Recursive Two-Step Lookahead Expected Payoff for Time-Dependent Bayesian Optimization

14 Jun 2020S. Ashwin RenganathanJeffrey LarsonStefan Wild

We propose a novel Bayesian method to solve the maximization of a time-dependent expensive-to-evaluate oracle. We are interested in the decision that maximizes the oracle at a finite time horizon, when relatively few noisy evaluations can be performed before the horizon... (read more)

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