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Multi-StepBudgetedBayesianOptimization withUnknownEvaluationCosts

Neural Information Processing Systems

To overcome the shortcomings of existing approaches, we propose the budgeted multi-step expected improvement, a non-myopic acquisition function that generalizes classical expected improvement to the setting of heterogeneous and unknown evaluation costs.




max

Neural Information Processing Systems

The problem(1) with µy > 0 is called a weakly convex-strongly concave(WCSC) saddle-point problem, whereas forµy =0,itiscalledaweakly convex-merely concave(WCMC) saddle-point problem.