High-dimensional Bayesian optimization with projections using quantile Gaussian processes

DOI10.1007/S11590-019-01433-WMaRDI QIDQ2300637zbMATH OpenOpenAlexWikidataFDO

Authors Riccardo Moriconi, K. S. Sesh Kumar, Marc Peter Deisenroth

Publication date 27 February 2020

Published in Optimization Letters (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s11590-019-01433-w

zbMATH Keywords

Gaussian processeshigh dimensional Bayesian optimizationquantile regression

Mathematics Subject Classification ID

Bayesian inference (62F15) Response surface designs (62K20) Derivative-free methods and methods using generalized derivatives (90C56)

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Cites work

• Bayesian optimization in a billion dimensions via random embeddings
• Efficient global optimization of expensive black-box functions
• Gaussian processes for machine learning.
• scientific article; zbMATH DE number 5957364 (Why is no real title available?)
• scientific article; zbMATH DE number 3487202 (Why is no real title available?)
• scientific article; zbMATH DE number 6276119 (Why is no real title available?)
• Lipschitzian optimization without the Lipschitz constant
• No-regret Bayesian optimization with unknown hyperparameters
• Nonparametric guidance of autoencoder representations using label information
• Quasi-Newton method: a new direction

Cited in

(6)

• A Bayesian approach for quantile optimization problems with high-dimensional uncertainty sources
• High-dimensional Bayesian optimization using low-dimensional feature spaces
• Deterministic error bounds for kernel-based learning techniques under bounded noise
• Projected Wasserstein Gradient Descent for High-Dimensional Bayesian Inference
• (Global) optimization: historical notes and recent developments
• Taking another step: a simple approach to high-dimensional Bayesian optimization

Describes a project that uses

Uses Software

• EGO
• Spearmint
• PILCO
• SMAC

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