1. Batch Acquisition for Parallel Bayesian Optimization—Application to Hydro-Energy Storage Systems Scheduling
- Author
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Maxime Gobert, Jan Gmys, Jean-François Toubeau, Nouredine Melab, Daniel Tuyttens, François Vallée, University of Mons [Belgium] (UMONS), Optimisation de grande taille et calcul large échelle (BONUS), Inria Lille - Nord Europe, Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria)-Centre de Recherche en Informatique, Signal et Automatique de Lille - UMR 9189 (CRIStAL), Centrale Lille-Université de Lille-Centre National de la Recherche Scientifique (CNRS)-Centrale Lille-Université de Lille-Centre National de la Recherche Scientifique (CNRS), University of Mons [Belgium] [UMONS], and Optimisation de grande taille et calcul large échelle [BONUS]
- Subjects
Computational Mathematics ,Numerical Analysis ,Computational Theory and Mathematics ,[STAT.ML]Statistics [stat]/Machine Learning [stat.ML] ,[INFO.INFO-RO]Computer Science [cs]/Operations Research [cs.RO] ,Bayesian Optimization ,parallel computing ,Gaussian Processes ,efficient global optimization ,electrical engineering ,hydro-energy storage ,[INFO.INFO-MO]Computer Science [cs]/Modeling and Simulation ,Theoretical Computer Science - Abstract
International audience; Bayesian Optimization (BO) with Gaussian process regression is a popular framework for the optimization of time-consuming cost functions. However, the joint exploitation of BO and parallel processing capabilities remains challenging, despite intense research efforts over the last decade. In particular, the choice of a suitable batch-acquisition process, responsible for selecting promising candidate solutions for batch-parallel evaluation, is crucial. Even though some general recommendations can be found in the literature, many of its hyperparameters remain problem-specific. Moreover, the limitations of existing approaches in terms of scalability, especially for moderately expensive objective functions, are barely discussed. This work investigates five parallel BO algorithms based on different batch-acquisition processes, applied to the optimal scheduling of Underground Pumped Hydro-Energy Storage stations and classical benchmark functions. Efficient management of such energy-storage units requires parallel BO algorithms able to find solutions in a very restricted time to comply with the responsive energy markets. Our experimental results show that for the considered methods, a batch of four candidates is a good trade-off between execution speed and relevance of the candidates. Analysis of each method’s strengths and weaknesses indicates possible future research directions.
- Published
- 2022