There exist many problems in science and engineering that involve optimization of an unknown or partially unknown objective function. Recently, Bayesian Optimization (BO) has emerged as a powerful tool for solving optimization problems whose objective functions are only available as a black box and are expensive to evaluate. Many practical problems, however, involve optimization of an unknown objective function subject to unknown constraints. This is an important yet challenging problem for which, unlike optimizing an unknown function, existing methods face several limitations. In this paper, we present a novel constrained Bayesian optimization framework to optimize an unknown objective function subject to unknown constraints. We introduce an equivalent optimization by augmenting the objective function with constraints, introducing auxiliary variables for each constraint, and forcing the new variables to be equal to the main variable. Building on the Alternating Direction Method of Multipliers (ADMM) algorithm, we propose ADMM-Bayesian Optimization (ADMMBO) to solve the problem in an iterative fashion. Our framework leads to multiple unconstrained subproblems with unknown objective functions, which we then solve via BO. Our method resolves several challenges of state-of-the-art techniques: it can start from infeasible points, is insensitive to initialization, can efficiently handle `decoupled problems' and has a concrete stopping criterion. Extensive experiments on a number of challenging BO benchmark problems show that our proposed approach outperforms the state-of-the-art methods in terms of the speed of obtaining a feasible solution and convergence to the global optimum as well as minimizing the number of total evaluations of unknown objective and constraints functions.

Cardiac electrical imaging from body surface potential measurements is increasingly being seen as a technology with the potential for use in the clinic, for example for pre-procedure planning or during-treatment guidance for ventricular arrhythmia ablation procedures. However several important impediments to widespread adoption of this technology remain to be effectively overcome. Here we address two of these impediments: the difficulty of reconstructing electric potentials on the inner (endocardial) as well as outer (epicardial) surfaces of the ventricles, and the need for full anatomical imaging of the subject's thorax to build an accurate subject-specific geometry. We introduce two new features in our reconstruction algorithm: a nonlinear low-order dynamic parameterization derived from the measured body surface signals, and a technique to jointly regularize both surfaces. With these methodological innovations in combination, it is possible to reconstruct endocardial activation from clinically acquired measurements with an imprecise thorax geometry. In particular we test the method using body surface potentials acquired from three subjects during clinical procedures where the subjects' hearts were paced on their endocardia using a catheter device. Our geometric models were constructed using a set of CT scans limited in axial extent to the immediate region near the heart. The catheter system provides a reference location to which we compare our results. We compare our estimates of pacing site localization, in terms of both accuracy and stability, to those reported in a recent clinical publication , where a full set of CT scans were available and only epicardial potentials were reconstructed.