From Function to Distribution Modeling: A PAC-Generative Approach to Offline Optimization

Abstract: This paper considers the problem of offline optimization, where the objective function is unknown except for a collection of offline" data examples. While recent years have seen a flurry of work on applying various machine learning techniques to the offline optimization problem, the majority of these work focused on learning a surrogate of the unknown objective function and then applying existing optimization algorithms. While the idea of modeling the unknown objective function is intuitive and appealing, from the learning point of view it also makes it very difficult to tune the objective of the learner according to the objective of optimization. Instead of learning and then optimizing the unknown objective function, in this paper we take on a less intuitive but more direct view that optimization can be thought of as a process of sampling from a generative model. To learn an effective generative model from the offline data examples, we consider the standard technique ofre-weighting", and our main technical contribution is a probably approximately correct (PAC) lower bound on the natural optimization objective, which allows us to jointly learn a weight function and a score-based generative model. The robustly competitive performance of the proposed approach is demonstrated via empirical studies using the standard offline optimization benchmarks.