GPflowOpt: A Bayesian Optimization Library using TensorFlow

Abstract

A novel Python framework for Bayesian optimization known as GPflowOpt is introduced. The package is based on the popular GPflow library for Gaussian processes, leveraging the benefits of TensorFlow including automatic differentiation, parallelization and GPU computations for Bayesian optimization. Design goals focus on a framework that is easy to extend with custom acquisition functions and models. The framework is thoroughly tested and well documented, and provides scalability. The current released version of GPflowOpt includes some standard single-objective acquisition functions, the state-of-the-art max-value entropy search, as well as a Bayesian multi-objective approach. Finally, it permits easy use of custom modeling strategies implemented in GPflow.

References in corpus (2)

• BayesOpt: A Bayesian Optimization Library for Nonlinear Optimization, Experimental Design and Bandits
• Batch Bayesian Optimization via Local Penalization

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