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[Docs] Add source of LogEI formula #1164

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benjamc opened this issue Nov 20, 2024 · 4 comments
Open

[Docs] Add source of LogEI formula #1164

benjamc opened this issue Nov 20, 2024 · 4 comments
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@benjamc
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benjamc commented Nov 20, 2024

Why: LogEI looks weird, we need an explanation

Assumptions: log-normal observations

Ancient: Efficient Global Optimization of Expensive Black-Box Functions [Jones et al., 1998]: EI formula ("derived by integrations")
Source: An Experimental Investigation of Model-Based Parameter Optimisation: SPO and Beyond [Hutter et al., ???]
Reference: Sequential Model-Based Optimization for General Algorithm Configuration [Hutter et al., 2011]

@benjamc benjamc added the documentation Documentation is needed/added. label Nov 20, 2024
@benjamc benjamc added this to the v2.3 milestone Nov 20, 2024
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benjamc commented Nov 20, 2024

@KEggensperger'

Wouldn't EILog be a descriptive name (to emphasize that this is EI of a logged value)? And then we can also have LogEILog.

Derivation from @nabenabe0928 attached
memo.pdf

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nabenabe0928 commented Nov 20, 2024

memo.pdf

@benjamc @KEggensperger
The derivation above would be more precise and it is with the citation of the original paper as well.

@benjamc benjamc moved this to Planned in SMAC board Nov 27, 2024
@benjamc benjamc self-assigned this Nov 27, 2024
@nabenabe0928
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@benjamc
I published the derivation as an arXiv paper!

https://arxiv.org/abs/2411.18095

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benjamc commented Dec 4, 2024

Awesome, thanks @nabenabe0928 !

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