Related papers: Epsilon-Greedy Thompson Sampling to Bayesian Optim…
Bayesian optimization (BO), which uses a Gaussian process (GP) as a surrogate to model its objective function, is popular for black-box optimization. However, due to the limitations of GPs, BO underperforms in some problems such as those…
Preference feedback, in the form of pairwise comparisons rather than scalar scores, has seen increasing use in applications such as human-, laboratory-, and expert-in-the-loop design, as well as scientific discovery. We propose a Thompson…
Thompson sampling (TS) is a simple, effective stochastic policy in Bayesian decision making. It samples the posterior belief about the reward profile and optimizes the sample to obtain a candidate decision. In continuous optimization, the…
The performance of acquisition functions for Bayesian optimisation to locate the global optimum of continuous functions is investigated in terms of the Pareto front between exploration and exploitation. We show that Expected Improvement…
Classical evolutionary approaches for multiobjective optimization are quite accurate but incur a lot of queries to the objectives; this can be prohibitive when objectives are expensive oracles. A sample-efficient approach to solving…
We consider online sequential decision problems where an agent must balance exploration and exploitation. We derive a set of Bayesian `optimistic' policies which, in the stochastic multi-armed bandit case, includes the Thompson sampling…
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…
We design and analyse variations of the classical Thompson sampling (TS) procedure for Bayesian optimisation (BO) in settings where function evaluations are expensive, but can be performed in parallel. Our theoretical analysis shows that a…
Resolving the exploration-exploitation trade-off remains a fundamental problem in the design and implementation of reinforcement learning (RL) algorithms. In this paper, we focus on model-free RL using the epsilon-greedy exploration policy,…
Bayesian optimization through Gaussian process regression is an effective method of optimizing an unknown function for which every measurement is expensive. It approximates the objective function and then recommends a new measurement point…
Bayesian optimization (BO) is a powerful framework for estimating parameters of expensive simulation models, particularly in settings where the likelihood is intractable and evaluations are costly. In stochastic models every simulation is…
Thompson sampling (TS) is a Bayesian randomized exploration strategy that samples options (e.g., system parameters or control laws) from the current posterior and then applies the selected option that is optimal for a task, thereby…
Thompson sampling (TS) has optimal regret and excellent empirical performance in multi-armed bandit problems. Yet, in Bayesian optimization, TS underperforms popular acquisition functions (e.g., EI, UCB). TS samples arms according to the…
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…
The long runtime associated with simulating multidisciplinary systems challenges the use of Bayesian optimization for multidisciplinary design optimization (MDO). This is particularly the case if the coupled system is modeled in a…
Thompson sampling is a heuristic algorithm for the multi-armed bandit problem which has a long tradition in machine learning. The algorithm has a Bayesian spirit in the sense that it selects arms based on posterior samples of reward…
Bayesian optimization devolves the global optimization of a costly objective function to the global optimization of a sequence of acquisition functions. This inner-loop optimization can be catastrophically difficult if it involves posterior…
In stochastic bandit problems, a Bayesian policy called Thompson sampling (TS) has recently attracted much attention for its excellent empirical performance. However, the theoretical analysis of this policy is difficult and its asymptotic…
The computational costs of inference and planning have confined Bayesian model-based reinforcement learning to one of two dismal fates: powerful Bayes-adaptive planning but only for simplistic models, or powerful, Bayesian non-parametric…
When applying Bayesian optimization (BO) to scientific workflow, a major yet often overlooked source of uncertainty is the task itself -- namely, what to optimize and how to evaluate it -- which can evolve as evidence accumulates. We…