STREGO: A Scalable Implementation of a Trust-Region Framework for Noisy Bayesian Optimization
TREGO, a trust-region Bayesian optimization (BO) method for expensive blackbox problems, has convergence guarantees, but only for exact function values. In high dimension, its performance tends to deteriorate. This paper asks whether a trust-region BO method can be extended to handle noisy evaluations while being compe...
Youssef Diouane, I. El Hallaoui, Meisseme Kadri et al.
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