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yanyachen / rBayesianOptimization

Bayesian Optimization of Hyperparameters
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Bug in EI acquisition expression #10

Closed BlindApe closed 7 years ago

BlindApe commented 7 years ago

As stated yonghuajiang, according to (2) formula in the reference paper, 'Practical Bayesian Optimization of Machine Learning Algorithms'

line 28 at Utility.R should be: Utility <- (GP_Mean - y_max - eps) * pnorm(z) + sqrt(GP_MSE) * dnorm(z), (instead of pnorm(z))

yanyachen commented 7 years ago

EI utility function expression fixed. I didn't merge that pull request because it didn't pass checks. Thank you very much.