BO-Arena: An Evolving Benchmark for High-Dimensional Bayesian Optimisation

Colin Doumont, Thomas Christie, Henry Moss, Philipp Hennig

High-dimensional Bayesian optimisation (HDBO) is an increasingly crowded field with new methods proposed at every major conference, making it ever harder to answer a deceptively simple question: "Which method is currently state-of-the-art?" In this paper, we question the efficacy of benchmarking practices in the field, and find them to be systematically ineffective: multiple published works fail to benchmark against the strongest available baselines, or even include incorrect implementations of key methods. Without a shared reference implementation, such errors are difficult to detect during peer review. We therefore introduce BO-Arena, an actively maintained and extensible package providing canonical implementations of state-of-the-art algorithms, which allows researchers to develop new methods and benchmark them rigorously. Using BO-Arena, we find that what currently drives performance in HDBO is even simpler than previously thought. We use these insights to propose a new algorithm which is competitive with the state of the art on problems with many observations, without resorting to the complex GP approximations used in recent methods. Finally, we question whether there is…