DCBO

This repository is the official implementation of the paper "Dependence in constrained Bayesian optimization: When do we need it and how does it help?".

The BibTex reference is:

@article{zhang2023dependence,
    title={Dependence in constrained Bayesian optimization: When do we need it and how does it help?},
    author={Zhang, Shiqiang and Lee, Robert M and Shafei, Behrang and Walz, David and Misener, Ruth},
    journal={Optimization Letters},
    pages={1--17},
    year={2023},
    publisher={Springer}
}

To install requirements:

pip install -r requirements.txt

To optimize a function with different methods shown in the paper, run this command:

python main.py $fun_index $method_index $budget

where $fun_index is the index of function, $method_index is the index of method, and $budget is the number of iterations.

$16$ benchmarks and $6$ methods are supported. One can check these benchmarks and methods in main.py.

The rest of the files correspond to:

• acquisitions.py: implements six acquisitions used in the paper, consist of two unconstrained acquisitions (constrained_expected_improvement and constrained_adaptive_sampling) and three ways to calculate the possibility of feasibility (independent_probability_of_feasibility, dependent_probability_of_feasibility, and independent_probability_of_feasibility_MOGP).

• functions.py: defines all benchmarks used in the paper.

• models.py: implements two models used in the paper (Independent_MOGP and Dependent_MOGP). The first one consists of multiple Gaussian processes, the second one is a multiple output Gaussian process.

• plot_utils.py: plots numerical results.

Contributors

Shiqiang Zhang. Funded by an Imperial College Hans Rausing PhD Scholarship.