Implementation of HeteroskedasticMixedSingleTaskGP that supports categorical variable search

[chemyibinjiang]

🚀 Feature Request

Implementation of HeteroskedasticMixedSingleTaskGP that supports categorical variable search

Motivation

Many black-box problems are related in the search of both categorical space and continous space MixedSingleTaskGP. In the meantime, if the noise of the observations can be evaluated, this can be handled by HeteroskedasticSingleTaskGP. However, having both feature in one model seems to be missing.

Pitch

Describe the solution you'd like Define a new class of GP models called HeteroskedasticMixedSingleTaskGP, which is an extension of HeteroskedasticSingleTaskGP to categorical space.