For most of the problems for which I've tried to use Bayesian Optimization, I've had poor results because of unknown and heterogeneous noise in the underlying process that I'm trying to optimize.
I believe that modeling the noise directly using a 2nd Gaussian Process [1] could help, but I haven't gotten reliable results. I was hoping this topic would be addressed in the book, but don't see it.
I believe that modeling the noise directly using a 2nd Gaussian Process [1] could help, but I haven't gotten reliable results. I was hoping this topic would be addressed in the book, but don't see it.
[1] https://rdrr.io/cran/hetGP/