Here is a toy function. (To see the code and more plots, check out this notebook.) Figure 1: 80 random observations of a deterministic function (black) and the predicted maximal point in that function (orange), according to a Gaussian process trained on those 80 observations. Intuitively, it seems clear that this function’s highest value probably occurs when x is in the center region. But a Gaussian Process (GP) thinks the highest value is out in a more mediocre region. This isn’t just a ...
