Principled Preferential Bayesian Optimization
Abstract
We study the problem of preferential Bayesian optimization (BO), where we aim to optimize a black-box function with only preference feedback over a pair of candidate solutions. Inspired by the likelihood ratio idea, we construct a confidence set of the black-box function using only the preference feedback. An optimistic algorithm with an efficient computational method is then developed to solve the problem, which enjoys an information-theoretic bound on the total cumulative regret, a first-of-its-kind for preferential BO. This bound further allows us to design a scheme to report an estimated best solution, with a guaranteed convergence rate. Experimental results on sampled instances from Gaussian processes, standard test functions, and a thermal comfort optimization problem all show that our method stably achieves better or competitive performance as compared to the existing state-of-the-art heuristics, which, however, do not have theoretical guarantees on regret bounds or convergence.
Cite
@article{arxiv.2402.05367,
title = {Principled Preferential Bayesian Optimization},
author = {Wenjie Xu and Wenbin Wang and Yuning Jiang and Bratislav Svetozarevic and Colin N. Jones},
journal= {arXiv preprint arXiv:2402.05367},
year = {2024}
}
Comments
Accepted to ICML 2024