THEORETICAL ANALYSIS OF BAYESIAN OPTIMIZATION WITH UNKNOWN GAUSSIAN
PROCESS HYPER-PARAMETER
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ABSTRACT
Bayesian optimization is a powerful framework for optimizing expensive black-box
functions. This report presents a theoretical analysis of the Bayesian optimization process
when the hyperparameters of the Gaussian process (GP) model are unknown. The work
focuses on the challenges posed by uncertain hyperparameters and the implications on
convergence, regret bounds, and acquisition function performance. The study aims to
contribute to a deeper understanding of optimization behavior under model uncertainty.
TABLE OF CONTENTS
1. Introduction .......................................................... 6
2. Gaussian Process Basics ............................................. 7
3. Challenges with Unknown Hyperparameters ................ 9
4. Theoretical Analysis .................................................. 11
5. Applications and Case Studies ................................... 13
6. Conclusion ............................................................. 14
7. References ............................................................. 15
1. Introduction
Bayesian Optimization (BO) has emerged as a sample-efficient method for global
optimization of expensive and black-box functions. It utilizes a probabilistic model to make
informed decisions about where to sample next. Gaussian Processes (GPs) are typically used
as the surrogate model in BO due to their flexibility and probabilistic predictions.
In practical settings, the performance of Bayesian optimization is heavily influenced by the
choice of hyperparameters of the GP, such as the kernel parameters and noise level.
However, these hyperparameters are often unknown and must be estimated from data. This
introduces uncertainty that can significantly impact the theoretical guarantees and practical
performance of BO.
This report delves into the theoretical aspects of Bayesian optimization in the presence of
unknown GP hyperparameters. It reviews the foundational principles of GPs and Bayesian
optimization, highlights the challenges of hyperparameter uncertainty, and presents
relevant theoretical findings.
2. Gaussian Process Basics
Gaussian Processes provide a non-parametric approach to regression and are defined as a
collection of random variables, any finite number of which have a joint Gaussian
distribution. A GP is fully specified by its mean function m(x) and covariance function k(x,
x'). The GP prior over functions allows the model to estimate not just the function value but
also the uncertainty at each point.
Key components of GPs include:
- **Mean Function**: Usually assumed to be zero.
- **Covariance Function (Kernel)**: Defines the similarity between points. Common kernels
include the squared exponential, Matern, and rational quadratic.
- **Hyperparameters**: Parameters of the kernel function (e.g., length scale, signal
variance) that determine the smoothness and variability of functions.
In Bayesian optimization, the GP posterior is used to construct acquisition functions such as
Expected Improvement (EI), Probability of Improvement (PI), or Upper Confidence Bound
(UCB), guiding the selection of new evaluation points.
3. Challenges with Unknown Hyperparameters
When hyperparameters of the Gaussian Process are not known a priori, they are usually
estimated from data using methods like Maximum Likelihood Estimation (MLE) or Markov
Chain Monte Carlo (MCMC). However, such estimates can be noisy or overfitted to limited
data, introducing uncertainty in the GP model and acquisition functions.
Some of the key challenges include:
- **Hyperparameter Sensitivity**: Small changes in hyperparameters can lead to drastically
different posterior predictions.
- **Overfitting**: MLE may favor hyperparameters that overfit noise, leading to poor
exploration.
- **Bias in Acquisition Functions**: Acquisition functions may become overly confident,
misguiding the optimizer.
- **Computational Complexity**: Integrating over the hyperparameter distribution
increases computational burden.
These challenges motivate the need for theoretical tools that account for hyperparameter
uncertainty and provide robustness guarantees.
4. Theoretical Analysis
Theoretical analysis of Bayesian optimization with unknown GP hyperparameters aims to
understand its convergence behavior, regret bounds, and robustness. Key theoretical
concepts include:
**1. Regret Analysis**:
Regret is a measure of the difference between the optimal value and the value at the point
selected by the algorithm. With known hyperparameters, BO has been shown to have
sublinear cumulative regret. With unknown hyperparameters, regret bounds depend on
how well the hyperparameters can be estimated.
**2. Convergence Guarantees**:
Under certain conditions, such as consistent hyperparameter estimates and bounded
information gain, BO can still guarantee convergence to the global optimum.
**3. Uncertainty Quantification**:
Modeling the posterior over hyperparameters enables uncertainty-aware acquisition
strategies. For example, Thompson Sampling or integrating acquisition functions over
hyperparameter distributions.
**4. Meta-Learning Approaches**:
Recent methods use historical optimization tasks to learn priors over hyperparameters,
improving robustness and performance.
Overall, while theoretical guarantees become more complex with unknown
hyperparameters, careful modeling and estimation strategies can mitigate negative impacts.
5. Applications and Case Studies
Bayesian optimization with GPs and uncertain hyperparameters finds use in many real-
world applications where function evaluations are expensive:
- **Hyperparameter Tuning of Machine Learning Models**
- **Engineering Design Optimization**
- **Drug Discovery and Material Science**
- **Robotics and Control Systems**
Case studies have shown that accounting for hyperparameter uncertainty leads to better
exploration and fewer evaluations. For example, using MCMC-based GP models in tuning
deep neural networks often improves robustness and final accuracy.
6. Conclusion
Bayesian Optimization remains a powerful tool for optimizing black-box functions,
particularly when function evaluations are costly. However, the assumption of known GP
hyperparameters is often unrealistic. This report has explored the theoretical landscape of
Bayesian optimization in the presence of unknown GP hyperparameters, identifying
challenges and recent advancements.
Future work may focus on developing scalable algorithms that better integrate
hyperparameter uncertainty and extending theoretical results to broader model classes.
Addressing these issues will help in building more reliable and effective optimization
frameworks.
7. References
1. Rasmussen, C.E. and Williams, C.K.I. (2006). Gaussian Processes for Machine Learning.
MIT Press.
2. Snoek, J., Larochelle, H., and Adams, R.P. (2012). Practical Bayesian Optimization of
Machine Learning Algorithms.
3. Shahriari, B. et al. (2016). Taking the Human Out of the Loop: A Review of Bayesian
Optimization.
4. Hernández-Lobato, J.M., Hoffman, M.W., and Ghahramani, Z. (2014). Predictive Entropy
Search for Efficient Global Optimization of Black-box Functions.
5. Srinivas, N. et al. (2010). Gaussian Process Optimization in the Bandit Setting: No Regret
and Experimental Design.
