Bayesian optimization with a finite budget: An approximate dynamic programming approach
We consider the problem of optimizing an expensive objective function when a finite budget of total evaluations is prescribed. In that context, the optimal solution strategy for Bayesian optimization can be formulated as a dynamic programming instance. This results in a complex problem with uncounta...
| Main Authors: | , , |
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| Format: | Article |
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Neural Information Processing Systems Foundation
2018
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| Online Access: | http://hdl.handle.net/1721.1/115164 https://orcid.org/0000-0003-4222-5358 https://orcid.org/0000-0003-2156-9338 |