Gaussian Process Optimization with Mutual Information
نویسندگان
چکیده
In this paper, we analyze a generic algorithm scheme for sequential global optimization using Gaussian processes. The upper bounds we derive on the cumulative regret for this generic algorithm improve by an exponential factor the previously known bounds for algorithms like GPUCB. We also introduce the novel Gaussian Process Mutual Information algorithm (GP-MI), which significantly improves further these upper bounds for the cumulative regret. We confirm the efficiency of this algorithm on synthetic and real tasks against the natural competitor, GP-UCB, and also the Expected Improvement heuristic.
منابع مشابه
Research of Blind Signals Separation with Genetic Algorithm and Particle Swarm Optimization Based on Mutual Information
Blind source separation technique separates mixed signals blindly without any information on the mixing system. In this paper, we have used two evolutionary algorithms, namely, genetic algorithm and particle swarm optimization for blind source separation. In these techniques a novel fitness function that is based on the mutual information and high order statistics is proposed. In order to evalu...
متن کاملSource Separation with Gaussian Process Models
In this paper we address a method of source separation in the case where sources have certain temporal structures. The key contribution in this paper is to incorporate Gaussian process (GP) model into source separation, representing the latent function which characterizes the temporal structure of a source by a random process with Gaussian prior. Marginalizing out the latent function leads to t...
متن کاملResearch of Blind Signals Separation with Genetic Algorithm and Particle Swarm Optimization Based on Mutual Information
Blind source separation technique separates mixed signals blindly without any information on the mixing system. In this paper, we have used two evolutionary algorithms, namely, genetic algorithm and particle swarm optimization for blind source separation. In these techniques a novel fitness function that is based on the mutual information and high order statistics is proposed. In order to evalu...
متن کاملSequential Design with Mutual Information for Computer Experiments (MICE): Emulation of a Tsunami Model
Computer simulators can be computationally intensive to run over a large number of input values, as required for optimization and various uncertainty quantification tasks. The standard paradigm for the design and analysis of computer experiments is to employ Gaussian random fields to model computer simulators. Gaussian process models are trained on input-output data obtained from simulation run...
متن کاملGlobal Optimization with the Gaussian Polytree EDA
This paper introduces the Gaussian polytree estimation of distribution algorithm, a new construction method, and its application to estimation of distribution algorithms in continuous variables. The variables are assumed to be Gaussian. The construction of the tree and the edges orientation algorithm are based on information theoretic concepts such as mutual information and conditional mutual i...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2014