Currently we have Thompson Sampling and Probability of Improvement as acquisition functions. It would be ideal to include
[x] Expected Improvement (EI).
[ ] Upper Confidence Bound (UCB).
[ ] Log-Probability of Improvement (logPI).
[ ] Log-Expected Improvement (logEI).
Describe Preferred Solution
These acquisition functions could naturally fit inside the decision making module. GPJax already has the core ingredients for e.g. acquisition function maximization using L-BFGS, and BO loops using utility-driven decision making.
Additional Context
Here are some relevant references we could use for implementing these acquisition functions:
Adding several acquisition functions
Currently we have Thompson Sampling and Probability of Improvement as acquisition functions. It would be ideal to include
Describe Preferred Solution
These acquisition functions could naturally fit inside the decision making module. GPJax already has the core ingredients for e.g. acquisition function maximization using L-BFGS, and BO loops using utility-driven decision making.
Additional Context
Here are some relevant references we could use for implementing these acquisition functions:
If the feature request is approved, would you be willing to submit a PR?
Yes, I am glad to contribute implementations of e.g. UCB and logEI.