Automated Random Embedding for Practical Bayesian Optimization with Unknown Effective Dimension

Bayesian optimisation (BO) enables sample-efficient global optimisation of expensive black-box functions but remains challenging in high dimensions. We investigate nonlinear dimensionality reduction to a sequence of low-dimensional latent-space BO (LSBO) problems. Early LSBO used linear random and supervised embeddings; building on Grosnit et al., we employ variational autoencoders (VAEs), deep metric loss for structured latent manifolds, and retraining to adapt the encoder-decoder pair to newly sampled regions. We couple LSBO with sequential domain reduction (SDR) directly in latent space (SDR-LSBO), narrowing search domains as evidence accumulates. Implemented in GPU-accelerated BoTorch with Mat'ern-5/2 Gaussian-process surrogates, our methods improve benchmark optimisation quality, and retraining can enhance BO performance. Comparisons with adaptive supervised linear random embeddings demonstrate the effectiveness of VAE-based BO for nonlinear low-dimensional structures. We analyse BO-VAE with a fixed pretrained representation, decomposing ambient-space simple regret into latent BO error and a fixed VAE-induced representation gap. Under a PAC-Bayes-certified reconstruction condition and standard fixed-prior assumptions for expected improvement with a Mat'ern-5/2 kernel, latent BO error vanishes as the evaluation budget increases, whereas the representation gap remains fixed and may impose a non-vanishing error floor. Visualisations empirically assess accessibility of the ambient optimum through the learned decoder. To our knowledge, this is the first study combining SDR with VAE-based LSBO. Our analysis clarifies metric shaping and retraining choices critical for scalable latent-space BO. For reproducibility, source code is available at https://github.com/L-Lok/Nonlinear-Dimensionality-Reduction-Techniques-for-Bayesian-Optimization.git.

Gaussian Process (GP) kernels are central to Bayesian optimization (BO), yet designing effective kernels for high-dimensional problems still relies on extensive manual engineering. Existing automated approaches struggle in high dimensions for two bottlenecks: their kernel search space is limited to additions and multiplications of base kernels, and LLM-based approaches require conditioning on raw observations, which becomes infeasible due to context-length limits and the difficulty of extracting meaningful patterns. We introduce \textbf{Kernel Discovery}, a LLM-driven evolutionary framework for high-dimensional BO that searches a broader kernel space beyond predefined composition rules and does not require conditioning on observations. Motivated by the observation that directly prompting an LLM to generate kernel code yields syntactically varied but functionally identical kernels, we adopt a two-stage approach: an LLM first proposes novel mathematical forms, then a second LLM call converts each form into validated, executable code. We also propose a leave-one-out continuous ranked probability score (LOO-CRPS) as a selection criterion that penalizes overfitted kernels. On five high-dimensional BO benchmarks, our method achieves an average rank of \textbf{1.2 out of 17}, outperforming competitive baselines. We further analyze the discovered kernels to identify which kernels lead to improvements in high-dimensional BO.

The curse of dimensionality remains a persistent challenge in modern optimization problems. Expanding the search space into higher dimensions exponentiates the difficulty of finding optimal solutions, rendering traditional algorithms inefficient. An efficient sampling strategy is presented to accelerate high-dimensional optimization as an alternative to uniform quasi-Monte Carlo (QMC) methods. This method, referred to as Hyperellipsoid Density Sampling (HDS), generates sequences by defining multiple hyperellipsoids throughout the search space. HDS utilizes three types of unsupervised learning algorithms to bypass high-dimensional geometric calculations, producing a non-uniform sample sequence that exploits statistically promising regions of the parameter space. The ability to influence its distribution towards regions of interest makes HDS versatile for applications beyond global optimization, where models benefit from samples focused in specific regions. HDS was evaluated against Sobol, a highly uniform QMC sampling method, using differential evolution (DE) on the challenging set of 29 CEC2017 benchmark test functions. The results show statistically significant improvements in final solution geometric mean error (p<0.05), with average performance gains ranging from 37% in 10D to 11% in 100D. This paper demonstrates the efficacy of HDS as a robust alternative to uniform QMC sampling in high-dimensional optimization.