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2-stage acquisition optimization support #256
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@henrymoss can you link a couple of those papers please? |
These three consider multi-fidelity extensions of UCB that rely on a two-stage acquisition function:
Also the FASTCV example of https://papers.nips.cc/paper/5086-multi-task-bayesian-optimization.pdf has 2-stage acquisition function. |
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This issue surfaced from conversation with @henrymoss .
Emukit does not support 2-stage optimization procedures. For example, consider the following scenario: a multifidelity function f(x,z) where z is the fidelity, that is being optimized the following way:
x* = argmax acq1(x)
z* = argmax acq2(x*, z)
A couple of multifidelity methods based on UCB are using this, and it is quite common to compare against them, so having their implementations might be useful.
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