YaSaXii / AcquisitionFunction

PI, EI and GP-UCB acquisition function for Bayesian optimization

AcquisitionFunction

Probability of improvement (PI), Expected Improvement (EI) and Upper Confidence Bound (GP-UCB) acquisition function for Bayesian optimization

Implemented as described in:

	E Brochu, VM Cora, & N de Freitas (2010): 
	“A Tutorial on Bayesian Optimization of Expensive Cost Functions, with Application to Active User Modeling and 	
	Hierarchical Reinforcement Learning.” 
	arXiv:1012.2599, http://arxiv.org/abs/1012.2599