Related papers: Risk-averse Heteroscedastic Bayesian Optimization
Safe Bayesian optimization (BO) with Gaussian processes is an effective tool for tuning control policies in safety-critical real-world systems, specifically due to its sample efficiency and safety guarantees. However, most safe BO…
We consider active learning (AL) in an uncertain environment in which trade-off between multiple risk measures need to be considered. As an AL problem in such an uncertain environment, we study Mean-Variance Analysis in Bayesian…
Bayesian Optimization (BO) is a popular approach to optimizing expensive-to-evaluate black-box functions. Despite the success of BO, its performance may decrease exponentially as the dimensionality increases. A common framework to tackle…
Several fundamental problems in science and engineering consist of global optimization tasks involving unknown high-dimensional (black-box) functions that map a set of controllable variables to the outcomes of an expensive experiment.…
Distributional shifts pose a significant challenge to achieving robustness in contemporary machine learning. To overcome this challenge, robust satisficing (RS) seeks a robust solution to an unspecified distributional shift while achieving…
Modern scientific and engineering design increasingly involves distributed optimization, where agents such as laboratories, simulations, or industrial partners pursue related goals under differing conditions. These agents often face…
Preferential Bayesian optimization (PBO) learns latent utilities from pairwise comparisons, but most existing methods assume homoscedastic comparison noise. This is inadequate in human-in-the-loop settings, where a user may compare some…
Bayesian optimization (BO) is a successful methodology to optimize black-box functions that are expensive to evaluate. While traditional methods optimize each black-box function in isolation, there has been recent interest in speeding up BO…
Safe Bayesian optimization (BO) algorithms promise to find optimal control policies without knowing the system dynamics while at the same time guaranteeing safety with high probability. In exchange for those guarantees, popular algorithms…
Bayesian optimization (BO) is an efficient method for optimizing expensive black-box functions. In real-world applications, BO often faces a major problem of missing values in inputs. The missing inputs can happen in two cases. First, the…
Bayesian optimization (BO) is a widely-used sequential method for zeroth-order optimization of complex and expensive-to-compute black-box functions. The existing BO methods assume that the function evaluation (feedback) is available to the…
Bayesian Optimization (BO) is a widely-used method for optimizing expensive-to-evaluate black-box functions. Traditional BO assumes that the learner has full control over all query variables without additional constraints. However, in many…
We propose an adaptive optimisation approach for tuning stochastic model predictive control (MPC) hyper-parameters while jointly estimating probability distributions of the transition model parameters based on performance rewards. In…
We consider derivative-free black-box global optimization of expensive noisy functions, when most of the randomness in the objective is produced by a few influential scalar random inputs. We present a new Bayesian global optimization…
Bayesian optimization (BO) is a sample efficient approach to automatically tune the hyperparameters of machine learning models. In practice, one frequently has to solve similar hyperparameter tuning problems sequentially. For example, one…
Bayesian optimization (BO) is a popular, sample-efficient technique for expensive, black-box optimization. One such problem arising in manufacturing is that of maximizing the reliability, or equivalently minimizing the probability of a…
A wide spectrum of design and decision problems, including parameter tuning, A/B testing and drug design, intrinsically are instances of black-box optimization. Bayesian optimization (BO) is a powerful tool that models and optimizes such…
Bayesian optimization (BO) is a class of sample-efficient global optimization methods, where a probabilistic model conditioned on previous observations is used to determine future evaluations via the optimization of an acquisition function.…
Bayesian optimization (BO) is a sequential approach for optimizing black-box objective functions using zeroth-order noisy observations. In BO, Gaussian processes (GPs) are employed as probabilistic surrogate models to estimate the objective…
Optimizing multiple, non-preferential objectives for mixed-variable, expensive black-box problems is important in many areas of engineering and science. The expensive, noisy, black-box nature of these problems makes them ideal candidates…