Experimentation for Engineers

6 Bayesian optimization: Automating experimental optimization

This chapter covers

• Combining ideas from RSM and MAB into one optimization method
• Automating response surface modeling with Gaussian process regression
• Automating experiment design by optimizing over an acquisition function

Before we begin, let’s review:

• In chapter 2 (A/B testing), we talked about how to take a measurement of a business metric.

• In chapters 3 (multi-armed bandits) and 5 (contextual bandits), we saw that if you adapt your experiments based on uncertainty estimates, you can improve your business metric while your experiment is running. We said we were “balancing exploration with exploitation.”

• In chapter 4 (response surface methodology), we showed how to use estimates ...