Bayesian optimization example.

Three iterations of Bayesian optimization minimizing a 1D function. The figure shows a Gaussian process (GP) approximation (solid black line and blue shaded region) of the underlying objective function (dotted black line). The figure also shows the acquisition function (green). The acquisition function (GP-LCB) is the difference of the mean and variance of the GP (multiplied by a constant), which Bayesian optimization minimizes to determine where to sample next.