Minimum Regret Search for Single- and Multi-Task Optimization

We propose minimum regret search (MRS), a novel acquisition function for Bayesian optimization. MRS bears similarities with information-theoretic approaches such as entropy search (ES). However, while ES aims in each query at maximizing the information gain with respect to the global maximum, MRS aims at minimizing the expected immediate regret of its ultimate recommendation for the optimum. While empirically ES and MRS perform similar in most of the cases, MRS produces fewer outliers with high regret than ES. We provide empirical results both for a synthetic single-task optimization problem as well as for a simulated multi-task robotic control problem.