Bayesian Learning to Optimize: Quantifying the Optimizer Uncertainty
Authors: Yue Cao, Tianlong Chen, Zhangyang Wang, Yang Shen
Keywords: Optimizer Uncertainty, Optimization, Uncertainty Quantification
Abstract: Optimizing an objective function with uncertainty awareness is well-known to improve the accuracy and confidence of optimization solutions. Meanwhile, another relevant but very different question remains yet open: how to model and quantify the uncertainty of an optimization algorithm itself? To close such a gap, the prerequisite is to consider the optimizers as sampled from a distribution, rather than a few pre-defined and fixed update rules.  We first take the novel angle to consider the algorithmic space of optimizers, each being parameterized by a neural network. We then propose a Boltzmann-shaped posterior over this optimizer space, and approximate the posterior locally as Gaussian distributions through variational inference.  Our novel model, Bayesian learning to optimize (BL2O) is the first study to recognize and quantify the uncertainty of the optimization algorithm. Our experiments on optimizing test functions, energy functions in protein-protein interactions and loss functions in image classification and data privacy attack demonstrate that, compared to state-of-the-art methods, BL2O improves optimization and  uncertainty quantification (UQ) in aforementioned problems as well as calibration and out-of-domain detection in image classification.