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Peng Liu
Bayesian Optimization
Theory and Practice Using Python
Peng Liu
Singapore, Singapore
Apress Standard
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Figure 1-1 The overall Bayesian optimization process. The policy digests the
historical observations and proposes the new sampling location. The environment
governs how the (possibly noise-corrupted) observation at the newly proposed
location is revealed to the policy. Our goal is to learn an efficient and effective policy
that could navigate toward the global optimum as quickly as possible
Global Optimization
Optimization aims to locate the optimal set of parameters of interest
across the whole domain through carefully allocating limited resources.
For example, when searching for the car key at home before leaving for
work in two minutes, we would naturally start with the most promising
place where we would usually put the key. If it is not there, think for a
little while about the possible locations and go to the next most
promising place. This process iterates until the key is found. In this
example, the policy is digesting the available information on previous
searches and proposing the following promising location. The
environment is the house itself, revealing if the key is placed at the
proposed location upon each sampling.
This is considered an easy example since we are familiar with the
environment in terms of its structural design. However, imagine
locating an item in a totally new environment. The policy would need to
account for the uncertainty due to unfamiliarity with the environment
while sequentially determining the next sampling location. When the
sampling budget is limited, as is often the case in real-life searches in
terms of time and resources, the policy needs to argue carefully on the
utility of each candidate sampling location.
Let us formalize the sequential global optimization using
mathematical terms. We are dealing with an unknown scalar-valued
objective function f based on a specific domain Α. In other words, the
unknown subject of interest f is a function that maps a certain sample
in Α to a real number in ℝ, that is, f : Α → ℝ. We typically place no
specific assumption about the nature of the domain Α other than that it
should be a bounded, compact, and convex set.
Unless otherwise specified, we focus on the maximization setting
instead of minimization since maximizing the objective function is
equivalent to minimizing the negated objective, and vice versa. The
optimization procedure thus aims at locating the global maximum f∗ or
its corresponding location x∗ in a principled and systematic manner.
Mathematically, we wish to locate f∗ where
The Editor of the Every-Day Book has Mr. Watson’s private copies
of these printed tracts, with manuscript additions and remarks on
them by Mr. Watson himself. It should seem from one of these
notes, in his own hand-writing, that his opinions were not wholly
contemned. Regarding his latter discourse, he observes that “the
late Dr. Sharp, archdeacon of Northumberland, in a pamphlet, called
‘A Serious Inquiry into the Use and Importance of External Religion;’
quotes this sentence, “Where unity and peace are disregarded,
devotion must be so too, as it were by natural consequences. I have
borrowed these words from a sermon preached at Halifax, by John
Watson, A. M., which, if any man, who has sixpence to spare, will
purchase, peruse, and lay to heart, he will lay out his time and his
money very well.” Archdeacon Sharp was father of the late Granville
Sharp, the distinguished philanthropist and hebraist.
In a church-yard.
NATURALISTS’ CALENDAR.
Mean Temperature 36·85.
[44] Clarendon.
[45] Lord Falkland engaged in a thoughtless skirmish and perished in it.
[46] British Chronologist, 177.
[47] Gents. Mag. and Brit. Chron.
January 31.
King George IV. proclaimed.—Holiday at the Exchequer.
Wakes.
A newspaper of this day,[48] in the year 1821, relates the
following anecdote:—
All through Ireland the ceremonial of wakes and funerals is most
punctually attended to, and it requires some sçavoir faire to carry
through the arrangement in a masterly manner. A great adept at the
business, who had been the prime manager at all the wakes in the
neighbourhood for many years, was at last called away from the
death-beds of his friends to his own. Shortly before he died he gave
minute directions to his people as to the mode of waking him in
proper style. “Recollect,” says he, “to put three candles at the head
of the bed, after you lay me out, and two at the foot, and one at
each side. Mind now, and put a plate with the salt on it just a top of
my breast. And, do you hear? have plenty of tobacco and pipes
enough; and remember to make the punch strong. And—but what
the devil is the use of talking to you? sure I know you’ll be sure to
botch it, as I won’t be there myself.”
NATURALISTS’ CALENDAR.
Mean Temperature 39·35.
February 1.
Flowers.
A good garden in a sunny day, at the commencement of this
month, has many delightful appearances to a lover of nature, and
issues promises of further gratification. It is, however, in ball-rooms
and theatres that many of the sex, to whose innocence and beauty
the lily is likened, resort for amusement, and see or wear the mimic
forms of floral loveliness. Yet this approach to nature, though at an
awful distance, is to be hailed as an impulse of her own powerful
working in the very heart of fashion; and it has this advantage, that
it supplies means of existence to industry, and urges ingenuity to
further endeavour. Artificial wants are rapidly supplied by the
necessity of providing for real ones; and the wealthy accept drafts
upon conditions which indigence prescribes, till it becomes lifted
above poverty to independence.
The manufacture of artificial flowers is not wholly unknown in
England, but our neighbours, the French, eclipse us in the accuracy
and variety of their imitations. Watering-places abound with these
wonders of their work-people, and in the metropolis there are
depôts, from whence dress-makers and milliners are supplied by
wholesale.
M . M A R L O T E A U e t C i e.
Manufacturers from Paris,
37, MONTMORENCY-STREET,
To London 14 Broadstreet,
Oxford street.
Acquaint the Trade in general, that they have
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