BOSH: Bayesian Optimization by Sampling Hierarchically

2 Jul 2020Henry B. MossDavid S. LesliePaul Rayson

Deployments of Bayesian Optimization (BO) for functions with stochastic evaluations, such as parameter tuning via cross validation and simulation optimization, typically optimize an average of a fixed set of noisy realizations of the objective function. However, disregarding the true objective function in this manner finds a high-precision optimum of the wrong function... (read more)

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