Abstract

Bayesian optimization (BO) is a flexible and powerful framework that is suitable for computationally expensive simulation-based applications and guarantees statistical convergence to the global optimum. While remaining as one of the most popular optimization methods, its capability is hindered by the size of data, the dimensionality of the considered problem, and the nature of sequential optimization. These scalability issues are intertwined with each other and must be tackled simultaneously. In this work, we propose the Scalable3-BO framework, which employs sparse GP as the underlying surrogate model to scope with Big Data and is equipped with a random embedding to efficiently optimize high-dimensional problems with low effective dimensionality. The Scalable3-BO framework is further leveraged with asynchronous parallelization feature, which fully exploits the computational resource on HPC within a computational budget. As a result, the proposed Scalable3-BO framework is scalable in three independent perspectives: with respect to data size, dimensionality, and computational resource on HPC. The goal of this work is to push the frontiers of BO beyond its well-known scalability issues and minimize the wall-clock waiting time for optimizing high-dimensional computationally expensive applications. We demonstrate the capability of Scalable3-BO with 1 million data points, 10,000-dimensional problems, with 20 concurrent workers in an HPC environment.

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