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In general, continuous optimization only works with surrogates that support gradient flow. Currently, that is only the GP.
Improve the error message thrown in case a surrogate is used that doesn't support continuous optimization. Currently, an overly restrictive check is done. Instead of this, a better implementation would perhaps be to catch the respective runtime error and re-raise a more suitable error in the right place. One must make sure that all possible errors that could be encountered in such a situation are caught.
It appears the warning "Surrogate Model Limitations" is outdated, its likely an old legacy artefact. The way continuous constraints enter the optimization is independent of the surrogate, so the only requirement is that surrogates support continuous optimization. Verify this and then delete the warning or replace it by a better explanation.