Title: Cost-aware Stopping for Bayesian Optimization
Primary area: probabilistic methods (Bayesian methods, variational inference, sampling, UQ, etc.)
Keywords: Bayesian optimization, stopping rules, cost-aware, hyperparameter optimization, Pandora's box, Gittins index

Abstract: In automated machine learning, scientific discovery, and other applications of Bayesian optimization, deciding when to stop evaluating expensive black-box functions is an important practical consideration. While several adaptive stopping rules have been proposed, in the cost-aware setting they lack guarantees ensuring they stop before incurring excessive function evaluation costs. We propose a cost-aware stopping rule for Bayesian optimization that adapts to varying evaluation costs and is free of heuristic tuning. Our rule is grounded in a theoretical connection to state-of-the-art cost-aware acquisition functions, namely the Pandora's Box Gittins Index (PBGI) and log expected improvement per cost. We prove a theoretical guarantee bounding the expected cumulative evaluation cost incurred by our stopping rule when paired with these two acquisition functions. In experiments on synthetic and empirical tasks, including hyperparameter optimization and neural architecture size search, we show that combining our stopping rule with the PBGI acquisition function usually matches or outperforms other acquisition-function--stopping-rule pairs in terms of cost-adjusted simple regret, a metric capturing trade-offs between solution quality and cumulative evaluation cost.

TL;DR: We propose a cost-aware stopping rule for Bayesian optimization that are theoretically grounded, free of heuristic tuning, and consistently achieve competitive cost-adjusted simple regret on hyperparameter optimization tasks.