Abstract

Bayesian optimization has been successfully used to optimize complex black-box functions whose evaluations are expensive. In many applications, like in deep learning and predictive analytics, th optimization domain is itself complex and structured. In this work, we focus on use cases where this domain exhibits a known dependency structure. The benefit of leveraging this structure is twofold: we explore the search space more efficiently and posterior inference scales more favorably with the number of observations than Gaussian Process-based approaches published in the literature. We introduce a novel surrogate model for Bayesian optimization which combines independent Gaussian Processes with a linear model that encodes a tree-based dependency structure and can transfer information between overlapping decision sequences. We also design a specialized two-step acquisition function that explores the search space more effectively. Our experiments on synthetic tree-structured objectives and on the tuning of feedforward neural networks show that our method compares favorably with competing approaches.