An Experimental Study in Adaptive Kernel Selection for Bayesian Optimization

Bayesian Optimization has been widely used along with Gaussian Processes for solving expensive-to-evaluate black-box optimization problems. Overall, this approach has shown good results, and particularly for parameter tuning of machine learning algorithms. Nonetheless, Bayesian Optimization has to be also configured to achieve the best possible performance, being the selection of the kernel function a crucial choice. This paper investigates the convenience of adaptively changing the kernel function during the optimization process, instead of fixing it a priori. Six adaptive kernel selection strategies are introduced and tested in well-known synthetic and real-world optimization problems. In order to provide a more complete evaluation of the proposed kernel selection variants, two major kernel parameter setting approaches have been tested. According to our results, apart from having the advantage of removing the selection of the kernel out of the equation, adaptive kernel selection criteria show a better performance than fixed-kernel approaches