Comments (5)
from ax.
Appendix F.4 of https://arxiv.org/pdf/2006.05078.pdf includes some discussion. Random scalarizations are common for >5 objectives. Approximate box decompositions can be helpful for 4-5 objectives
from ax.
I echo what @eytan mentioned about reducing the number of objectives.
To speed things up, you can reduce the number of MC samples used to approximate the expectation over the GP posterior in the acquisition function. You can probably even drop this down to 1 without severe performance degradation.
You can do this by setting model_gen_kwargs
in the GenerationStep (for FullyBayesianMOO) as:
model_gen_kwargs={
"model_gen_options": {
“acquisition_function_kwargs”: {
# set this however you’d like
“mc_samples”: 1
}
}
}
In addition to “mc_samples”
, you can also pass “alpha”
to use approximate HV (as @eytan mentioned)---but I would recommend starting with reducing the number of mc_samples
, not alpha
. Lastly, you can fall back on random scalarizations (qNParEGO) if HV proves to be too slow by passing “random_scalarization”: True
in the same way, but this problem should be able to be solved with HV-based methods and you should get better sample efficiency.
from ax.
I am also having this issue not only fullbayes but also single b.o!
from ax.
Thanks for you answer, I understand.
I can write it with two objectives and two outcome constraints. Is this ok ?
Can I find a research paper studying different solutions when HV is needed with more than two (3->6) objectives ?
Thanks again for your help
from ax.
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from ax.