Learning search spaces for Bayesian optimization: Another view of hyperparameter transfer learning

Bayesian optimization (BO) is a successful methodology to optimize black-box functions that are expensive to evaluate. While traditional methods optimize each black-box function in isolation, there has been recent interest in speeding up BO by transferring knowledge across multiple related black-box functions. In this work, we introduce a method to automatically design the BO search space by relying on evaluations of previous black-box functions. We depart from the common practice of defining a set of arbitrary search ranges a priori by considering search space geometries that are learnt from historical data. This simple, yet effective strategy can be used to endow many existing BO methods with transfer learning properties.