EARL-BO: Reinforcement Learning for Multi-Step Lookahead, High-Dimensional Bayesian Optimization

To avoid myopic behavior, multi-step lookahead Bayesian optimization (BO) algorithms consider the sequential nature of BO and have demonstrated promising results in recent years. However, owing to the curse of dimensionality, most of these methods make significant approximations or suffer scalability issues. This paper presents a novel reinforcement learning (RL)-based framework for multi-step lookahead BO in high-dimensional black-box optimization problems. The proposed method enhances the scalability and decision-making quality of multi-step lookahead BO by efficiently solving the sequential dynamic program of the BO process in a near-optimal manner using RL. We first introduce an Attention-DeepSets encoder to represent the state of knowledge to the RL agent and subsequently propose a multi-task, fine-tuning procedure based on end-to-end (encoder-RL) on-policy learning. We evaluate the proposed method, EARL-BO (Encoder Augmented RL for BO), on synthetic benchmark functions and hyperparameter tuning problems, finding significantly improved performance compared to existing multi-step lookahead and high-dimensional BO methods.