Overview

#228 prototyped a great initial integration with optuna to do hyperparameter optimization. However, it has a couple of downsides:

1. lack of support for tuning multiple environments when not knowing their reward scales
2. can't do multi-objective optimization such as maximizing return but minimizing runtime or steps.

I believe incorporating the multi-objective optimization API from optuna could offer an elegant solution to these issues. See https://optuna.readthedocs.io/en/stable/tutorial/20_recipes/002_multi_objective.html.