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Wenlong Lyu

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3 papers

2 author rows

NeurIPS Conference 2023 Conference Paper

Efficient Robust Bayesian Optimization for Arbitrary Uncertain inputs

Lin Yang
Junlong Lyu
Wenlong Lyu
Zhitang Chen

Bayesian Optimization (BO) is a sample-efficient optimization algorithm widely employed across various applications. In some challenging BO tasks, input uncertainty arises due to the inevitable randomness in the optimization process, such as machining errors, execution noise, or contextual variability. This uncertainty deviates the input from the intended value before evaluation, resulting in significant performance fluctuations in the final result. In this paper, we introduce a novel robust Bayesian Optimization algorithm, AIRBO, which can effectively identify a robust optimum that performs consistently well under arbitrary input uncertainty. Our method directly models the uncertain inputs of arbitrary distributions by empowering the Gaussian Process with the Maximum Mean Discrepancy (MMD) and further accelerates the posterior inference via Nystrom approximation. Rigorous theoretical regret bound is established under MMD estimation error and extensive experiments on synthetic functions and real problems demonstrate that our approach can handle various input uncertainties and achieve a state-of-the-art performance.

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JAIR Journal 2022 Journal Article

HEBO: Pushing The Limits of Sample-Efficient Hyper-parameter Optimisation

Alexander I. Cowen-Rivers
Wenlong Lyu
Rasul Tutunov
Zhi Wang
Antoine Grosnit
Ryan Rhys Griffiths
Alexandre Max Maraval
Hao Jianye

In this work we rigorously analyse assumptions inherent to black-box optimisation hyper-parameter tuning tasks. Our results on the Bayesmark benchmark indicate that heteroscedasticity and non-stationarity pose significant challenges for black-box optimisers. Based on these findings, we propose a Heteroscedastic and Evolutionary Bayesian Optimisation solver (HEBO). HEBO performs non-linear input and output warping, admits exact marginal log-likelihood optimisation and is robust to the values of learned parameters. We demonstrate HEBO’s empirical efficacy on the NeurIPS 2020 Black-Box Optimisation challenge, where HEBO placed first. Upon further analysis, we observe that HEBO significantly outperforms existing black-box optimisers on 108 machine learning hyperparameter tuning tasks comprising the Bayesmark benchmark. Our findings indicate that the majority of hyper-parameter tuning tasks exhibit heteroscedasticity and non-stationarity, multiobjective acquisition ensembles with Pareto front solutions improve queried configurations, and robust acquisition maximisers afford empirical advantages relative to their non-robust counterparts. We hope these findings may serve as guiding principles for practitioners of Bayesian optimisation.

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ICML Conference 2018 Conference Paper

Batch Bayesian Optimization via Multi-objective Acquisition Ensemble for Automated Analog Circuit Design

Wenlong Lyu
Fan Yang 0001
Changhao Yan
Dian Zhou
Xuan Zeng 0001

Bayesian optimization methods are promising for the optimization of black-box functions that are expensive to evaluate. In this paper, a novel batch Bayesian optimization approach is proposed. The parallelization is realized via a multi-objective ensemble of multiple acquisition functions. In each iteration, the multi-objective optimization of the multiple acquisition functions is performed to search for the Pareto front of the acquisition functions. The batch of inputs are then selected from the Pareto front. The Pareto front represents the best trade-off between the multiple acquisition functions. Such a policy for batch Bayesian optimization can significantly improve the efficiency of optimization. The proposed method is compared with several state-of-the-art batch Bayesian optimization algorithms using analytical benchmark functions and real-world analog integrated circuits. The experimental results show that the proposed method is competitive compared with the state-of-the-art algorithms.

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