Related papers: Gaussian Process bandits with adaptive discretizat…

In the last five years, the financial industry has been impacted by the emergence of digitalization and machine learning. In this article, we explore two methods that have undergone rapid development in recent years: Gaussian processes and…

Bayesian optimization is an effective technique for black-box optimization, but its applicability is typically limited to low-dimensional and small-budget problems due to the cubic complexity of computing the Gaussian process (GP)…

Gaussian process upper confidence bound (GP-UCB) is widely used for sequential optimization of expensive black-box functions. Although many upper bounds on its cumulative regret have been established in the literature, whether GP-UCB is…

Achieving the full promise of the Thermodynamic Variational Objective (TVO), a recently proposed variational lower bound on the log evidence involving a one-dimensional Riemann integral approximation, requires choosing a "schedule" of…

We study the regret minimization problem in the novel setting of generalized kernelized bandits (GKBs), where we optimize an unknown function $f^*$ belonging to a reproducing kernel Hilbert space (RKHS) having access to samples generated by…

We develop a general theory to optimize the frequentist regret for sequential learning problems, where efficient bandit and reinforcement learning algorithms can be derived from unified Bayesian principles. We propose a novel optimization…

Bayesian optimization (BO) is a widely used iterative algorithm for optimizing black-box functions. Each iteration requires maximizing an acquisition function, such as the upper confidence bound (UCB) or a sample path from the Gaussian…

Building surrogate models is one common approach when we attempt to learn unknown black-box functions. Bayesian optimization provides a framework which allows us to build surrogate models based on sequential samples drawn from the function…

Bayesian optimization methods have been successfully applied to black box optimization problems that are expensive to evaluate. In this paper, we adapt the so-called super effcient global optimization algorithm to solve more accurately…

Gaussian Process (GP) models have also become extremely useful for optimization under uncertainty algorithms, especially where the objective functions are costly to compute. Yet, the more classical methods usually adopt strategies that, in…

Gaussian processes (GP) provide a prior over functions and allow finding complex regularities in data. Gaussian processes are successfully used for classification/regression problems and dimensionality reduction. In this work we consider…

We study the recovering bandits problem, a variant of the stochastic multi-armed bandit problem where the expected reward of each arm varies according to some unknown function of the time since the arm was last played. While being a natural…

This paper studies batched bandit learning problems for nondegenerate functions. We introduce an algorithm that solves the batched bandit problem for nondegenerate functions near-optimally. More specifically, we introduce an algorithm,…

In order to improve the performance of Bayesian optimisation, we develop a modified Gaussian process upper confidence bound (GP-UCB) acquisition function. This is done by sampling the exploration-exploitation trade-off parameter from a…

We consider the problem of finding an input to a stochastic black box function such that the scalar output of the black box function is as close as possible to a target value in the sense of the expected squared error. While the…

This paper integrates manifold learning techniques within a \emph{Gaussian process upper confidence bound} algorithm to optimize an objective function on a manifold. Our approach is motivated by applications where a full representation of…

Many expensive black-box optimisation problems are sensitive to their inputs. In these problems it makes more sense to locate a region of good designs, than a single-possibly fragile-optimal design. Expensive black-box functions can be…

Bayesian optimisation has proven to be a powerful tool for expensive global black-box optimisation problems. In this paper, we propose new Bayesian optimisation variants of the popular Knowledge Gradient acquisition functions for problems…

We introduce constrained Gaussian process (CGP), a Gaussian process model for random functions that allows easy placement of mathematical constrains (e.g., non-negativity, monotonicity, etc) on its sample functions. CGP comes with…

Designing efficient general-purpose contextual bandit algorithms that work with large -- or even continuous -- action spaces would facilitate application to important scenarios such as information retrieval, recommendation systems, and…