Related papers: Distributed Thompson sampling under constrained co…
This paper studies the problem of distributed multi-agent Bayesian optimization with both coupled black-box constraints and known affine constraints. A primal-dual distributed algorithm is proposed that achieves similar regret/violation…
In Bayesian optimization, Thompson sampling selects the evaluation point by sampling from the posterior distribution over the objective function maximizer. Because this sampling problem is intractable for Gaussian process (GP) surrogates,…
We study a cooperative multi-agent multi-armed bandits with M agents and K arms. The goal of the agents is to minimized the cumulative regret. We adapt a traditional Thompson Sampling algoirthm under the distributed setting. However, with…
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…
This paper studies optimization on networks modeled as metric graphs. Motivated by applications where the objective function is expensive to evaluate or only available as a black box, we develop Bayesian optimization algorithms that…
We propose an extension of Thompson sampling to optimization problems over function spaces where the objective is a known functional of an unknown operator's output. We assume that queries to the operator (such as running a high-fidelity…
Many safety-critical real-world problems, such as autonomous driving and collaborative robots, are of a distributed multi-agent nature. To optimize the performance of these systems while ensuring safety, we can cast them as distributed…
Bayesian optimization (BO) with Gaussian process (GP) surrogate models is a powerful black-box optimization method. Acquisition functions are a critical part of a BO algorithm as they determine how the new samples are selected. Some of the…
We study a widely used Bayesian optimization method, Gaussian process Thompson sampling (GP-TS), under the assumption that the objective function is a sample path from a GP. Compared with the GP upper confidence bound (GP-UCB) with…
Thompson sampling has been shown to be an effective policy across a variety of online learning tasks. Many works have analyzed the finite time performance of Thompson sampling, and proved that it achieves a sub-linear regret under a broad…
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) has well-documented merits for optimizing black-box functions with an expensive evaluation cost. Such functions emerge in applications as diverse as hyperparameter tuning, drug discovery, and robotics. BO hinges…
This paper studies a class of distributed online convex optimization problems for heterogeneous linear multi-agent systems. Agents in a network, knowing only their own outputs, need to minimize the time-varying costs through neighboring…
We consider the problem of distributedly estimating Gaussian processes in multi-agent frameworks. Each agent collects few measurements and aims to collaboratively reconstruct a common estimate based on all data. Agents are assumed with…
This paper presents a new approach for batch Bayesian Optimization (BO) called Thompson Sampling-Regret to Sigma Ratio directed sampling (TS-RSR), where we sample a new batch of actions by minimizing a Thompson Sampling approximation of a…
We address online combinatorial optimization when the player has a prior over the adversary's sequence of losses. In this framework, Russo and Van Roy proposed an information-theoretic analysis of Thompson Sampling based on the information…
We study a decentralized cooperative multi-agent multi-armed bandit problem with $K$ arms and $N$ agents connected over a network. In our model, each arm's reward distribution is same for all agents, and rewards are drawn independently…
Bayesian optimization is a technique for optimizing black-box target functions. At the core of Bayesian optimization is a surrogate model that predicts the output of the target function at previously unseen inputs to facilitate the…
Bayesian Optimization is a popular approach for optimizing expensive black-box functions. Its key idea is to use a surrogate model to approximate the objective and, importantly, quantify the associated uncertainty that allows a sequential…
Bayesian optimization has become a popular method for high-throughput computing, like the design of computer experiments or hyperparameter tuning of expensive models, where sample efficiency is mandatory. In these applications, distributed…