Paper:
Practical Bayesian Optimization for Model Fitting with Bayesian Adaptive Direct Search
Computational models in fields such as computational neuroscience are often evaluated via stochastic simulation or numerical approximation. Fitting these models implies a difficult optimization problem over complex, possibly noisy parameter landscapes. Bayesian optimization (BO) has been successfully applied to solving expensive black-box problems in engineering and machine learning. Here we explore whether BO can be applied as a general tool for model fitting. First, we present a novel hybrid BO algorithm, Bayesian adaptive direct search (BADS), that achieves competitive performance with an affordable computational overhead for the running time of typical models. We then perform an extensive benchmark of BADS vs. many common and state-of-the-art nonconvex, derivativefree optimizers, on a set of model-fitting problems with real data and models from six studies in behavioral, cognitive, and computational neuroscience. With default settings, BADS consistently finds comparable or better solutions than other methods, including 'vanilla' BO, showing great promise for advanced BO techniques, and BADS in particular, as a general model-fitting tool.

Review:
This paper presents a new optimization methods that combines Bayesian optimization applied locally with concepts from MADS to provide nonlocal exploration. The main idea of the paper is to find an algorithm that is suitable for the range of functions that are slightly expensive, but not enough to require the sample efficiency of standard Bayesian optimization. The authors applied this method for maximum likelihood computations within the range of a ~1 second.
      A standard critique to Bayesian optimization methods is that they are very expensive due to the fact that they rely on a surrogate model, like a Gaussian process that has a O(n^3) cost. The method presented in this paper (BADS) also rely on a GP. This paper solves the issue by computing the GP only of a local region, limited to 50+10D points.
      The paper ignores all the work that has been done in Bayesian optimization with much more efficient surrogate models, like random forests [A], Parzen estimators [B] or treed GPs [7], where available software shows that the computational cost is comparable to the one from BADS. It is known that those methods have worse global performance than GP based BO for problems in R^n, but given that this method uses local approximation, I would assume that the performance per iteration is also lower that GP-BO.
      Furthermore, because the main objective of BO is sample efficiency, some of the problems presented here could be solved with 50-100 iterations. Thus, being even more efficient that BADS as they would not require extra steps. In fact, optimized BO software [C] has a computational cost similar to the one reported here for BADS for the first 100 iterations. Note that [C] already have the rank-one updates implemented as suggested in section 3.2.
      The way the results are presented leaves some open questions:
      - Is the error tolerance relative or absolute? Are the problems normalized? What does it mean an error larger than 10? Is it 10%?
      - Given the fact that at the end of the plot, there is still 1/3 of the functions are unsolved. Without seeing the actual behaviour of the optimizers for any function, it is impossible to say if they were close, stuck in a local optimum, or completely lost...
      - Why using different plots for different problems? Why not doing the noisy case versus evaluations?
      - How is defined the "...effective performance of BADS by accounting for the extra cost..." from Figure 2?
      - If BO is used as a reference and compared in the text in many parts, why it is not included in the experiments? If the authors think it should not naively included for the extra cost, they could also "account for the extra cost", like in Figure 2.
      There is also a large set of optimization algorithms, mainly in the evolutionary computation community, that relies on GPs and similar models for local or global modeling. For example: [D, E] and references therein.
      [A] Frank Hutter, Holger Hoos, and Kevin Leyton-Brown (2011). Sequential model-based optimization for general algorithm configuration, Learning and Intelligent Optimization
      [B] Bergstra, James S., Rémi Bardenet, Yoshua Bengio, and Balázs Kégl. "Algorithms for hyper-parameter optimization." In Advances in Neural Information Processing Systems, pp. 2546-2554. 2011.
      [C] Ruben Martinez-Cantin (2014) BayesOpt: A Bayesian Optimization Library for Nonlinear Optimization, Experimental Design and Bandits. Journal of Machine Learning Research, 15:3735-3739.
      [D] Zhou, Zongzhao, Yew Soon Ong, Prasanth B. Nair, Andy J. Keane, and Kai Yew Lum. "Combining global and local surrogate models to accelerate evolutionary optimization." IEEE Transactions on Systems, Man, and Cybernetics, Part C (Applications and Reviews) 37, no. 1 (2007): 66-76.
      [E] Jin, Yaochu. "Surrogate-assisted evolutionary computation: Recent advances and future challenges." Swarm and Evolutionary Computation 1, no. 2 (2011): 61-70.