A warped kernel improving robustness in Bayesian optimization via random embeddings
Optimization and Control
2015-03-19 v3 Machine Learning
Abstract
This works extends the Random Embedding Bayesian Optimization approach by integrating a warping of the high dimensional subspace within the covariance kernel. The proposed warping, that relies on elementary geometric considerations, allows mitigating the drawbacks of the high extrinsic dimensionality while avoiding the algorithm to evaluate points giving redundant information. It also alleviates constraints on bound selection for the embedded domain, thus improving the robustness, as illustrated with a test case with 25 variables and intrinsic dimension 6.
Cite
@article{arxiv.1411.3685,
title = {A warped kernel improving robustness in Bayesian optimization via random embeddings},
author = {Mickaël Binois and David Ginsbourger and Olivier Roustant},
journal= {arXiv preprint arXiv:1411.3685},
year = {2015}
}