Exploiting correlation and budget constraints in Bayesian multi-armed bandit optimization

2013.

Cited by: 10|Bibtex|Views41|Links

Abstract:

We address the problem of finding the maximizer of a nonlinear smooth function, that can only be evaluated point-wise, subject to constraints on the number of permitted function evaluations. This problem is also known as fixed-budget best arm identification in the multi-armed bandit literature. We introduce a Bayesian approach for this ...More

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