Truncated Variance Reduction: A Unified Approach to Bayesian Optimization and Level-Set Estimation Laboratory for Information and Inference Systems (LIONS), EPFL

R), that treats Bayesian optimization (BO) and level-set estimation (LSE) with Gaussian processes in a unified fashion. The algorithm greedily shrinks a sum of truncated variances within a set of potential maximizers (BO) or unclassified points (LSE), which is updated based on confidence bounds.