Max-value Entropy Search for Efficient Bayesian Optimization

Entropy Search (ES) and Predictive Entropy Search (PES) are popular and empirically successful Bayesian Optimization techniques. Both rely on a compelling information-theoretic motivation, and maximize the information gained about the arg max of the unknown function; yet, both are plagued by the expensive computation for estimating entropies. We propose a new criterion, Max-value Entropy Search (MES), that instead uses the information about the maximum function value. We show relations of MES to other Bayesian optimization methods, and establish a regret bound. We observe that MES maintains or improves the good empirical performance of ES/PES, while tremendously lightening the computational burden. In particular, MES is much more robust to the number of samples used for computing the entropy, and hence more efficient for higher dimensional problems.