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

Lei Song · Ke Xue · Xiaobin Huang · Chao Qian

Keywords: [ variable selection ] [ Bayesian optimization ] [ Black-box Optimization ] [ High-dimensional Optimization ] [ Monte Carlo Tree Search ]


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.

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