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Victor/krigingbeliever #428
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…rieste into victor/updateequations
Introduces two breaking changes:
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Looks good. Just a couple of small comments.
LocalPenalizationAcquisitionFunction has been renamed to LocalPenalization |
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Few final minor comments, after that good to go!
To follow up with:
- Add integration tests
- Test that it works with async BO
Co-authored-by: Hrvoje Stojic <hrvoje.stojic@protonmail.com>
Co-authored-by: Hrvoje Stojic <hrvoje.stojic@protonmail.com>
Co-authored-by: Hrvoje Stojic <hrvoje.stojic@protonmail.com>
This PR implements the "kriging believer" / "fantasize greedy" strategy. In short, this strategy 1) greedily optimises an acquisition function, 2) "fantasize" a value at the chosen query points (either by using the GP mean at this qp, or by generating a GP sample), 3) update the posterior of the GP, conditioning on this fantasized data, 4) iterate over 1-3.
We do this by introducing a
FantasizedGPRModel
wrapper. This model can only do predict, not optimize/update.