通过沃瑟斯坦均值融合模型,实现无数据共享的协作优化。
Collaborative Bayesian Optimization via Wasserstein Barycenters
- 用高斯过程的沃瑟斯坦均值构建中心模型,融合多方代理模型。
- 在不共享原始数据条件下,优化性能接近集中式方法。
- 适合多机构联合优化且严守数据隐私的场景。
针对黑箱优化与数据隐私的双重需求,我们提出一种协作贝叶斯优化框架。各智能体仅能通过查询接口访问目标函数,不允许共享原始数据,但可交换其高斯过程(GP)代理模型。为实现协作,我们利用高斯过程的沃瑟斯坦均值概念构建中心模型,整合各方模型而不接触底层数据。该方法设计了协同采集函数,在每轮迭代中平衡探索与利用,共同优化决策变量。理论证明所提算法渐近一致,蒙特卡洛实现具有数值精度。数值实验表明,本方法优于其他协作框架,性能可媲美不考虑隐私的集中式方法。
原文摘要 · Abstract (English)
Motivated by the growing need for black-box optimization and data privacy, we introduce a collaborative Bayesian optimization (BO) framework that addresses both of these challenges. In this framework agents work collaboratively to optimize a function they only have oracle access to. In order to mitigate against communication and privacy constraints, agents are not allowed to share their data but can share their Gaussian process (GP) surrogate models. To enable collaboration under these constraints, we construct a central model to approximate the objective function by leveraging the concept of Wasserstein barycenters of GPs. This central model integrates the shared models without accessing the underlying data. A key aspect of our approach is a collaborative acquisition function that balances exploration and exploitation, allowing for the optimization of decision variables collaboratively in each iteration. We prove that our proposed algorithm is asymptotically consistent and that its implementation via Monte Carlo methods is numerically accurate. Through numerical experiments, we demonstrate that our approach outperforms other baseline collaborative frameworks and is competitive with centralized approaches that do not consider data privacy.
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