Variational Autoencoder based Bayesian Optimization (VAE-BO) has demonstrated its excellent performance in addressing high-dimensional structured optimization problems. However, current mainstream methods overlook the potential of utilizing a pool of unlabeled data to construct the latent space, while only concentrating on designing sophisticated models to leverage the labeled data. Despite their effective usage of labeled data, these methods often require extra network structures, additional procedure, resulting in computational inefficiency. To address this issue, we propose a novel method to effectively utilize unlabeled data with the guidance of labeled data. Specifically, we tailor the pseudo-labeling technique from semi-supervised learning to explicitly reveal the relative magnitudes of optimization objective values hidden within the unlabeled data. Based on this technique, we assign appropriate training weights to unlabeled data to enhance the construction of a discriminative latent space. Furthermore, we treat the VAE encoder and the Gaussian Process (GP) in Bayesian optimization as a unified deep kernel learning process, allowing the direct utilization of labeled data, which we term as Gaussian Process guidance. This directly and effectively integrates the goal of improving GP accuracy into the VAE training, thereby guiding the construction of the latent space. The extensive experiments demonstrate that our proposed method outperforms existing VAE-BO algorithms in various optimization scenarios. Our code will be published at https://github.com/TaicaiChen/PG-LBO.

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