Standard Gaussian Process Can Be Excellent for High-Dimensional Bayesian Optimization
<|reference_start|>Standard Gaussian Process Can Be Excellent for High-Dimensional Bayesian Optimization: A longstanding belief holds that Bayesian Optimization (BO) with standard Gaussian processes (GP) -- referred to as standard BO -- underperforms in high-dimensional optimization problems. While this belief seems plausible, it lacks both robust empirical evidence and theoretical justification. To address this gap, we present a systematic investigation. First, through a comprehensive evaluation across eleven widely used benchmarks, we found that while the popular Square Exponential (SE) kernel often leads to poor performance, using Matern kernels enables standard BO to consistently achieve top-tier results, frequently surpassing methods specifically designed for high-dimensional optimization. Second, our theoretical analysis reveals that the SE kernels failure primarily stems from improper initialization of the length-scale parameters, which are commonly used in practice but can cause gradient vanishing in training. We provide a probabilistic bound to characterize this issue, showing that Matern kernels are less susceptible and can robustly handle much higher dimensions. Third, we propose a simple robust initialization strategy that dramatically improves the performance of the SE kernel, bringing it close to state of the art methods, without requiring any additional priors or regularization. We prove another probabilistic bound that demonstrates how the gradient vanishing issue can be effectively mitigated with our method. Our findings advocate for a re-evaluation of standard BOs potential in high-dimensional settings.<|reference_end|>
@article{xu2024standard,
    title={Standard Gaussian Process Can Be Excellent for High-Dimensional Bayesian
  Optimization},
    author={Zhitong Xu, Haitao Wang, Jeff M Phillips, Shandian Zhe},
    journal={arXiv preprint arXiv:2402.02746},
    year={2024},
    archivePrefix={arXiv},
    eprint={2402.02746},
    primaryClass={cs.LG stat.ML}
}