提出更优的批量核化贝叶斯优化算法,实现更少批次下的近优性能。
Batched Kernelized Bandits: Refinements and Extensions
- 通过优化批次数量和消除冗余因子,提升算法效率。
- 证明自适应批大小与固定批大小具有相同的最优后悔率。
- 设计鲁棒算法,在对抗扰动下仍保持低后悔率,适合高可靠性场景。
本文研究噪声反馈以批量形式揭示的黑箱优化问题,目标函数在某个再生核希尔伯特空间(RKHS)中具有有界范数。我们称之为批量核化贝叶斯优化问题,并对现有后悔界结果进行改进与扩展。对于算法上界,Li 和 Scarlett (2022) 表明,仅需 B=O(log log T) 个批次即可达到近似最优后悔率,其中 T 为时间跨度,B 为批次数。本文进一步改进:(i) 精确确定最优批次数量(常数因子误差在 1+o(1) 内),(ii) 消除后悔界中的额外批次数因子。针对算法无关的下界,注意到已有结果仅适用于预设批次大小,我们首次给出自适应批次大小下的新下界,证明其最小最大后悔率与固定批次相当。此外,考虑鲁棒设置:在对抗性扰动后仍能保持高函数值的点选择。我们提出鲁棒-BPE算法,证明一种定义合理的累积后悔率与非鲁棒情形具有相同界,并导出显著优于先前工作的简单后悔界。
原文摘要 · Abstract (English)
In this paper, we consider the problem of black-box optimization with noisy feedback revealed in batches, where the unknown function to optimize has a bounded norm in some Reproducing Kernel Hilbert Space (RKHS). We refer to this as the Batched Kernelized Bandits problem, and refine and extend existing results on regret bounds. For algorithmic upper bounds, (Li and Scarlett, 2022) shows that $B=O(\log\log T)$ batches suffice to attain near-optimal regret, where $T$ is the time horizon and $B$ is the number of batches. We further refine this by (i) finding the optimal number of batches including constant factors (to within $1+o(1)$), and (ii) removing a factor of $B$ in the regret bound. For algorithm-independent lower bounds, noticing that existing results only apply when the batch sizes are fixed in advance, we present novel lower bounds when the batch sizes are chosen adaptively, and show that adaptive batches have essentially same minimax regret scaling as fixed batches. Furthermore, we consider a robust setting where the goal is to choose points for which the function value remains high even after an adversarial perturbation. We present the robust-BPE algorithm, and show that a suitably-defined cumulative regret notion incurs the same bound as the non-robust setting, and derive a simple regret bound significantly below that of previous work.
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