S. Petit

Simple-regret rates and minimax optimality of fixed-prior expected improvement in Matérn and squared-exponential RKHSs

We study expected improvement (EI) for minimizing a deterministic function $f$ in the RKHS $\mathcal H_k$ of a continuous positive-semidefinite kernel $k$ on a nonempty compact set $\mathcal X\subset\mathbb R^d$. Function values are observed exactly, and EI is computed from a fixed zero-mean Gaussian-process model with...