add kappa decay

bayes_opt/bayesian_optimization.py

@@ -154,6 +154,8 @@ def maximize(self,
                  n_iter=25,
                  acq='ucb',
                  kappa=2.576,
+                 kappa_decay=1,
+                 kappa_decay_delay=0,
                  xi=0.0,
                  **gp_params):
         """Mazimize your function"""
@@ -162,12 +164,17 @@ def maximize(self,
         self._prime_queue(init_points)
         self.set_gp_params(**gp_params)
 
-        util = UtilityFunction(kind=acq, kappa=kappa, xi=xi)
+        util = UtilityFunction(kind=acq,
+                               kappa=kappa,
+                               xi=xi,
+                               kappa_decay=kappa_decay,
+                               kappa_decay_delay=kappa_decay_delay)
         iteration = 0
         while not self._queue.empty or iteration < n_iter:
             try:
                 x_probe = next(self._queue)
             except StopIteration:
+                util.update_params()
                 x_probe = self.suggest(util)
                 iteration += 1
 

bayes_opt/util.py

@@ -76,13 +76,15 @@ class UtilityFunction(object):
     An object to compute the acquisition functions.
     """
 
-    def __init__(self, kind, kappa, xi):
-        """
-        If UCB is to be used, a constant kappa is needed.
-        """
+    def __init__(self, kind, kappa, xi, kappa_decay=1, kappa_decay_delay=0):
+
         self.kappa = kappa
+        self._kappa_decay = kappa_decay
+        self._kappa_decay_delay = kappa_decay_delay
 
         self.xi = xi
+
+        self._iters_counter = 0
 
         if kind not in ['ucb', 'ei', 'poi']:
             err = "The utility function " \
@@ -92,6 +94,12 @@ def __init__(self, kind, kappa, xi):
         else:
             self.kind = kind
 
+    def update_params(self):
+        self._iters_counter += 1
+
+        if self._kappa_decay < 1 and self._iters_counter > self._kappa_decay_delay:
+            self.kappa *= self._kappa_decay
+
     def utility(self, x, gp, y_max):
         if self.kind == 'ucb':
             return self._ucb(x, gp, self.kappa)