Bayesian Optimization: Theory and Practice Using Python

© The Author(s), under exclusive license to APress Media, LLC, part of Springer Nature 2023

P. LiuBayesian Optimizationhttps://doi.org/10.1007/978-1-4842-9063-7_5

5. Monte Carlo Acquisition Function with Sobol Sequences and Random Restart

Peng Liu¹  

(1)

Singapore, Singapore

 

In the previous chapter, we introduced GPyTorch, the backbone horsepower used by BoTorch to obtain the GP posterior using PyTorch. This paves the way for our introduction to BoTorch, the main topic in this chapter. Specifically, we will focus on how it implements the expected improvement acquisition function covered in Chapter 3 and performs the inner optimization in search of the next best proposal for sampling location.

In addition, we will also cover another type of acquisition ...