Related papers: Cost-aware Bayesian Optimization via the Pandora's…
Parameter settings profoundly impact the performance of machine learning algorithms and laboratory experiments. The classical grid search or trial-error methods are exponentially expensive in large parameter spaces, and Bayesian…
We propose an efficient transfer Bayesian optimization method, which finds the maximum of an expensive-to-evaluate black-box function by using data on related optimization tasks. Our method uses auxiliary information that represents the…
The Pandora's Box Problem, originally formalized by Weitzman in 1979, models selection from set of random, alternative options, when evaluation is costly. This includes, for example, the problem of hiring a skilled worker, where only one…
We consider optimization of composite objective functions, i.e., of the form $f(x)=g(h(x))$, where $h$ is a black-box derivative-free expensive-to-evaluate function with vector-valued outputs, and $g$ is a cheap-to-evaluate real-valued…
We consider the problem of chance constrained optimization where it is sought to optimize a function and satisfy constraints, both of which are affected by uncertainties. The real world declinations of this problem are particularly…
We present a tutorial on Bayesian optimization, a method of finding the maximum of expensive cost functions. Bayesian optimization employs the Bayesian technique of setting a prior over the objective function and combining it with evidence…
Bayesian optimization is a methodology to optimize black-box functions. Traditionally, it focuses on the setting where you can arbitrarily query the search space. However, many real-life problems do not offer this flexibility; in…
Bayesian Optimization is an effective method for searching the global maxima of an objective function especially if the function is unknown. The process comprises of using a surrogate function and choosing an acquisition function followed…
Bayesian optimisation is a popular approach for optimising expensive black-box functions. The next location to be evaluated is selected via maximising an acquisition function that balances exploitation and exploration. Gaussian processes,…
Bayesian optimization (BO) is a popular approach for expensive black-box optimization, with applications including parameter tuning, experimental design, robotics. BO usually models the objective function by a Gaussian process (GP), and…
In the last five years, the financial industry has been impacted by the emergence of digitalization and machine learning. In this article, we explore two methods that have undergone rapid development in recent years: Gaussian processes and…
In a classic model analysed by Weitzman an agent is presented with boxes containing prizes. She may open boxes in any order, discover prizes within, and optimally stop. She wishes to maximize the expected value of the greatest prize found,…
Weitzman (1979) introduced the Pandora Box problem as a model for sequential search with inspection costs, and gave an elegant index-based policy that attains provably optimal expected payoff. In various scenarios, the searching agent may…
Local optimization presents a promising approach to expensive, high-dimensional black-box optimization by sidestepping the need to globally explore the search space. For objective functions whose gradient cannot be evaluated directly,…
Bayesian optimization offers a flexible framework to optimize an objective function that is expensive to be evaluated. A Bayesian optimizer iteratively queries the function values on its carefully selected points. Subsequently, it makes a…
Bayesian models often involve a small set of hyperparameters determined by maximizing the marginal likelihood. Bayesian optimization is a popular iterative method where a Gaussian process posterior of the underlying function is sequentially…
Bayesian optimization is a popular framework for the optimization of black box functions. Multifidelity methods allows to accelerate Bayesian optimization by exploiting low-fidelity representations of expensive objective functions. Popular…
This work addresses data-driven inverse optimization (IO), where the goal is to estimate unknown parameters in an optimization model from observed decisions that can be assumed to be optimal or near-optimal solutions to the optimization…
Bayesian optimization (BO) is a widely used algorithm for solving expensive black-box optimization problems. However, its performance decreases significantly on high-dimensional problems due to the inherent high-dimensionality of the…
Bayesian optimization is a methodology for global optimization of unknown and expensive objectives. It combines a surrogate Bayesian regression model with an acquisition function to decide where to evaluate the objective. Typical regression…