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Bayesian Optimization with Exponential Convergence

, , and . (2016)cite arxiv:1604.01348v1.pdfComment: In NIPS 2015 (Advances in Neural Information Processing Systems 2015).

Abstract

This paper presents a Bayesian optimization method with exponential convergence without the need of auxiliary optimization and without the delta-cover sampling. Most Bayesian optimization methods require auxiliary optimization: an additional non-convex global optimization problem, which can be time-consuming and hard to implement in practice. Also, the existing Bayesian optimization method with exponential convergence requires access to the delta-cover sampling, which was considered to be impractical. Our approach eliminates both requirements and achieves an exponential convergence rate.

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1604.01348v1.pdf

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