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Support proposal of several points in parallel #51

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3 tasks
kiudee opened this issue Mar 22, 2020 · 0 comments
Open
3 tasks

Support proposal of several points in parallel #51

kiudee opened this issue Mar 22, 2020 · 0 comments
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enhancement New feature or request Priority: Medium

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@kiudee
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kiudee commented Mar 22, 2020

Rationale

The library currently supports only sequential evaluation of 1 point. When doing parallel hyperparameter optimization on a cluster, it would be beneficial to be able to propose several points.

Depending on the acquisition function used, it is clear/unclear on how to propose several points. For acquisition functions like expected improvement (EI) there exist variants which propose several points at once (Ginsbourger et al. 2007), but are difficult to compute. The "kriging believer" and "constant liar" heuristics are strategies, which can be applied to all acquisition functions, but also require sequential computation of a number of points.
Thompson sampling can be trivially parallelized and is a good first candidate.

Tasks

  • Set up the interfaces and the library to support multiple points (including caching and on-demand computation).
  • Implement parallel computation for Thompson sampling.
  • Implement constant liar/kriging believer.
@kiudee kiudee added the enhancement New feature or request label Mar 22, 2020
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Labels
enhancement New feature or request Priority: Medium
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