Books

• Bayesian Decision-making Algorithms - Alexander Terenin, 2026. Working draft on Bayesian decision making algorithms, including decision-making under uncertainty and explore-exploit tradeoffs.
• Bayesian Optimization - Roman Garnett, 2023. Theory-first textbook with a free HTML edition.
• Bayesian Optimization in Action - Quan Nguyen, 2023. Practitioner book with Python examples.
• Bayesian Optimization: Theory and Practice Using Python - Peng Liu, 2023. Walkthrough of implementing BO in Python.
• Bayesian Approach to Global Optimization - Jonas Mockus, 1989. The classical monograph that introduced much of the modern framing.
• Probabilistic Numerics - Hennig, Osborne, and Kersting, 2022. BO as a numerical method, with GPs and quadrature.