Knowledge Gradient: Nested Optimization vs. One-Shot Learning
Peng Liu · Apress eBooks · 2023
In the previous chapter, we learned the inner workings of the optimization procedure using BoTorch, highlighting the auto-differentiation mechanism and modular design of the framework. This paves the way for many new acquisition functions we can plug in and test. In this chapter, we will extend our toolkit of acquisition functions to the knowledge gradient (KG), a nonmyopic acquisition function that performs better than expected improvement (EI) in many cases.