Bayesian optimization is a powerful technique for the optimization of expensive black-box functions. It is used in a wide range of applications such as in drug and material design and training of machine learning models, e.g. large deep networks. We propose to extend this approach to high-dimensional settings, that is where the number of parameters to be optimized exceeds 10--20. In this thesis, we scale Bayesian optimization by exploiting different types of projections and the intrinsic low-dimensionality assumption of the objective function. We reformulate the problem in a low-dimensional subspace and learn a response surface and maximize an acquisition function in this low-dimensional projection. Contributions include i) a probabilistic model for axis-aligned projections, such as the quantile-Gaussian process and ii) a probabilistic model for learning a feature space by means of manifold Gaussian processes. In the latter contribution, we propose to learn a low-dimensional feature space jointly with (a) the response surface and (b) a reconstruction mapping. Finally, we present empirical results against well-known baselines in high-dimensional Bayesian optimization and provide possible directions for future research in this field.Open Acces
