BoTorch: Programmable Bayesian Optimization in PyTorch

10/14/2019

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by   Maximilian Balandat, et al.

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Bayesian optimization provides sample-efficient global optimization for a broad range of applications, including automatic machine learning, molecular chemistry, and experimental design. We introduce BoTorch, a modern programming framework for Bayesian optimization. Enabled by Monte-Carlo (MC) acquisition functions and auto-differentiation, BoTorch's modular design facilitates flexible specification and optimization of probabilistic models written in PyTorch, radically simplifying implementation of novel acquisition functions. Our MC approach is made practical by a distinctive algorithmic foundation that leverages fast predictive distributions and hardware acceleration. In experiments, we demonstrate the improved sample efficiency of BoTorch relative to other popular libraries. BoTorch is open source and available at https://github.com/pytorch/botorch.