Budgeted optimization with constrained experiments

Abstract

Motivated by a real-world problem, we study a novel budgeted optimization problem where the goal is to optimize an unknown function f(·) given a budget by requesting a sequence of samples from the function. In our setting, however, evaluating the function at precisely specified points is not practically possible due to prohibitive costs. Instead, we can only request constrained experiments. A constrained experiment, denoted by Q, specifies a subset of the input space for the experimenter to sample the function from. The outcome of Q includes a sampled experiment x, and its function output f(x). Importantly, as the constraints of Q become looser, the cost of fulfilling the request decreases, but the uncertainty about the location x increases. Our goal is to manage this trade-off by selecting a set of constrained experiments that best optimize f(·) within the budget. We study this problem in two different settings, the non-sequential (or batch) setting where a set of constrained experiments is selected at once, and the sequential setting where experiments are selected one at a time. We evaluate our proposed methods for both settings using synthetic and real functions. The experimental results demonstrate the efficacy of the proposed methods.