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Bayesian optimization for Python

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# pyGPGO: Bayesian Optimization for Python
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![sine](http://i.giphy.com/l3q2s3MQ4bPb5RogU.gif)

pyGPGO is a simple and modular Python (>3.5) package for bayesian optimization.

Bayesian optimization is a framework that can be used in situations where:

* Your objective function may not have a closed form. (e.g. the result of a simulation)
* No gradient information is available.
* Function evaluations may be noisy.
* Evaluations are expensive (time/cost-wise)

### Installation

Retrieve the latest stable release from pyPI:

```bash
pip install pyGPGO
```

Or if you're feeling adventurous, retrieve it from this repo,

```bash
pip install git+https://github.com/hawk31/pyGPGO
```

Check our documentation in http://pygpgo.readthedocs.io/.

### Features

* Different surrogate models: Gaussian Processes, Student-t Processes, Random Forests, Gradient Boosting Machines.
* Type II Maximum-Likelihood of covariance function hyperparameters. 
* MCMC sampling for full-Bayesian inference of hyperparameters (via `pyMC3`).
* Integrated acquisition functions

### A small example!

The user only has to define a function to maximize and a dictionary specifying input space.

```python
import numpy as np
from pyGPGO.covfunc import matern32
from pyGPGO.acquisition import Acquisition
from pyGPGO.surrogates.GaussianProcess import GaussianProcess
from pyGPGO.GPGO import GPGO

def f(x, y):
    # Franke's function (https://www.mathworks.com/help/curvefit/franke.html)
    one = 0.75 * np.exp(-(9 * x - 2) ** 2 / 4 - (9 * y - 2) ** 2 / 4)
    two = 0.75 * np.exp(-(9 * x + 1) ** 2/ 49 - (9 * y + 1) / 10)
    three = 0.5 * np.exp(-(9 * x - 7) ** 2 / 4 - (9 * y -3) ** 2 / 4)
    four = 0.25 * np.exp(-(9 * x - 4) ** 2 - (9 * y - 7) ** 2)
    return one + two + three - four

cov = matern32()
gp = GaussianProcess(cov)
acq = Acquisition(mode='ExpectedImprovement')
param = {'x': ('cont', [0, 1]),
         'y': ('cont', [0, 1])}

np.random.seed(1337)
gpgo = GPGO(gp, acq, f, param)
gpgo.run(max_iter=10)

```

Check the `tutorials` and `examples` folders for more ideas on how to use the software.

### Citation

If you use pyGPGO in academic work please cite:

Jiménez, J., & Ginebra, J. (2017). pyGPGO: Bayesian Optimization for Python. The Journal of Open Source Software, 2, 431.

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