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Vanilla Bayesian Optimization Performs Great in High Dimensions

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High-dimensional problems have long been considered the Achilles' heel of Bayesian optimization algorithms. Spurred by the curse of dimensionality, a large collection of algorithms aim to make it more performant in this setting, commonly by imposing various simplifying assumptions on the objective. In this paper, we identify the degeneracies that make vanilla Bayesian optimization poorly suited to high-dimensional tasks, and further show how existing algorithms address these degeneracies through the lens of lowering the model complexity. Moreover, we propose an enhancement to the prior assumptions that are typical to vanilla Bayesian optimization algorithms, which reduces the complexity to manageable levels without imposing structural restrictions on the objective. Our modification - a simple scaling of the Gaussian process lengthscale prior with the dimensionality - reveals that standard Bayesian optimization works drastically better than previously thought in high dimensions, clearly outperforming existing state-of-the-art algorithms on multiple commonly considered real-world high-dimensional tasks.

Carl Hvarfner, Erik Orm Hellsten, Luigi Nardi• 2024

Related benchmarks

TaskDatasetResultRank
Level Set EstimationAA33
Average Runtime (min)1.7
4
Level Set EstimationLevy 10-dimensional
Runtime (min)0.1
4
Level Set EstimationMazda 74-dimensional
Average Runtime (min)9.8
4
Level Set EstimationLevy 100-dimensional
Average Runtime (min)1.9
4
Level Set EstimationVehicle 124-dimensional
Average Runtime (min)5.5
4
Level Set EstimationAckley 200-dimensional
Avg Runtime (min)18.6
4
Level Set EstimationTrid 1000-dimensional
Average Runtime (min)8.2
4
Level Set EstimationRosenbrock 1000-dimensional
Runtime (min)6.9
4
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