data to decide which experiment to perform next Probabilistic (Surrogate) Model Approximation of the true objective function O(x) ~ f(x), e.g. Gaussian process, GP(x,x') Acquisition Function Selection of the next sample point, e.g. Upper confidence bound, UCB(x') = μ(x') + κσ(x’) known J. Močkus, Optimisation Techniques 1, 400 (1974) new mean prediction exploration term (parameters to sample)