Monte Carlo Tree Search based Variable Selection for High Dimensional Bayesian Optimization

2022-10-04 · Lei Song, Ke Xue, Xiaobin Huang, Chao Qian

Bayesian optimization (BO) is a class of popular methods for expensive black-box optimization, and has been widely applied to many scenarios. However, BO suffers from the curse of dimensionality, and scaling it to high-dimensional problems is still a challenge. In this paper, we propose a variable selection method MCTS-VS based on Monte Carlo tree search (MCTS), to iteratively select and optimize a subset of variables. That is, MCTS-VS constructs a low-dimensional subspace via MCTS and optimizes in the subspace with any BO algorithm. We give a theoretical analysis of the general variable selection method to reveal how it can work. Experiments on high-dimensional synthetic functions and real-world problems (i.e., NAS-bench problems and MuJoCo locomotion tasks) show that MCTS-VS equipped with a proper BO optimizer can achieve state-of-the-art performance.

📄 PDF Abstract BibTeX arXiv:2210.01628

Code (1)

lamda-bbo/mcts-vs 공식 구현 jax

Tasks

Bayesian OptimizationMuJoCoVariable Selection

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