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rmcantin / bayesopt

BayesOpt: A toolbox for bayesian optimization, experimental design and stochastic bandits.
GNU Affero General Public License v3.0
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Returning minimum of mean instead of minimum sample #7

Open akangasr opened 8 years ago

akangasr commented 8 years ago

Currently the optimization routine returns the x_i with smallest y_i observed. While this makes sense with deterministic functions, it doesn't make that much sense with stochastic functions where the minimum of the mean doesn't always coincide with the sample minimum. For this reason, it would be good to have an option for retrieving the minimum of the mean function instead of the minimum sampled value.

rmcantin commented 8 years ago

Send a pull request and we will include it. Note that it should be he minimum of the mean only at the observed points.