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تسجيل مستخدم جديدBoTorch: A Framework for Efficient Monte-Carlo Bayesian Optimization
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نشر من قبل
Maximilian Balandat
تاريخ النشر
2019
مجال البحث
الهندسة المعلوماتية
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English
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Bayesian optimization provides sample-efficient global optimization for a broad range of applications, including automatic machine learning, engineering, physics, and experimental design. We introduce BoTorch, a modern programming framework for Bayesian optimization that combines Monte-Carlo (MC) acquisition functions, a novel sample average approximation optimization approach, auto-differentiation, and variance reduction techniques. BoTorchs modular design facilitates flexible specification and optimization of probabilistic models written in PyTorch, simplifying implementation of new acquisition functions. Our approach is backed by novel theoretical convergence results and made practical by a distinctive algorithmic foundation that leverages fast predictive distributions, hardware acceleration, and deterministic optimization. We also propose a novel one-shot formulation of the Knowledge Gradient, enabled by a combination of our theoretical and software contributions. In experiments, we demonstrate the improved sample efficiency of BoTorch relative to other popular libraries.
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