Cost-aware Multi-objective Bayesian optimisation

Understand

The notion of expense in Bayesian optimisation generally refers to the uniformly expensive cost of function evaluations over the whole search space.

• However, in some scenarios, the cost of evaluation for black-box objective functions is non-uniform since different inputs from search space may incur different costs for function evaluations.
• We introduce a cost-aware multi-objective Bayesian optimisation with non-uniform evaluation cost over objective functions by defining cost-aware constraints over the search space.
• The cost-aware constraints are a sorted tuple of indexes that demonstrate the ordering of dimensions of the search space based on the user's prior knowledge about their cost of usage.