Bayesian optimization with switching cost: Regret analysis and lookahead variants

• Main Authors: LIU, Peng, WANG, Haowei, QIYU, Wei
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2023
• Subjects: Machine Learning; Bayesian learning; Hyperparameter optimization; Analysis; Finance and Financial Management; Operations and Supply Chain Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/7257; https://ink.library.smu.edu.sg/context/lkcsb_research/article/8256/viewcontent/BayesianOpt_SwitchingCost_pvoa.pdf
• Institution: Singapore Management University

Bayesian Optimization (BO) has recently received increasing attention due to its efficiency in optimizing expensive-to-evaluate functions. For some practical problems, it is essential to consider the path-dependent switching cost between consecutive sampling locations given a total traveling budget....