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Bayesian Multi−Scale Optimistic Optimization

Abstract:

Bayesian optimization is a powerful global optimization technique for expensive black-box functions. One of its shortcomings is that it requires auxiliary optimization of an acquisition function at each iteration. This auxiliary optimization can be costly and very hard to carry out in practice. Moreover, it creates serious theoretical concerns, as most of the convergence results assume that the exact optimum of the acquisition function can be found. In this paper, we introduce a new technique...

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Babak Shakibi More by this author
Nando de Freitas More by this author
Publication date:
2014
URN:
uuid:2457e177-4fc5-43cc-8851-8cde763547b7
Local pid:
cs:8435

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