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GpOptimization

The MATLAB code provided here includes several optimization algorithms (purely sequential or batch) using Gaussian processes. Available algorithms include GP-UCB, EI, Chaining-UCB for sequential optimization, and GP-UCB-PE, GP-B-UCB for batch optimization. The implementation uses efficient updating formulae in order to remain scalable to a large number of training points.

Please go to http://econtal.perso.math.cnrs.fr/software/ for example of use and documentation.