Bayesian optimization is a global optimization strategy for (potentially noisy) functions with unknown derivatives. With well-chosen priors, it can find optima with fewer function evaluations than alternatives, making it well suited for the optimization of costly objective functions. Well known examples include hyper-parameter tuning of machine learning models (see e.g. Taking the Human Out of the Loop: A Review of Bayesian Optimization). The Julia package BayesianOptimization.jl currently supports only basic Bayesian optimization methods.
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References in zbMATH (referenced in 1 article )
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- Jamie Fairbrother, Christopher Nemeth, Maxime Rischard, Johanni Brea, Thomas Pinder: GaussianProcesses.jl: A Nonparametric Bayes Package for the Julia Language (2022) not zbMATH