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Bayesian Optimization

The Bayesian Optimization algorithm is a method used in a lot of domains, including machine leaning for finding hyperparameters. It allows to compute an approximation of a black-box function which is expensive to evaluate.

The implementation is based off the following paper: https://export.arxiv.org/pdf/1807.02811

The Gaussian kernel is used as the interpolation kernel, and the Expected Improvement function as the acquisition function.

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Implementation of the Bayesian Optimization algorithm using the BFGS algorithm.

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