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zi-w / Max-value-Entropy-Search

Max-value Entropy Search for Efficient Bayesian Optimization
MIT License
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MES for discrete domains #5

Closed giotre closed 4 years ago

giotre commented 4 years ago

Dear Dr. Wang, I found your paper about MES really interesting. I have a question about it: since I'm working on discrete and scattered search spaces with "real" black box functions, is your code suitable for this as it is or do you suggest to adapt it? In particular, I refer to all the optimization scripts: can I avoid all the gradient-based searches with fmincon, just computing effectively the acquisition function in all the domain points? Thank you in advance.

zi-w commented 4 years ago

Thanks for your interest in this work. You can replace the continuous optimization for acquisition functions with returning the optimal from evaluations on a discrete set of points. It should be an easy fix. Please let me know if you have other questions.