This chapter presents the main contribution of the authors of this book, that is, a multiple information source Bayesian optimization algorithm based on a novel Gaussian process model for this specific setting. A Python implementation of the approach is presented, along with experiments on a set of test problems. The proposed method is compared against other multi-fidelity Bayesian optimization methods, demonstrating its main advantages.

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MISO-AGP: Dealing with Multiple Information Sources via Augmented Gaussian Process

  • Antonio Candelieri,
  • Andrea Ponti,
  • Francesco Archetti

摘要

This chapter presents the main contribution of the authors of this book, that is, a multiple information source Bayesian optimization algorithm based on a novel Gaussian process model for this specific setting. A Python implementation of the approach is presented, along with experiments on a set of test problems. The proposed method is compared against other multi-fidelity Bayesian optimization methods, demonstrating its main advantages.