kiudee/bayes-skopt

Implement support for Thompson sampling

Closed this issue · 0 comments

The acquisition functions are currently called using mu and std already evaluated for a set of points:

mu, std = gpr.predict(X, return_std=True)
for j, acq in enumerate(acquisition_functions):
tmp_out = acq(mu, std, **kwargs)
if np.all(np.isfinite(tmp_out)):
acq_output[j] += tmp_out

For Thompson sampling we instead want to sample a GP instead of the mean process.