2024
Accelerating Look-ahead in Bayesian Optimization: Multilevel Monte Carlo is All you Need
Shangda Yang, Vitaly Zankin, Maximilian Balandat, Stefan Scherer, Kevin Thomas Carlberg, Neil Walton +1
ICML 2024poster
We leverage multilevel Monte Carlo (MLMC) to improve the performance of multi-step look- ahead Bayesian optimization (BO) methods that involve nested expectations and maximizations. Often these expectations must be computed by Monte Carlo (MC). The complexity rate of naive MC degrades for nested ope…