Sébastien Petit

Simple-regret rates and minimax optimality of fixed-prior expected improvement in Matérn and squared-exponential RKHSs

Emmanuel Vazquez, Sébastien Petit

We study the expected improvement (EI) policy for minimizing a deterministic objective function $f$ on a nonempty compact set $\mathcal X \subset\mathbb R^d$. We assume that $f$ belongs to the RKHS $\mathcal H_k$ of a continuous positive-semidefinite kernel $k$ on $\mathcal X$. F…Read more