Concept

Bayesian optimization

Résumé
Bayesian optimization is a sequential design strategy for global optimization of black-box functions that does not assume any functional forms. It is usually employed to optimize expensive-to-evaluate functions. History The term is generally attributed to Jonas Mockus and is coined in his work from a series of publications on global optimization in the 1970s and 1980s. Strategy Bayesian optimization is typically used on problems of the form \max_{x \in A} f(x), where A is a set of points, x, which rely upon less than 20 dimensions (\mathbb{R}^d, d \le 20), and whose membership can easily be evaluated. Bayesian optimization is particularly advantageous for problems where f(x) is difficult to evaluate due to its computational cost. The objective function, f, is cont
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