Cost-aware Bayesian Optimization via the Pandora's Box Gittins Index

Qian Xie, Raul Astudillo, Peter I. Frazier, Ziv Scully, Alexander Terenin

Submission Type: Hot-off-the-press paper

Tldr: We introduce a connection between cost-aware Bayesian optimization and the Pandora's Box problem from economics, and use it to derive a novel cost-aware acquisition function class with promising performance.

Link To External Content: https://arxiv.org/abs/2406.20062

Submission Number: 11