Optimal computation budget allocation with Gaussian process regression

Mingjie Hu, Jie Xu, Chun-Hung Chen, Jian-Qiang Hu

Abstract: Highlights•Introduce a ranking and selection method with spatial correlations in designs.•Combine Gaussian process regression to derive an optimal budget allocation policy.•Analyze the sample complexity of the allocation policy, offering key insights.•Demonstrate that the proposed allocation algorithm outperforms existing methods.