Abstract:Bayesian optimization is a methodology to optimize black-box functions. Traditionally, it focuses on the setting where you can arbitrarily query the search space. However, many real-life problems do not offer this flexibility; in particular, the search space of the next query may depend on previous ones. Example challenges arise in the physical sciences in the form of local movement constraints, required monotonicity in certain variables, and transitions influencing the accuracy of measurements. Altogether, such transition constraints necessitate a form of planning. This work extends Bayesian optimization via the framework of Markov Decision Processes, iteratively solving a tractable linearization of our objective using reinforcement learning to obtain a policy that plans ahead over long horizons. The resulting policy is potentially history-dependent and non-Markovian. We showcase applications in chemical reactor optimization, informative path planning, machine calibration, and other synthetic examples.
Abstract:There has been a surge in interest in data-driven experimental design with applications to chemical engineering and drug manufacturing. Bayesian optimization (BO) has proven to be adaptable to such cases, since we can model the reactions of interest as expensive black-box functions. Sometimes, the cost of this black-box functions can be separated into two parts: (a) the cost of the experiment itself, and (b) the cost of changing the input parameters. In this short paper, we extend the SnAKe algorithm to deal with both types of costs simultaneously. We further propose extensions to the case of a maximum allowable input change, as well as to the multi-objective setting.
Abstract:Monitoring air pollution is of vital importance to the overall health of the population. Unfortunately, devices that can measure air quality can be expensive, and many cities in low and middle-income countries have to rely on a sparse allocation of them. In this paper, we investigate the use of Gaussian Processes for both nowcasting the current air-pollution in places where there are no sensors and forecasting the air-pollution in the future at the sensor locations. In particular, we focus on the city of Kampala in Uganda, using data from AirQo's network of sensors. We demonstrate the advantage of removing outliers, compare different kernel functions and additional inputs. We also compare two sparse approximations to allow for the large amounts of temporal data in the dataset.
Abstract:Bayesian Optimization is a useful tool for experiment design. Unfortunately, the classical, sequential setting of Bayesian Optimization does not translate well into laboratory experiments, for instance battery design, where measurements may come from different sources and their evaluations may require significant waiting times. Multi-fidelity Bayesian Optimization addresses the setting with measurements from different sources. Asynchronous batch Bayesian Optimization provides a framework to select new experiments before the results of the prior experiments are revealed. This paper proposes an algorithm combining multi-fidelity and asynchronous batch methods. We empirically study the algorithm behavior, and show it can outperform single-fidelity batch methods and multi-fidelity sequential methods. As an application, we consider designing electrode materials for optimal performance in pouch cells using experiments with coin cells to approximate battery performance.
Abstract:Bayesian Optimization is a very effective tool for optimizing expensive black-box functions. Inspired by applications developing and characterizing reaction chemistry using droplet microfluidic reactors, we consider a novel setting where the expense of evaluating the function can increase significantly when making large input changes between iterations. We further assume we are working asynchronously, meaning we have to decide on new queries before we finish evaluating previous experiments. This paper investigates the problem and introduces 'Sequential Bayesian Optimization via Adaptive Connecting Samples' (SnAKe), which provides a solution by considering future queries and preemptively building optimization paths that minimize input costs. We investigate some convergence properties and empirically show that the algorithm is able to achieve regret similar to classical Bayesian Optimization algorithms in both the synchronous and asynchronous settings, while reducing the input costs significantly.