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Optimization of high-dimensional black-box functions is an extremely challenging problem. While Bayesian optimization has emerged as a popular approach for optimizing black-box functions, its applicability has been limited to…
Is incentive compatibility still necessary for implementation if we relax the rational expectations assumption? This paper proposes a generalized model of implementation that does not assume agents hold rational expectations and…
Bayesian models often involve a small set of hyperparameters determined by maximizing the marginal likelihood. Bayesian optimization is a popular iterative method where a Gaussian process posterior of the underlying function is sequentially…
Approximate Bayesian computation (ABC) is a family of computational techniques in Bayesian statistics. These techniques allow to fi t a model to data without relying on the computation of the model likelihood. They instead require to…
Bayesian calibration of black-box computer models offers an established framework to obtain a posterior distribution over model parameters. Traditional Bayesian calibration involves the emulation of the computer model and an additive model…
We consider Bayesian optimization of an expensive-to-evaluate black-box objective function, where we also have access to cheaper approximations of the objective. In general, such approximations arise in applications such as reinforcement…
Autonomous multi-agent systems are fundamentally fragile: they struggle to solve the Hayekian Information problem (eliciting dispersed private knowledge) and the Hurwiczian Incentive problem (aligning local actions with global objectives),…
When subjected to automated decision-making, decision subjects may strategically modify their observable features in ways they believe will maximize their chances of receiving a favorable decision. In many practical situations, the…
While the Bayesian Information Criterion (BIC) and Akaike Information Criterion (AIC) are powerful tools for model selection in linear regression, they are built on different prior assumptions and thereby apply to different data generation…
In many real-world problems, we want to infer some property of an expensive black-box function $f$, given a budget of $T$ function evaluations. One example is budget constrained global optimization of $f$, for which Bayesian optimization is…
In discrete-variable black-box optimization, the number of candidate solutions grows combinatorially, while each evaluation is often expensive. Therefore, it is important to identify promising solutions efficiently within a limited number…
Mechanism design for one-sided markets has been investigated for several decades in economics and in computer science. More recently, there has been an increased attention on mechanisms for two-sided markets, in which buyers and sellers act…
Optimizing discrete black-box functions is key in several domains, e.g. protein engineering and drug design. Due to the lack of gradient information and the need for sample efficiency, Bayesian optimization is an ideal candidate for these…
We study the design of mechanisms in combinatorial auction domains. We focus on settings where the auction is repeated, motivated by auctions for licenses or advertising space. We consider models of agent behaviour in which they either…
We develop efficient algorithms to construct utility maximizing mechanisms in the presence of risk averse players (buyers and sellers) in Bayesian settings. We model risk aversion by a concave utility function, and players play…
There is a great need for improved statistical sampling in a range of physical, chemical and biological systems. Even simulations based on correct algorithms suffer from statistical error, which can be substantial or even dominant when slow…
We consider a social planner faced with a stream of myopic selfish agents. The goal of the social planner is to maximize the social welfare, however, it is limited to using only information asymmetry (regarding previous outcomes) and cannot…
Approximate Competitive Equilibrium from Equal Incomes (A-CEEI) is an equilibrium-based solution concept for fair division of discrete items to agents with combinatorial demands. In theory, it is known that in asymptotically large markets:…
In the machine learning algorithms, the choice of the hyperparameter is often an art more than a science, requiring labor-intensive search with expert experience. Therefore, automation on hyperparameter optimization to exclude human…
Many real-world optimisation problems such as hyperparameter tuning in machine learning or simulation-based optimisation can be formulated as expensive-to-evaluate black-box functions. A popular approach to tackle such problems is Bayesian…