Modifying results from bayesopt

Hey guys, following use case: I call bayesopt and get the results structure from it.

Now, the results structure contains a field, named 'NextPoint'. This is the x vector, which is going to be evaluated after a resuming. Given the fact, I know a better point, which is worth to be calculated next, how to replace the automatic one? A direct try yields

You cannot set the read-only property 'NextPoint' of BayesianOptimization.

error message.

[Alexander]

To clarify:

1. I already tried to do this from an OutputFcn, with the same error;

2. I even know the function value at the "better point". So, indeed, I have not to recalculate it. I just want to apply some additional knowledge to the results structure of bayesopt, which can be used for continuation.

Answer 1

[Alan Weiss]

In order to do this, I think that you are going to have to do two things:

• Evaluate the point manually.
• Start the Bayesian optimization afresh, using the returned points (the ones already evaluated by bayesopt) plus put in your new value and point. Use the 'InitialX' and 'Initial Objective' name-value pairs.

Please let us know if this works for you.

Alan Weiss

MATLAB mathematical toolbox documentation

[Alexander]

Yes, this works. I was not aware, that 'XTrace' and 'ObjectiveTrace' holds the whole history of data, which I can reuse.

However, the result is somewhat disillusioning, as I tried to parallelize both: bayesopt as well as the manual evaluation of additional points, which does not play well together.

But the idea of setting 'InitialX' and 'InitialObjective' and restarting bayesopt works.

Thanks a lot :)

[Alexander]

Ok, after some evaluation, I figured out the unexpected behavior. I attached an example.

Therein: as I understood correctly, what you suggested is the solution in lines 28-35.

However, if I add the ’UseParallel’ option, and provide the 'InitialX‘ array the optimizer does not restart. I didn’t find any documentation on the fact that setting 'InitialX‘ property together with ’UseParallel’ prevent the optimizer to run. Is this a bug?

What I did as a dirty workaround is in lines 25-26. However for being able to set XNext property I had to adjust the access modifier in BayesianOptimization.m to public, in line 1808.

Thanks anyway for help and any further comments.