Abstract
The Bayesian optimization algorithm (BOA) uses Bayesian networks to explore the dependencies between decision variables of an optimization problem in pursuit of both faster speed of convergence and better solution quality. In this paper, a novel method that learns the structure of Bayesian networks for BOA is proposed. The proposed method, called L1BOA, uses L1-regularized regression to find the candidate parents of each variable, which leads to a sparse but nearly optimized network structure. The proposed method improves the efficiency of the structure learning in BOA due to the reduction and automated control of network complexity introduced with L1-regularized learning. Experimental studies on different types of benchmark problems are carried out, which show that L1BOA outperforms the standard BOA when no a-priori knowledge about the problem structure is available, and nearly achieves the best performance of BOA that applies explicit complexity controls.
