Optimizer for acquisition function

Issue #31 open
Aditya Subramanyam created an issue

Use of brute-force non-ideal for large dimensions - consider using one of the gradient-based techniques (available from scipy's 'optimize' package)

Comments (5)

  1. Balaji Pokuri

    This shall be addressed by allowing the user to change the acquisition_function_optimizer, just like how the user can change the kernel_function The default will be changed from brute to a better robust method.

    Should be easy to change without much effect on the user code. (easy backward compatibility)

  2. Balaji Pokuri

    [major] Added default acquisition function optimizer

    No major change to the user code.. added functionality

    • Uses powell method instead of brute. should resolve #31
    • general function signature: acq_optimizer(func: Callable, x0: np.array, bounds, func_deriv: Callable=None) -> np.array:

    → <<cset ae87cb682d86>>

  3. Balaji Pokuri
    • changed status to open

    Still has issues with the powell optimizer. Could lead to problems in lower dimensions or with small kappa

  4. Balaji Pokuri

    One potential method is to use a default acquisition optimizator as a generator of local optima of acquisition and check if either of them is useful

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