Reducing dimension in Bayesian Optimization
Résumé
This talk was given at the LIMOS on July the 9th 2020 and was mainly intended for an audience of non specialists of Gaussian processes (GPs). The first slides (up to slide 12) about GPs and Bayesian Optimization should probably be skipped by readers already aware about them.
However, the two research contributions on variable selection for optimization 1) by kernel methods and, 2) by penalized likelihood in the PCA space, may be of interest to some experts.
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