This is the MATLAB code repository for method proposed by our paper Fast Information-theoretic Bayesian Optimisation. We developed a We develop a novel information-theoretic Bayesian optimisation method called FITBO that reduces the expensive sampling for the global minimiser to more efficient sampling of one additional hyperparameter, thus significantly reducing computational overhead. Please refer to the paper for more details on the method.

We developed our code building upon the open sourced code for Predictive Entropy Search (Hernandez-Lobato et al., 2014) and Max-value Entropy Search (Wang and Jegelka, 2017). This code uses in-built slice sampler in Matlab or the elliptical slice sampler (Murray et al., 2010) for sampling hyperparameters.

If you have any question, please email me at [email protected] or create an issue here.

Please make sure you installed the GNU Scientific Library (GSL). On Ubuntu, you can install GSL by

sudo apt-get install libgsl0-dev

Before running the code. In MATLAB command line, you can mex the c files in utility/ by

mex chol2invchol.c -lgsl -lblas

demo.m runs a simple example using Bayesian optimization to minimise the 2D branin function. Please see the comments in the code for more details.

FITBOacq.m is the function for Fast Information-theoretic Bayesian optimization.

Please cite our paper if you would like to use the code.

@inproceedings{ru2018fast,
  title={Fast Information-theoretic Bayesian Optimisation},
  author={Ru, Binxin and McLeod, Mark and Granziol, Diego and Osborne, Michael A.},
  booktitle={International Conference on Machine Learning (ICML)},
  year={2018}
}

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