Sampling Acquisition Functions for Batch Bayesian Optimization

We present Acquisition Thompson Sampling (ATS), a novel technique for batch Bayesian Optimization (BO) based on the idea of sampling multiple acquisition functions from a stochastic process. We define this process through the dependency of the acquisition functions on a set of model hyper-parameters. ATS is conceptually simple, straightforward to implement and, unlike other batch BO methods, it can be employed to parallelize any sequential acquisition function or to make existing parallel methods scale further. We present experiments on a variety of benchmark functions and on the hyper-parameter optimization of a popular gradient boosting tree algorithm. These demonstrate the advantages of ATS with respect to classical parallel Thompson Sampling for BO, its competitiveness with two state-of-the-art batch BO methods, and its effectiveness if applied to existing parallel BO algorithms.

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