Recent Advances in Bayesian Optimization

Bayesian optimization has emerged at the forefront of expensive black-box optimization due to its data efficiency. Recent years have witnessed a proliferation of studies on the development of new Bayesian optimization algorithms and their applications. Hence, this article attempts to provide a comprehensive and updated survey of recent advances in Bayesian optimization that are mainly based on Gaussian processes and identify challenging open problems. We categorize the existing work on Bayesian optimization into nine main groups according to the motivations and focus of the proposed algorithms. For each category, we present the main advances with respect to the construction of surrogate models and adaptation of the acquisition functions. Finally, we discuss the open questions and suggest promising future research directions, in particular with regard to heterogeneity, privacy preservation, and fairness in distributed and federated optimization systems.