HEBO: Heteroscedastic Evolutionary Bayesian Optimisation

12/07/2020

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by   Alexander I. Cowen-Rivers, et al.

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We introduce HEBO: Heteroscedastic Evolutionary Bayesian Optimisation that won the NeurIPS 2020 black-box optimisation competition. We present non-conventional modifications to the surrogate model and acquisition maximisation process and show such a combination superior against all baselines provided by the Bayesmark package. Lastly, we perform an ablation study to highlight the components that contributed to the success of HEBO.