Bayesian Optimization: expected improvement (+LCB, PI, EV) interpretation

Автор: Modeling, Identification, Control (A. Sala)

Загружено: 2024-03-06

Просмотров: 1167

Описание:

This video, a continuation of • Probability of improvement in Bayesian Op... , will discuss the meaning of the "Expected Improvement" (EI) acquisition function in Bayesian optimization techniques.
Basically, Expected value (Gaussian mean) should be used if getting a bad sample penalizes some "utility" in my particular application, and expected improvement should be used if bad samples do not incur any cost as we have our `best' sample in our historical record to provide as our final solution to the optimization problem.

A final discussion on the comparison with probability of improvement and confidence bound acquisition functions is also provided.

All discussions are supported via an example that is coincident with that in the above-mentioned video.
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PDF/code/notes at: http://personales.upv.es/asala/YT/V/b...
#bayesian #optimizationtechniques
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Antonio Sala, UPV, Valencia, Spain
University lectures
Full collection of videos at: http://personales.upv.es/asala/YT/ind...

Bayesian Optimization: expected improvement (+LCB, PI, EV) interpretation

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