Related papers: Variational Entropy Search for Adjusting Expected …
Bayesian optimization (BO) is an effective approach to optimize expensive black-box functions, that seeks to trade-off between exploitation (selecting parameters where the maximum is likely) and exploration (selecting parameters where we…
We develop the framework of Indirect Query Bayesian Optimization (IQBO), a new class of Bayesian optimization problems where the integrated feedback is given via a conditional expectation of the unknown function $f$ to be optimized. The…
Existing black-box portfolio management systems are prevalent in the financial industry due to commercial and safety constraints, though their performance can fluctuate dramatically with changing market regimes. Evaluating these…
Expectation Maximization (EM) is the standard method to learn Gaussian mixtures. Yet its classic, centralized form is often infeasible, due to privacy concerns and computational and communication bottlenecks. Prior work dealt with data…
Bayesian Optimization, leveraging Gaussian process models, has proven to be a powerful tool for minimizing expensive-to-evaluate objective functions by efficiently exploring the search space. Extensions such as constrained Bayesian…
The Expectation-Maximization (EM) algorithm is a commonly used method for finding the maximum likelihood estimates of the parameters in a mixture model via coordinate ascent. A serious pitfall with the algorithm is that in the case of…
The problem of assigning probability distributions which objectively reflect the prior information available about experiments is one of the major stumbling blocks in the use of Bayesian methods of data analysis. In this paper the method of…
This paper proposes a way to combine the Mesh Adaptive Direct Search (MADS) algorithm with the Cross-Entropy (CE) method for non smooth constrained optimization. The CE method is used as a Search step by the MADS algorithm. The result of…
The optimization of expensive-to-evaluate black-box functions over combinatorial structures is an ubiquitous task in machine learning, engineering and the natural sciences. The combinatorial explosion of the search space and costly…
The expected improvement algorithm (or efficient global optimization) aims for global continuous optimization with a limited budget of black-box function evaluations. It is based on a statistical model of the function learned from previous…
Bayesian Optimization (BO) is a method for globally optimizing black-box functions. While BO has been successfully applied to many scenarios, developing effective BO algorithms that scale to functions with high-dimensional domains is still…
Scalable and effective exploration remains a key challenge in reinforcement learning (RL). While there are methods with optimality guarantees in the setting of discrete state and action spaces, these methods cannot be applied in…
Expectation-Maximization (EM) algorithm is a widely used iterative algorithm for computing maximum likelihood estimate when dealing with Gaussian Mixture Model (GMM). When the sample size is smaller than the data dimension, this could lead…
The increasing availability of graph-structured data motivates the task of optimising over functions defined on the node set of graphs. Traditional graph search algorithms can be applied in this case, but they may be sample-inefficient and…
We consider Bayesian optimization of objective functions of the form $\rho[ F(x, W) ]$, where $F$ is a black-box expensive-to-evaluate function and $\rho$ denotes either the VaR or CVaR risk measure, computed with respect to the randomness…
A plethora of applications entail solving black-box optimization problems with high evaluation costs, including drug discovery, material design, as well as hyperparameter tuning. Toward finding the global optimum of such black-box…
Inference networks of traditional Variational Autoencoders (VAEs) are typically amortized, resulting in relatively inaccurate posterior approximation compared to instance-wise variational optimization. Recent semi-amortized approaches were…
Mixture models with Gamma and or inverse-Gamma distributed mixture components are useful for medical image tissue segmentation or as post-hoc models for regression coefficients obtained from linear regression within a Generalised Linear…
Many real-life decision-making situations allow further relevant information to be acquired at a specific cost, for example, in assessing the health status of a patient we may decide to take additional measurements such as diagnostic tests…
This paper proposes and evaluates the k-greedy equivalence search algorithm (KES) for learning Bayesian networks (BNs) from complete data. The main characteristic of KES is that it allows a trade-off between greediness and randomness, thus…