at which to evaluate the black-boxes. If the expensive evaluations can be carried out in parallel (as when a cluster of computers is available), this results in a waste of resources. Here, we introduce PPESMOC, Parallel Predictive Entropy Search for Multi-objective Optimization with Constraints, a BO strategy for solving the problems described. PPESMOC selects, at each iteration, a batch of input locations at which to evaluate the black-boxes, in parallel, to maximally reduce the entropy of the problem's solution. To our knowledge, this is the first batch method for constrained multi-objective BO. We present empirical evidence in the form of synthetic, benchmark and real-world experiments that illustrate the effectiveness of PPESMOC.

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A Bayesian Optimization Approach for Multi-Function Estimation for Environmental Monitoring Using an Autonomous Surface Vehicle: Ypacarai Lake Case Study

“…Multi-Objective Bayesian Optimization has been applied to many optimization works [17,18] in several research fields. Although the MEBO has not been used in monitoring systems with autonomous vehicles, the sequential BO proposed in the existing works is useful and can be adapted to accomplish monitoring tasks.…”

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