Hybrid Models for Mixed Variables in Bayesian Optimization

Abstract

We systematically describe the problem of simultaneous surrogate modeling of mixed variables (i.e., continuous, integer and categorical variables) in the Bayesian optimization (BO) context. We provide a unified hybrid model using both Monte Carlo tree search (MCTS) and Gaussian processes (GP) that encompasses and generalizes multiple state-of-the-art mixed BO surrogates.Based on the architecture, we propose applying a new dynamic model selection criterion among novel candidate families of covariance kernels, including non-stationary kernels and associated families. Different benchmark problems are studied and presented to support the superiority of our model, along with results highlighting the effectiveness of our method compared to most state-of-the-art mixed-variable methods in BO.