Global Variance as a Utility Function in Bayesian Optimization
A Gaussian-process surrogate model based on already acquired data is employed to approximate an unknown target surface. In order to optimally locate the next function evaluations in parameter space a whole variety of utility functions are at one’s disposal. However, good choice of a specific utility or a certain combination of them prepares the fastest way to determine a best surrogate surface or its extremum for lowest amount of additional data possible. In this paper, we propose to consider the global (integrated) variance as an utility function, i.e., to integrate the variance of the surrogate over a finite volume in parameter space. It turns out that this utility not only complements the tool set for fine tuning investigations in a region of interest but expedites the optimization procedure in toto.