Density Ratio Estimation-based Bayesian Optimization with Semi-Supervised Learning

Bayesian optimization has attracted huge attention from diverse research areas in science and engineering, since it is capable of finding a global optimum of an expensive-to-evaluate black-box function efficiently. In general, a probabilistic regression model, e.g., Gaussian processes and Bayesian neural networks, is widely used as a surrogate function to model an explicit distribution over function evaluations given an input to estimate and a training dataset. Beyond the probabilistic regression-based Bayesian optimization, density ratio estimation-based Bayesian optimization has been suggested in order to estimate a density ratio of the groups relatively close and relatively far to a global optimum. Developing this line of research further, a supervised classifier can be employed to estimate a class probability for the two groups instead of a density ratio. However, the supervised classifiers used in this strategy are prone to be overconfident for a global solution candidate. To solve this problem, we propose density ratio estimation-based Bayesian optimization with semi-supervised learning. Finally, we demonstrate the experimental results of our methods and several baseline methods in two distinct scenarios with unlabeled point sampling and a fixed-size pool. Bayesian optimization (Brochu et al., 2010; Garnett, 2023) has attracted immense attention from various research areas such as hyperparameter optimization (Bergstra et al., 2011), battery lifetime optimization (Attia et al., 2020), and chemical reaction optimization (Shields et al., 2021), since it is capable of finding a global optimum of an expensive-to-evaluate black-box function in a sampleefficient manner. As studied in previous literature on Bayesian optimization (Snoek et al., 2012; Martinez-Cantin et al., 2018; Springenberg et al., 2016; Hutter et al., 2011), a probabilistic regression model, which can estimate a distribution of function evaluations over inputs, is widely used as a surrogate function; Gaussian process (GP) regression (Rasmussen & Williams, 2006) is a predominant choice for the surrogate function.