kiudee/bayes-skopt

Implement predictive variance reduction search

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We currently employ maximum-value entropy search as the main acquisition function.
Nguyen et al (2017) argue that concentrating on collecting information about the value y* is not enough to find the optimum position x*.

They instead propose the following algorithm
Screenshot_2020-01-12 Predictive Variance Reduction Search - 13 pdf

where
Screenshot_2020-01-12 Predictive Variance Reduction Search - 3ad52c31e19a3874274fa6071953a4b381c5 pdf

Downside: Without having an efficient implementation for Thompson Sampling, this criterion is very costly to evaluate