Bayesian Optimization with Formal Safety Guarantees via Online Conformal Prediction

arXiv:2306.17815v2 Announce Type: replace
Abstract: Black-box zero-th order optimization is a central primitive for applications in fields as diverse as finance, physics, and engineering. In a common formulation of this problem, a designer sequentially attempts candidate solutions, receiving noisy feedback on the value of each attempt from the system. In this paper, we study scenarios in which feedback is also provided on the safety of the attempted solution, and the optimizer is constrained to limit the number of unsafe solutions …

abstract applications arxiv bayesian box cs.it cs.lg designer diverse eess.sp engineering feedback fields finance math.it optimization physics prediction replace safety solutions type value via