A Tutorial on Bayesian Optimization of Expensive Cost Functions with Application

A Tutorial on Bayesian Optimization ofExpensive Cost Functions, with Application toActive User Modeling and HierarchicalReinforcement LearningEric Brochu, Vlad M. Cora and Nando de FreitasDecember 14, 2010AbstractWe present a tutorial on Bayesian optimization, a method of finding the maximum of expensive cost functions. Bayesian optimization employs the Bayesian technique of setting a prior over the objective function and combining it with evidence to get a posterior function. This permits a uti