Year: 2021
Type: preprint
Abstract: Bayesian optimization is a powerful tool to optimize a black-box function, the evaluation of which is time-consuming or costly. In this paper, we propose a new approach to Bayesian optimization called GP-MGC, which maximizes multiscale graph correlation with respect to the global maximum to determine the next query point. We present our evaluation of GP-MGC in applications involving both synthetic benchmark functions and real-world datasets and demonstrate that GP-MGC performs as well as or even better than state-of-the-art methods such as max-value entropy search and GP-UCB.
Source: arXiv (Cornell University)
Author: Kanazawa, Takuya
Institution: Hitachi (Japan)
Language: English
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W3138974684