Transcription of A Tutorial on Bayesian Optimization of Expensive …
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A Tutorial on Bayesian Optimization ofExpensive Cost Functions, with Application toActive User Modeling and HierarchicalReinforcement LearningEric Brochu, Vlad M. Cora and Nando de FreitasDecember 14, 2010 AbstractWe present a Tutorial on Bayesian Optimization , a method of findingthe maximum of Expensive cost functions. Bayesian Optimization employsthe Bayesian technique of setting a prior over the objective function andcombining it with evidence to get a posterior function. This permits autility-based selection of the next observation to make on the objectivefunction, which must take into account both exploration (sampling fromareas of high uncertainty) and exploitation (sampling areas likely to offerimprovement over the current best observation).
A Tutorial on Bayesian Optimization of Expensive Cost Functions, with Application to Active User Modeling and Hierarchical Reinforcement Learning
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