The global optimization of a high-dimensional black-box function under black-box constraints is a pervasive task in machine learning, control, and engineering. These problems are difficult since the feasible set is typically non-convex and hard to find, in addition to the curses of dimensionality and the heterogeneity of the underlying functions. In particular, these characteristics dramatically impact the performance of Bayesian optimization methods, that otherwise have become the de-facto standard for sample-efficient optimization in unconstrained settings. Due to the lack of sample-efficient methods, practitioners usually fall back to evolutionary strategies or heuristics. We propose the scalable constrained Bayesian optimization (SCBO) algorithm that addresses the above challenges by data-independent transformations of the functions and follows the recent theme of local Bayesian optimization. A comprehensive experimental evaluation demonstrates that SCBO achieves excellent results and outperforms the state-of-the-art methods.

Many contemporary machine learning models require extensive tuning of hyperparameters to perform well. A variety of methods, such as Bayesian optimization, have been developed to automate and expedite this process. However, tuning remains extremely costly as it typically requires repeatedly fully training models. We propose to accelerate the Bayesian optimization approach to hyperparameter tuning for neural networks by taking into account the relative amount of information contributed by each training example. To do so, we leverage importance sampling (IS); this significantly increases the quality of the black-box function evaluations, but also their runtime, and so must be done carefully. Casting hyperparameter search as a multi-task Bayesian optimization problem over both hyperparameters and importance sampling design achieves the best of both worlds: by learning a parameterization of IS that trades-off evaluation complexity and quality, we improve upon Bayesian optimization state-of-the-art runtime and final validation error across a variety of datasets and complex neural architectures.

Bayesian optimization is a class of data efficient model based algorithms typically focused on global optimization. We consider the more general case where a user is faced with multiple problems that each need to be optimized conditional on a state variable, for example we optimize the location of ambulances conditioned on patient distribution given a range of cities with different patient distributions. Similarity across objectives boosts optimization of each objective in two ways: in modelling by data sharing across objectives, and also in acquisition by quantifying how all objectives benefit from a single point on one objective. For this we propose ConBO, a novel efficient algorithm that is based on a new hybrid Knowledge Gradient method, that outperforms recently published works on synthetic and real world problems, and is easily parallelized to collecting a batch of points.

In future cell-free (or cell-less) wireless networks, a large number of devices in a geographical area will be served simultaneously in non-orthogonal multiple access scenarios by a large number of distributed access points (APs), which coordinate with a centralized processing pool. For such a centralized cell-free network with static predefined beamforming design, we first derive a closed-form expression of the uplink per-user probability of outage. To significantly reduce the complexity of joint processing of users' signals in presence of a large number of devices and APs, we propose a novel dynamic cell-free network architecture. In this architecture, the distributed APs are partitioned (i.e. clustered) among a set of subgroups with each subgroup acting as a virtual AP equipped with a distributed antenna system (DAS). The conventional static cell-free network is a special case of this dynamic cell-free network when the cluster size is one. For this dynamic cell-free network, we propose a successive interference cancellation (SIC)-enabled signal detection method and an inter-user-interference (IUI)-aware DAS's receive diversity combining scheme. We then formulate the general problem of clustering APs and designing the beamforming vectors with an objective to maximizing the sum rate or maximizing the minimum rate. To this end, we propose a hybrid deep reinforcement learning (DRL) model, namely, a deep deterministic policy gradient (DDPG)-deep double Q-network (DDQN) model, to solve the optimization problem for online implementation with low complexity. The DRL model for sum-rate optimization significantly outperforms that for maximizing the minimum rate in terms of average per-user rate performance. Also, in our system setting, the proposed DDPG-DDQN scheme is found to achieve around $78\%$ of the rate achievable through an exhaustive search-based design.

OR-constrained (ORC) graphical user interface layouts unify conventional constraint-based layouts with flow layouts, which enables the definition of flexible layouts that adapt to screens with different sizes, orientations, or aspect ratios with only a single layout specification. Unfortunately, solving ORC layouts with current solvers is time-consuming and the needed time increases exponentially with the number of widgets and constraints. To address this challenge, we propose ORCSolver, a novel solving technique for adaptive ORC layouts, based on a branch-and-bound approach with heuristic preprocessing. We demonstrate that ORCSolver simplifies ORC specifications at runtime and our approach can solve ORC layout specifications efficiently at near-interactive rates.

Learning the cost function for optimal transport from observed transport plan or its samples has been cast as a bi-level optimization problem. In this paper, we derive an unconstrained convex optimization formulation for the problem which can be further augmented by any customizable regularization. This novel framework avoids repeatedly solving a forward optimal transport problem in each iteration which has been a thorny computational bottleneck for the bi-level optimization approach. To validate the effectiveness of this framework, we develop two numerical algorithms, one is a fast matrix scaling method based on the Sinkhorn-Knopp algorithm for the discrete case, and the other is a supervised learning algorithm that realizes the cost function as a deep neural network in the continuous case. Numerical results demonstrate promising efficiency and accuracy advantages of the proposed algorithms over existing state of the art methods.

Conventional wisdom to improve the effectiveness of economic dispatch is to design the load forecasting method as accurately as possible. However, this approach can be problematic due to the temporal and spatial correlations between system cost and load prediction errors. This motivates us to adopt the notion of end-to-end machine learning and to propose a task-specific learning criteria to conduct economic dispatch. Specifically, to maximize the data utilization, we design an efficient optimization kernel for the learning process. We provide both theoretical analysis and empirical insights to highlight the effectiveness and efficiency of the proposed learning framework.

The conditional gradient method (CGM) has been widely used for fast sparse approximation, having a low per iteration computational cost for structured sparse regularizers. We explore the sparsity acquiring properties of a generalized CGM (gCGM), where the constraint is replaced by a penalty function based on a gauge penalty; this can be done without significantly increasing the per-iteration computation, and applies to general notions of sparsity. Without assuming bounded iterates, we show $O(1/t)$ convergence of the function values and gap of gCGM. We couple this with a safe screening rule, and show that at a rate $O(1/(t\delta^2))$, the screened support matches the support at the solution, where $\delta \geq 0$ measures how close the problem is to being degenerate. In our experiments, we show that the gCGM for these modified penalties have similar feature selection properties as common penalties, but with potentially more stability over the choice of hyperparameter.

This paper presents a multi-staged approach to nonmyopic adaptive Gaussian process optimization (GPO) for Bayesian optimization (BO) of unknown, highly complex objective functions that, in contrast to existing nonmyopic adaptive BO algorithms, exploits the notion of macro-actions for scaling up to a further lookahead to match up to a larger available budget. To achieve this, we generalize GP upper confidence bound to a new acquisition function defined w.r.t. a nonmyopic adaptive macro-action policy, which is intractable to be optimized exactly due to an uncountable set of candidate outputs. The contribution of our work here is thus to derive a nonmyopic adaptive epsilon-Bayes-optimal macro-action GPO (epsilon-Macro-GPO) policy. To perform nonmyopic adaptive BO in real time, we then propose an asymptotically optimal anytime variant of our epsilon-Macro-GPO policy with a performance guarantee. We empirically evaluate the performance of our epsilon-Macro-GPO policy and its anytime variant in BO with synthetic and real-world datasets.