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In this paper, we propose Ensemble Bayesian Optimization (EBO) to overcome this problem. Unlike conventional BO methods that operate on a single posterior GP model, EBO works with an ensemble of posterior GP models. Our approach generates speedups by parallelizing the time consuming hyper-parameter posterior inference and functional evaluations on hundreds of cores and aggregating the models in every iteration of BO. We demonstrate the ability of EBO to handle sample-intensive hard optimization problems by applying it to a rover navigation problem with tens of thousands of observations.
Jun-6-2017, 15:20:15 GMT