Support high-dimensional BO

[jacktang]

Is your feature request related to a problem? Please describe.
Bayesian optimization for high-dimensional constraint problem

Describe the solution you'd like
The solution called Sparse Axis-Aligned Subspace BO (SAASBO) is described in the paper: https://arxiv.org/abs/2103.00349

References or alternative approaches

• https://arxiv.org/abs/2103.00349

Are you able and willing to implement this feature yourself and open a pull request?

• Yes, I would like to try to implement it

[till-m]

Hi @jacktang,

I haven't had the time to read this paper, but considering that this is essentially an acquisition strategy, do you think you could implement this simply by adding a new acquisition function?

[jacktang]

Hello @till-m

Yes, I am going to implement it the way you suggested. And I noticed that you had merge the acquisition function branch to master. Great job! 👍