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Preferential Bayesian optimization (PBO) is a framework for optimizing a decision maker's latent utility function using preference feedback. This work introduces the expected utility of the best option (qEUBO) as a novel acquisition…

We consider sequential optimization of an unknown function in a reproducing kernel Hilbert space. We propose a Gaussian process-based algorithm and establish its order-optimal regret performance (up to a poly-logarithmic factor). This is…

Bayesian Optimization (BO) is used to find the global optima of black box functions. In this work, we propose a practical BO method of function compositions where the form of the composition is known but the constituent functions are…

Uncertainty quantification (UQ) over graphs arises in a number of safety-critical applications in network science. The Gaussian process (GP), as a classical Bayesian framework for UQ, has been developed to handle graph-structured data by…

The computational efficiency of approximate Bayesian computation (ABC) has been improved by using surrogate models such as Gaussian processes (GP). In one such promising framework the discrepancy between the simulated and observed data is…

This paper investigates a new class of modifier-adaptation schemes to overcome plant-model mismatch in real-time optimization of uncertain processes. The main contribution lies in the integration of concepts from the areas of Bayesian…

Gaussian Processes are used in many applications to model spatial phenomena. Within this context, a key issue is to decide the set of locations where to take measurements so as to obtain a better approximation of the underlying function.…

We propose constrained causal Bayesian optimization (cCBO), an approach for finding interventions in a known causal graph that optimize a target variable under some constraints. cCBO first reduces the search space by exploiting the graph…

Bayesian optimization is widely used for optimizing expensive black box functions, but most existing approaches focus on scalar responses. In many scientific and engineering settings the response is functional, varying smoothly over an…

Gaussian Process based Bayesian Optimization is a widely applied algorithm to learn and optimize under uncertainty, well-known for its sample efficiency. However, recently -- and more frequently -- research studies have empirically…

Sequential maximization of expected improvement (EI) is one of the most widely used policies in Bayesian optimization because of its simplicity and ability to handle noisy observations. In particular, the improvement function often uses the…

The exploration-exploitation trade-off is among the central challenges of reinforcement learning. The optimal Bayesian solution is intractable in general. This paper studies to what extent analytic statements about optimal learning are…

We consider the problem of sequentially optimizing a time-varying objective function using time-varying Bayesian optimization (TVBO). Current approaches to TVBO require prior knowledge of a constant rate of change to cope with stale data…

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…

Gaussian processes (GP) are a well studied Bayesian approach for the optimization of black-box functions. Despite their effectiveness in simple problems, GP-based algorithms hardly scale to high-dimensional functions, as their per-iteration…

The expected improvement (EI) algorithm is one of the most popular strategies for optimization under uncertainty due to its simplicity and efficiency. Despite its popularity, the theoretical aspects of this algorithm have not been properly…

In many real-world optimization problems, we have prior information about what objective function values are achievable. In this paper, we study the scenario that we have either exact knowledge of the minimum value or a, possibly inexact,…

Bayesian optimization is an effective methodology for the global optimization of functions with expensive evaluations. It relies on querying a distribution over functions defined by a relatively cheap surrogate model. An accurate model for…

Gaussian Boson Sampling (GBS), which can be realized with a photonic quantum computing model, perform some special kind of sampling tasks. In [4], we introduced algorithms that use GBS samples to approximate Gaussian expectation problems.…

Partially Observable Markov Decision Processes (POMDPs) are fundamental to decision-making under uncertainty. We introduce a novel scalable approach to accelerate upper bound estimation in Point-Based Value Iteration (PBVI) algorithms, the…