Bayesian optimization (BO) developed as an approach for the efficient optimization of expensive black-box functions without gradient information. A typical BO paper introduces a new approach and compares it to some alternatives on simulated and possibly real examples to show its efficacy. Yet on a different example, this new algorithm might not be as effective as the alternatives. This paper looks at a broader family of approaches to explain the strengths and weaknesses of algorithms in the family, with guidance on what choices might work best on different classes of problems.
@article{arxiv.2310.10614,
title = {Understanding an Acquisition Function Family for Bayesian Optimization},
author = {Jiajie Kong and Tony Pourmohamad and Herbert K. H. Lee},
journal= {arXiv preprint arXiv:2310.10614},
year = {2023}
}