Scalable3-BO: Big Data meets HPC - A scalable asynchronous parallel high-dimensional Bayesian optimization framework on supercomputers

TL;DR

This paper introduces Scalable3-BO, a scalable Bayesian optimization framework designed for high-dimensional, large-scale data on supercomputers, combining sparse Gaussian processes, random embedding, and asynchronous parallelization to improve efficiency and scalability.

Contribution

The paper presents a novel scalable Bayesian optimization framework that integrates sparse GPs, random embedding, and asynchronous parallelization to handle big data, high dimensions, and HPC resources simultaneously.

Findings

Optimized high-dimensional problems with 10,000 dimensions.

Handled 1 million data points efficiently.

Achieved 20 concurrent workers in HPC environment.

Abstract

Bayesian optimization (BO) is a flexible and powerful framework that is suitable for computationally expensive simulation-based applications and guarantees statistical convergence to the global optimum. While remaining as one of the most popular optimization methods, its capability is hindered by the size of data, the dimensionality of the considered problem, and the nature of sequential optimization. These scalability issues are intertwined with each other and must be tackled simultaneously. In this work, we propose the Scalable$^3$-BO framework, which employs sparse GP as the underlying surrogate model to scope with Big Data and is equipped with a random embedding to efficiently optimize high-dimensional problems with low effective dimensionality. The Scalable$^3$-BO framework is further leveraged with asynchronous parallelization feature, which fully exploits the computational resource on HPC within a computational budget. As a result, the proposed Scalable$^3$-BO framework is scalable in three independent perspectives: with respect to data size, dimensionality, and computational resource on HPC. The goal of this work is to push the frontiers of BO beyond its well-known scalability issues and minimize the wall-clock waiting time for optimizing high-dimensional computationally expensive applications. We demonstrate the capability of Scalable$^3$-BO with 1 million data points, 10,000-dimensional problems, with 20 concurrent workers in an HPC environment.