gpsearch

Source code for Bayesian optimization and active learning with likelihood-weighted acquisition functions.

Installation

Execute pip install . from the master directory.

Notes

Beware of this issue if you are using the devel version of GPy. The acquisition functions available in gpsearch are compatible with the deploy branch of GPy.

Benchmarks

The following benchmarks are included:

• stochastic oscillator (used here)
• extreme-event precursor (used here and here)
• borehole function (used here)
• synthetic test functions (used here)
• brachistochrone problem (unpublished)

References

• Bayesian Optimization with Output-Weighted Optimal Sampling
• Informative Path Planning for Extreme Anomaly Detection in Environment Exploration and Monitoring
• Output-Weighted Optimal Sampling for Bayesian Experimental Design and Uncertainty Quantification