Bayesian Optimization
While Active Learning looks for the most informative points to recover a true underlying function, Bayesian Optimization is just interested to find the maximum of that function. In Bayesian Optimization, we ask for the best way to find sequentially a set of points $x_{1}, \dots, x_{n}$ to find $\max_{x \in \mathcal{X}} f(x)$ for a certain unknown function $f$. This is what the whole thing is about. Definitions First we will introduce some useful definitions in this context. These were also somewhat introduced in N-Bandit Problem, which is one of the classical optimization problems we can find in the literature. ...