arXiv Statistics ML

Cost-aware Bayesian Optimization via the Pandora's Box Gittins Index

arXiv Statistics ML
Oct 2

IQS-BO: In-Context Query Selection for Bayesian Optimisation

IQS-BO introduces an in‑context query selection method for Bayesian optimisation that learns to choose evaluation points via supervised learning on synthetic priors. The approach uses a Prior‑data Fitted Network (PFN) to predict, in a single forward pass, the probability that each candidate maximises the objective, thereby amortising the decision step and eliminating the need for costly surrogate refitting or acquisition maximisation. Experiments show that IQS‑BO matches or surpasses traditional Gaussian‑process‑based BO and other in‑context methods on both synthetic and real‑world benchmarks, and that a mixture prior combining GP samples with challenging function types further improves performance.

By Luca Geminiani, Nadja Klein
arXiv Machine Learning
Jun 8

$\alpha$-PFN: Fast Entropy Search via In-Context Learning

arXiv:2606. 07134v1 Announce Type: new Abstract: Information-theoretic acquisition functions such as Entropy Search (ES) offer a principled exploration-exploitation framework for Bayesian optimization (BO).

By Herilalaina Rakotoarison, Steven Adriaensen, Tom Viering, Carl Hvarfner, Samuel M\"uller, Frank Hutter, Eytan Bakshy