Papers › Practical Bayesian Optimization for Variable Cost Objectives

Practical Bayesian Optimization for Variable Cost Objectives

13 Mar 2017arXiv:1703.04335archive 2025-07-28

Mark McLeod, Michael A. Osborne, Stephen J. Roberts

We propose a novel Bayesian Optimization approach for black-box functions with an environmental variable whose value determines the tradeoff between evaluation cost and the fidelity of the evaluations. Further, we use a novel approach to sampling support points, allowing faster construction of the acquisition function. This allows us to achieve optimization with lower overheads than previous approaches and is implemented for a more general class of problem. We show this approach to be effective on synthetic and real world benchmark problems.

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Bayesian Optimization

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