Acquisition functions in Bayesian Optimization

Contents Expected Improvement (EI) In a previous blog post, we have talked about Bayesian Optimization as a generic method for optimizing a black-box function, \(f(x)\), that is a function whose formula we don’t know. The essential ingredients of a BO algorithm are the surrogate model (SM) and the acquisition function (AF). The SM model is often a Gaussian Process that can fit the observed data points and quantify the uncertainty of unobserved areas. Next, the acquisition function “looks” at t...

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