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A Tutorial on Bayesian Optimization

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abstract

Bayesian optimization is an approach to optimizing objective functions that take a long time (minutes or hours) to evaluate. It is best-suited for optimization over continuous domains of less than 20 dimensions, and tolerates stochastic noise in function evaluations. It builds a surrogate for the objective and quantifies the uncertainty in that surrogate using a Bayesian machine learning technique, Gaussian process regression, and then uses an acquisition function defined from this surrogate to decide where to sample. In this tutorial, we describe how Bayesian optimization works, including Gaussian process regression and three common acquisition functions: expected improvement, entropy search, and knowledge gradient. We then discuss more advanced techniques, including running multiple function evaluations in parallel, multi-fidelity and multi-information source optimization, expensive-to-evaluate constraints, random environmental conditions, multi-task Bayesian optimization, and the inclusion of derivative information. We conclude with a discussion of Bayesian optimization software and future research directions in the field. Within our tutorial material we provide a generalization of expected improvement to noisy evaluations, beyond the noise-free setting where it is more commonly applied. This generalization is justified by a formal decision-theoretic argument, standing in contrast to previous ad hoc modifications.

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representative citing papers

What Type of Inference is Active Inference?

cs.AI · 2026-06-03 · unverdicted · novelty 7.0

EFE-based active inference planning is characterized as VFE on an augmented model plus entropy and planning corrections, with a derived message-passing implementation and grid-world validation.

Elicitation-Augmented Bayesian Optimization

cs.LG · 2026-05-12 · unverdicted · novelty 7.0

A cost-aware value-of-information acquisition function is derived to balance direct observations against noisy pairwise human comparisons in Bayesian optimization, approaching the convex hull of the individual information sources' performance trajectories.

Collaborative Contextual Bayesian Optimization

cs.LG · 2026-04-20 · unverdicted · novelty 7.0

CCBO enables collaborative contextual Bayesian optimization across clients with sublinear regret guarantees and shows substantial gains over non-collaborative methods in simulations and a hot rolling application even under heterogeneity.

Electronic manifolds for extrapolative alloy discovery

cond-mat.mtrl-sci · 2026-03-07 · unverdicted · novelty 6.0

Non-interacting electron density features with two-point correlations and active learning achieve <2% NMAE on bulk modulus using 10 samples and enable zero-shot transfer to unseen 7-component refractory BCC alloys.

LILO: Bayesian Optimization with Natural Language Feedback

cs.LG · 2025-10-20 · unverdicted · novelty 6.0

LILO integrates LLMs to translate natural language feedback into preference signals for Gaussian process-based Bayesian optimization, outperforming standard preference BO and LLM-only methods on benchmarks.

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