Collaborative and Distributed Bayesian Optimization via Consensus: Showcasing the Power of Collaboration for Optimal Design
arxiv(2023)
摘要
Optimal design is a critical yet challenging task within many applications.
This challenge arises from the need for extensive trial and error, often done
through simulations or running field experiments. Fortunately, sequential
optimal design, also referred to as Bayesian optimization when using surrogates
with a Bayesian flavor, has played a key role in accelerating the design
process through efficient sequential sampling strategies. However, a key
opportunity exists nowadays. The increased connectivity of edge devices sets
forth a new collaborative paradigm for Bayesian optimization. A paradigm
whereby different clients collaboratively borrow strength from each other by
effectively distributing their experimentation efforts to improve and
fast-track their optimal design process. To this end, we bring the notion of
consensus to Bayesian optimization, where clients agree (i.e., reach a
consensus) on their next-to-sample designs. Our approach provides a generic and
flexible framework that can incorporate different collaboration mechanisms. In
lieu of this, we propose transitional collaborative mechanisms where clients
initially rely more on each other to maneuver through the early stages with
scant data, then, at the late stages, focus on their own objectives to get
client-specific solutions. Theoretically, we show the sub-linear growth in
regret for our proposed framework. Empirically, through simulated datasets and
a real-world collaborative sensor design experiment, we show that our framework
can effectively accelerate and improve the optimal design process and benefit
all participants.
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