How to implement a custom acquisition Function for the bayesopt package in Matlab

I wish to solve a Multi-Objective Optimization problem using Bayesian Optimization, according to this paper 'http://ieeexplore.ieee.org/abstract/document/6630691/' here the author has defined a custom acquisition function, is there a way to have a custom acquisition function in MATLAB or any way to circumvent bayesopt for Multi-Objective Problems.

Answer 1

[Alan Weiss]

As documented, there is no way to use your own custom acquisition function in bayesopt. Sorry. The only way that I know to get around this is to write a whole Bayesian optimization algorithm yourself.

Alan Weiss

MATLAB mathematical toolbox documentation