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

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 (e. g. , MuJoCo locomotion tasks) show that MCTS-VS equipped with a proper BO optimizer can achieve state-of-the-art performance.

Authors

• Lei Song Southeast University
• Ke Xue National Key Laboratory for Novel Software Technology, Nanjing University, Nanjing 210023, China
• Xiaobin Huang National Key Laboratory for Novel Software Technology, Nanjing University, Nanjing 210023, China
• Chao Qian School of Artificial Intelligence, Nanjing University, Nanjing 210023, China

Keywords

No keywords are indexed for this paper.