Simulation Based Bayesian Optimization
Roi Naveiro Becky Tang
Bayesian Optimization (BO) is a powerful method for optimizing black-box
functions by combining prior knowledge with ongoing function evaluations. BO
constructs a probabilistic surrogate model of the objective function given the
covariates, which is in turn used to inform the selection of future evaluation
points through an acquisition function. For smooth continuous search spaces,
Gaussian Processes (GPs) are commonly used as the surrogate model as they offer
analytical access to posterior predictive distributions, thus facilitating the
computation and optimization of acquisition functions. However, in complex
scenarios involving optimizations over categorical or mixed covariate spaces,
GPs may not be ideal.
  This paper introduces Simulation Based Bayesian Optimization (SBBO) as a
novel approach to optimizing acquisition functions that only requires
\emph{sampling-based} access to posterior predictive distributions. SBBO allows
the use of surrogate probabilistic models tailored for combinatorial spaces
with discrete variables. Any Bayesian model in which posterior inference is
carried out through Markov chain Monte Carlo can be selected as the surrogate
model in SBBO. In applications involving combinatorial optimization, we
demonstrate empirically the effectiveness of SBBO method using various choices
of surrogate models.