BayesOpt: A Bayesian Optimization Library for Nonlinear Optimization, Experimental Design and Bandits

Ruben Martinez-Cantin; 15(Nov):3915−3919, 2014.

Abstract

BayesOpt is a library with state-of-the-art Bayesian optimization methods to solve nonlinear optimization, stochastic bandits or sequential experimental design problems. Bayesian optimization characterized for being sample efficient as it builds a posterior distribution to capture the evidence and prior knowledge of the target function. Built in standard C++, the library is extremely efficient while being portable and flexible. It includes a common interface for C, C++, Python, Matlab and Octave.

[abs][pdf][bib]    [code][bitbucket.org]




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