Bayesian optimization with local search.

Global optimization finds applications in a wide range of real world problems. The multi-start methods are a popular class of global optimization techniques, which are based on the ideas of conducting local searches at multiple starting points, and then sequentially determine the starting points according to some prescribed rules. In this work we propose a new multi-start algorithm where the starting points are determined in a Bayesian optimization framework. Specifically, the method can be understood as to construct a new function by conducting local searches of the original objective function, where the new function attains the same global optima as the original one. Bayesian optimization is then applied to find the global optima of the new local search based function.