Efficient Bayesian Optimization with Deep Kernel Learning and Transformer Pre-trained on Multiple Heterogeneous Datasets

Bayesian optimization (BO) is widely adopted in black-box optimization problems and it relies on a surrogate model to approximate the black-box response function. With the increasing number of black-box optimization tasks solved and even more to solve, the ability to learn from multiple prior tasks to jointly pre-train a surrogate model is long-awaited to further boost optimization efficiency. In this paper, we propose a simple approach to pre-train a surrogate, which is a Gaussian process (GP) with a kernel defined on deep features learned from a Transformerbased encoder, using datasets from prior tasks with possibly heterogeneous input spaces. In addition, we provide a simple yet effective mix-up initialization strategy for input tokens corresponding to unseen input variables and therefore accelerate new tasks' convergence. Experiments on both synthetic and real benchmark problems demonstrate the effectiveness of our proposed pre-training and transfer BO strategy over existing methods. In black-box optimization problems, one could only observe outputs of the function being optimized based on some given inputs, and can hardly access the explicit form of the function. These kinds of optimization problems are ubiquitous in practice (e.g., (Mahapatra et al., 2015; Korovina et al., 2020; Griffiths & Lobato, 2020)). Among black-box optimization problems, some are particularly challenging since their function evaluations are expensive, in the sense that the evaluation either takes a substantial amount of time or requires a considerable monetary cost.