Conformal Inference for Optimization

    公开(公告)号:US20230122168A1

    公开(公告)日:2023-04-20

    申请号:US17759838

    申请日:2021-01-29

    IPC分类号: G16B30/00 G16B40/00

    摘要: Accurate function estimations and well-calibrated uncertainties are important for Bayesian optimization (BO). Most theoretical guarantees for BO are established for methods that model the objective function with a surrogate drawn from a Gaussian process (GP) prior. GP priors are poorly-suited for discrete, high-dimensional, combinatorial spaces, such as biopolymer sequences. Using a neural network (NN) as the surrogate function can obtain more accurate function estimates. Using a NN can allow arbitrarily complex models, removing the GP prior assumption, and enable easy pretraining, which is beneficial in the low-data BO regime. However, a fully-Bayesian treatment of uncertainty in NNs remains intractable, and existing approximate methods, like Monte Carlo dropout and variational inference, can highly miscalibrate uncertainty estimates. Conformal Inference Optimization (CI-OPT) uses confidence intervals calculated using conformal inference as a replacement for posterior uncertainties in certain BO acquisition functions. A conformal scoring function with properties amenable for optimization is effective on standard BO datasets and real-world protein datasets.