Taking the GP Out of the Loop

Abstract: Bayesian optimization (BO) has traditionally solved black box problems where evaluation is expensive and, therefore, design-evaluation pairs (i.e., observations) are few. Recently, there has been growing interest in applying BO to problems where evaluation is cheaper and, thus, observations are more plentiful. An impediment to scaling BO to many observations, $N$, is the $O(N^3)$ scaling of a na{\"i}ve query of the Gaussian process (GP) surrogate. Modern implementations reduce this to $O(N^2)$, but the GP remains a bottleneck. We propose Epistemic Nearest Neighbors (ENN), a surrogate that estimates function values and epistemic uncertainty from $K$ nearest-neighbor observations. ENN has $O(N)$ query time and omits hyperparameter fitting, leaving uncertainty uncalibrated. To accommodate the lack of calibration, we employ an acquisition method based on Pareto-optimal tradeoffs between predicted value and uncertainty. Our proposed method, TuRBO-ENN, replaces the GP surrogate in TuRBO with ENN and its Thompson sampling acquisition method with our Pareto-based alternative. We demonstrate numerically that TuRBO-ENN can reduce the time to generate proposals by one to two orders of magnitude compared to TuRBO and scales to thousands of observations.