Paper Title :Effects of Covariance and Acquisition Functions on Bayesian Optimization using a Gaussian Process

Author :Jun-Seong Kim, Taek-Ho Lee, Chi-Hyuck Jun

Article Citation :Jun-Seong Kim ,Taek-Ho Lee ,Chi-Hyuck Jun , (2018 ) " Effects of Covariance and Acquisition Functions on Bayesian Optimization using a Gaussian Process " , International Journal of Management and Applied Science (IJMAS) , pp. 14-18, Volume-4,Issue-6

Abstract : Covariance and acquisition functions play important roles in Bayesian optimization using a Gaussian process. However, there have been few studies on the effects of these functions on the performance of Bayesian optimization. In this paper, we propose a modified sampling procedure for function evaluation and optimization by considering a new termination condition. Then, we perform numerical experiments using three a synthetic two-dimensional function for analyzing the effects of various combinations of covariance and acquisition functions on the performance of Bayesian optimization. We found that the modified expected improvement acquisition function combined with the Matern covariance function generally works well in terms of computational time and accuracy. Keywords - Acquisition function, Bayesian optimization, covariance function, Gaussian process

Type : Research paper

Published : Volume-4,Issue-6

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