Join GitHub today
GitHub is home to over 50 million developers working together to host and review code, manage projects, and build software together.
Sign upNoisy optimization #9
Open
Labels
Comments
|
Right now we implement (17) in that paper. We could add (18), should not be a big problem, |
|
(18) is implemented in the notebook on defining new acquisition functions. We won't be adding it to the library as a standard option though. In case someone wants to try other options, the framework allows implementation In the project proposal we added the knowledge gradient. This would be an included algorithm supporting noisy objectives. |
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
This issue keeps track of the support for stochastic optimization. In machine learning the standard expected improvement is often used, which actually does not account for possible noise.
As a first step we are looking at implementing the augmented EI or a variation thereof as described in:
https://hal.archives-ouvertes.fr/hal-00658212/document