Toshiyuki Koyama

Multi-fidelity Bayesian Optimization with Max-value Entropy Search and its Parallelization

In a standard setting of Bayesian optimization (BO), the objective function evaluation is assumed to be highly expensive. Multi-fidelity Bayesian optimization (MFBO) accelerates BO by incorporating lower fidelity observations available with a lower sampling cost. We propose a novel information-theor…