Bayesian Optimization using Pseudo-Points

Abstract: Bayesian optimization (BO) is a popular approach for expensive black-box optimization, with applications including parameter tuning, experimental design, robotics. BO usually models the objective function by a Gaussian process (GP), and iteratively samples the next data point by maximizing an acquisition function. In this paper, we propose a new general framework for BO by generating pseudo-points (i.e., data points whose objective values are not evaluated) to improve the GP model. With the classic acquisition function, i.e., upper confidence bound (UCB), we prove that the cumulative regret can be generally upper bounded. Experiments using UCB and other acquisition functions, i.e., probability of improvement (PI) and expectation of improvement (EI), on synthetic as well as real-world problems clearly show the advantage of generating pseudo-points.