A Proofs

This appendix contains the proofs of the results found in Section 4. We start by introducing a useful The claim follows then directly from (4) and the definition of mutual information.Lemma 2. We then can compute the derivative and ask under which conditions it is non negative. The function b defined in (18) is monotonically increasing for positive arguments. Finally, let us fix ε > 0. Combining Lemmas 7 and 8, we obtain: b( σ The following result makes this statement precise. The following lemma makes this statement precise. In this Appendix, we collect details about the experiment presented in Section 6. Code for the used acquisition functions can be found at ISE selects the next parameter to evaluate according to (6), which is a non convex optimization problem constrained in one of the variables.