mlr3mbo: Bayesian Optimization in R

TL;DR

mlr3mbo is a modular R package for Bayesian optimization supporting various features, evaluated extensively against benchmarks and competing optimizers, enabling flexible and robust optimization workflows.

Contribution

Introduces mlr3mbo, a flexible R toolkit for Bayesian optimization with extensive empirical evaluation and benchmarking against state-of-the-art methods.

Findings

mlr3mbo achieves state-of-the-art performance in benchmark tests.

Default configurations are identified through coordinate descent optimization.

The software supports a wide range of Bayesian optimization variants and customizations.

Abstract

We present mlr3mbo, a comprehensive and modular toolbox for Bayesian optimization in R. mlr3mbo supports single- and multi-objective optimization, multi-point proposals, batch and asynchronous parallelization, input and output transformations, and robust error handling. While it can be used for many standard Bayesian optimization variants in applied settings, researchers can also construct custom BO algorithms from its flexible building blocks. In addition to an introduction to the software, its design principles, and its building blocks, the paper presents two extensive empirical evaluations of the software on the surrogate-based benchmark suite YAHPO Gym. To identify robust default configurations for both numeric and mixed-hierarchical optimization regimes, and to gain further insights into the respective impacts of individual settings, we run a coordinate descent search over the mlr3mbo configuration space and analyze its results. Furthermore, we demonstrate that mlr3mbo achieves state-of-the-art performance by benchmarking it against a wide range of optimizers, including HEBO, SMAC3, Ax, and Optuna.