Related papers: A Lipschitz Exploration-Exploitation Scheme for Ba…
Not all generate-and-test search algorithms are created equal. Bayesian Optimization (BO) invests a lot of computation time to generate the candidate solution that best balances the predicted value and the uncertainty given all previous…
Bayesian optimization (BO) is a well-established method to optimize black-box functions whose direct evaluations are costly. In this paper, we tackle the problem of incorporating expert knowledge into BO, with the goal of further…
Real world experiments are expensive, and thus it is important to reach a target in minimum number of experiments. Experimental processes often involve control variables that changes over time. Such problems can be formulated as a…
Bilevel optimization, a hierarchical mathematical framework where one optimization problem is nested within another, has emerged as a powerful tool for modeling complex decision-making processes in various fields such as economics,…
We study function estimation in the empirical Bayes setting for Poisson and normal means. Specifically, given observations $Y_i\sim f(\cdot; \theta_i)$ with latent parameters $\theta_i\sim \pi$, the goal is to estimate…
Bayesian optimization methods allocate limited sampling budgets to maximize expensive-to-evaluate functions. One-step-lookahead policies are often used, but computing optimal multi-step-lookahead policies remains a challenge. We consider a…
Optimization in the presence of sharp (non-Lipschitz), unpredictable (w.r.t. time and amount) changes is a challenging and largely unexplored problem of great significance. We consider the class of piecewise Lipschitz functions, which is…
The infamous exploration-exploitation dilemma is one of the oldest and most important problems in reinforcement learning (RL). Deliberate and effective exploration is necessary for RL agents to succeed in most environments. However, until…
Boltzmann exploration is a classic strategy for sequential decision-making under uncertainty, and is one of the most standard tools in Reinforcement Learning (RL). Despite its widespread use, there is virtually no theoretical understanding…
A recent body of work addresses safety constraints in explore-and-exploit systems. Such constraints arise where, for example, exploration is carried out by individuals whose welfare should be balanced with overall welfare. In this paper, we…
I describe a framework for adaptive scientific exploration based on iterating an Observation--Inference--Design cycle that allows adjustment of hypotheses and observing protocols in response to the results of observation on-the-fly, as data…
Sequential quadratic optimization algorithms are proposed for solving smooth nonlinear optimization problems with equality constraints. The main focus is an algorithm proposed for the case when the constraint functions are deterministic,…
Bayesian optimisation has gained great popularity as a tool for optimising the parameters of machine learning algorithms and models. Somewhat ironically, setting up the hyper-parameters of Bayesian optimisation methods is notoriously hard.…
This paper deals with the problem of accurately determining guaranteed suboptimal values of an unknown cost function on the basis of noisy measurements. We consider a set-valued variant to regression where, instead of finding a best…
Bayesian Optimization (BO) is a powerful, sample-efficient technique to optimize expensive-to-evaluate functions. Each of the BO components, such as the surrogate model, the acquisition function (AF), or the initial design, is subject to a…
Reinforcement learning algorithms commonly seek to optimize policies for solving one particular task. How should we explore an unknown dynamical system such that the estimated model globally approximates the dynamics and allows us to solve…
Bayesian optimization has emerged at the forefront of expensive black-box optimization due to its data efficiency. Recent years have witnessed a proliferation of studies on the development of new Bayesian optimization algorithms and their…
We consider black box optimization of an unknown function in the nonparametric Gaussian process setting when the noise in the observed function values can be heavy tailed. This is in contrast to existing literature that typically assumes…
Reinforcement learning studies how to balance exploration and exploitation in real-world systems, optimizing interactions with the world while simultaneously learning how the world operates. One general class of algorithms for such learning…
We study the problem of exploration in Reinforcement Learning and present a novel model-free solution. We adopt an information-theoretical viewpoint and start from the instance-specific lower bound of the number of samples that have to be…