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secondmind-labs / trieste

A Bayesian optimization toolbox built on TensorFlow
Apache License 2.0
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Support for portfolios of acquisition functions #238

Open hstojic opened 3 years ago

hstojic commented 3 years ago

Support for using portfolios of acquisition functions, not just a single acquisition function.

There is some support that this yields a superior performance than any single function (if computational budget allows it...); for example, see paper "An Entropy Search Portfolio for Bayesian Optimization" (https://arxiv.org/abs/1406.4625)

vpicheny commented 3 years ago

Maybe a nice feature to also allow us to frame Thompson sampling as a "classical" BO algorithm, where the acquisition function is a GP sample. The porfolio of acquisitions would be different samples?