Practical Bayesian Optimization with Threshold-Guided Marginal Likelihood Maximization

05/18/2019
by   Seungjin Choi, et al.
0

We propose a practical Bayesian optimization method, of which the surrogate function is Gaussian process regression with threshold-guided marginal likelihood maximization. Because Bayesian optimization consumes much time in finding optimal free parameters of Gaussian process regression, mitigating a time complexity of this step is critical to speed up Bayesian optimization. For this reason, we propose a simple, but straightforward Bayesian optimization method, assuming a reasonable condition, which is observed in many practical examples. Our experimental results confirm that our method is effective to reduce the execution time. All implementations are available in our repository.

READ FULL TEXT

Please sign up or login with your details

Forgot password? Click here to reset