BayesOpt: A Library for Bayesian optimization with Robotics Applications

Abstract: The purpose of this paper is twofold. On one side, we present a general framework for Bayesian optimization and we compare it with some related fields in active learning and Bayesian numerical analysis. On the other hand, Bayesian optimization and related problems (bandits, sequential experimental design) are highly dependent on the surrogate model that is selected. However, there is no clear standard in the literature. Thus, we present a fast and flexible toolbox that allows to test and combine different models and criteria with little effort. It includes most of the state-of-the-art contributions, algorithms and models. Its speed also removes part of the stigma that Bayesian optimization methods are only good for "expensive functions". The software is free and it can be used in many operating systems and computer languages.