Peter Frazier - Parallel Bayesian Global Optimization of Expensive Functions, for Metrics Optimization at Yelp

Peter Frazier - Parallel Bayesian Global Optimization of Expensive Functions, for Metrics Optimization at Yelp

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Mar 7, 2016, 03:40 PM - 05:00 PM | 3108 Etcheverry Hall | Happening As Scheduled
Peter Frazier, Cornell University / Uber (Speaker)
We consider parallel derivative-free global optimization of expensive-to-evaluate functions. We present a new decision-theoretic algorithm for this problem, which places a Bayesian prior distribution on the objective function, and chooses the set of points to evaluate next that provide the largest value of the information. This decision-theoretic approach was previously proposed by...