Information Theoretic Bayesian Optimization over the Probability Simplex

Abstract

Bayesian optimization is a data-efficient technique that has been shown to be extremely powerful to optimize expensive, black-box, and possibly noisy objective functions. Many applications involve optimizing probabilities and mixtures which naturally belong to the probability simplex, a constrained non-Euclidean domain defined by non-negative entries summing to one. This paper introduces $\alpha$-GaBO, a novel family of Bayesian optimization algorithms over the probability simplex. Our approach is grounded in information geometry, a branch of Riemannian geometry which endows the simplex with a Riemannian metric and a class of connections. Based on information geometry theory, we construct Mat\'ern kernels that reflect the geometry of the probability simplex, as well as a one-parameter family of geometric optimizers for the acquisition function. We validate our method on benchmark functions and on a variety of real-world applications including mixtures of components, mixtures of classifiers, and a robotic control task, showing its increased performance compared to constrained Euclidean approaches.