Asynchronous Decentralized Bayesian Optimization

OptimizerADBO class that implements Asynchronous Decentralized Bayesian Optimization (ADBO). ADBO is a variant of Asynchronous Model Based Optimization (AMBO) that uses AcqFunctionStochasticCB with exponential lambda decay.

Currently, only single-objective optimization is supported and OptimizerADBO is considered an experimental feature and API might be subject to changes.

Note

The lambda parameter of the confidence bound acquisition function controls the trade-off between exploration and exploitation. A large lambda value leads to more exploration, while a small lambda value leads to more exploitation. The initial lambda value of the acquisition function used on each worker is drawn from an exponential distribution with rate 1 / lambda. ADBO can use periodic exponential decay to reduce lambda periodically for a given time step t with the formula lambda * exp(-rate * (t %% period)). The SurrogateLearner is configured to use a random forest and the AcqOptimizer is a random search with a batch size of 1000 and a budget of 10000 evaluations.

Parameters

lambda

numeric(1)
Value used for sampling the lambda for each worker from an exponential distribution.

rate

numeric(1)
Rate of the exponential decay.

period

integer(1)
Period of the exponential decay.

initial_design

data.table::data.table()
Initial design of the optimization. If NULL, a design of size design_size is generated with the specified design_function. Default is NULL.

design_size

integer(1)
Size of the initial design if it is to be generated. Default is 100.

design_function

character(1)
Sampling function to generate the initial design. Can be random paradox::generate_design_random, lhs paradox::generate_design_lhs, or sobol paradox::generate_design_sobol. Default is sobol.

n_workers

integer(1)
Number of parallel workers. If NULL, all rush workers specified via rush::rush_plan() are used. Default is NULL.

References

• Egelé, Romain, Guyon, Isabelle, Vishwanath, Venkatram, Balaprakash, Prasanna (2023). “Asynchronous Decentralized Bayesian Optimization for Large Scale Hyperparameter Optimization.” In 2023 IEEE 19th International Conference on e-Science (e-Science), 1–10.

Super classes

bbotk::Optimizer -> bbotk::OptimizerAsync -> mlr3mbo::OptimizerAsyncMbo -> OptimizerADBO

Methods

Public methods

• OptimizerADBO$new()

• OptimizerADBO$optimize()

• OptimizerADBO$clone()

Inherited methods

• bbotk::Optimizer$format()
• bbotk::Optimizer$help()
• mlr3mbo::OptimizerAsyncMbo$print()
• mlr3mbo::OptimizerAsyncMbo$reset()

---

Method new()

Creates a new instance of this R6 class.

Usage

OptimizerADBO$new()

---

Method optimize()

Performs the optimization on an bbotk::OptimInstanceAsyncSingleCrit until termination. The single evaluations will be written into the bbotk::ArchiveAsync. The result will be written into the instance object.

Usage

OptimizerADBO$optimize(inst)

Arguments

inst

(bbotk::OptimInstanceAsyncSingleCrit).

Returns

data.table::data.table()

---

Method clone()

The objects of this class are cloneable with this method.

Usage

OptimizerADBO$clone(deep = FALSE)

Arguments

deep

Whether to make a deep clone.

Examples

# \donttest{
if (requireNamespace("rush") &
    requireNamespace("mlr3learners") &
    requireNamespace("DiceKriging") &
    requireNamespace("rgenoud")) {

  if (redis_available()) {

    library(bbotk)
    library(paradox)
    library(mlr3learners)

    fun = function(xs) {
      list(y = xs$x ^ 2)
    }
    domain = ps(x = p_dbl(lower = -10, upper = 10))
    codomain = ps(y = p_dbl(tags = "minimize"))
    objective = ObjectiveRFun$new(fun = fun, domain = domain, codomain = codomain)

    instance = OptimInstanceAsyncSingleCrit$new(
      objective = objective,
      terminator = trm("evals", n_evals = 10))

    rush::rush_plan(n_workers=2)

    optimizer = opt("adbo", design_size = 4, n_workers = 2)

    optimizer$optimize(instance)
  } else {
    message("Redis server is not available.\nPlease set up Redis prior to running the example.")
  }
}
#> Loading required namespace: rush
#> Redis server is not available.
#> Please set up Redis prior to running the example.
# }