GLASSES: Relieving The Myopia Of Bayesian Optimisation

21 Oct 2015Javier GonzálezMichael OsborneNeil D. Lawrence

We present GLASSES: Global optimisation with Look-Ahead through Stochastic Simulation and Expected-loss Search. The majority of global optimisation approaches in use are myopic, in only considering the impact of the next function value; the non-myopic approaches that do exist are able to consider only a handful of future evaluations... (read more)

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