Related papers: Adaptive Candidate Point Thompson Sampling for Hig…

We investigate the problem of sampling from posterior distributions with intractable normalizing constants in Bayesian inference. Our solution is a new generative modeling approach based on optimal transport (OT) that learns a deterministic…

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…

We propose a novel sparse spectrum approximation of Gaussian process (GP) tailored for Bayesian optimization. Whilst the current sparse spectrum methods provide desired approximations for regression problems, it is observed that this…

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 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…

A new algorithm is developed to tackle the issue of sampling non-Gaussian model parameter posterior probability distributions that arise from solutions to Bayesian inverse problems. The algorithm aims to mitigate some of the hurdles faced…

Bayesian Optimization is an effective method for searching the global maxima of an objective function especially if the function is unknown. The process comprises of using a surrogate function and choosing an acquisition function followed…

We consider computationally expensive blackbox optimization problems and present a method that employs surrogate models and concurrent computing at the search step of the mesh adaptive direct search (MADS) algorithm. Specifically, we solve…

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…

How can one perform Bayesian inference on stochastic simulators with intractable likelihoods? A recent approach is to learn the posterior from adaptively proposed simulations using neural network-based conditional density estimators.…

This work studies how an AI-controlled dog-fighting agent with tunable decision-making parameters can learn to optimize performance against an intelligent adversary, as measured by a stochastic objective function evaluated on simulated…

The optimization of expensive black-box functions is ubiquitous in science and engineering. A common solution to this problem is Bayesian optimization (BO), which is generally comprised of two components: (i) a surrogate model and (ii) an…

We propose a new sampling-based approach for approximate inference in filtering problems. Instead of approximating conditional distributions with a finite set of states, as done in particle filters, our approach approximates the…

High-probability guarantees in stochastic optimization are often obtained only under strong noise assumptions such as sub-Gaussian tails. We show that such guarantees can also be achieved under the weaker assumption of bounded variance by…

Building local surrogates to accelerate stationary point searches on potential energy surfaces spans decades of effort. Done correctly, surrogates can reduce the number of expensive electronic structure evaluations by roughly an order of…

Thompson sampling (TS) is a powerful and widely used strategy for sequential decision-making, with applications ranging from Bayesian optimization to reinforcement learning (RL). Despite its success, the theoretical foundations of TS remain…

Thompson Sampling (TS) from Gaussian Process (GP) models is a powerful tool for the optimization of black-box functions. Although TS enjoys strong theoretical guarantees and convincing empirical performance, it incurs a large computational…

Task robust adaptation is a long-standing pursuit in sequential decision-making. Some risk-averse strategies, e.g., the conditional value-at-risk principle, are incorporated in domain randomization or meta reinforcement learning to…

Thompson sampling is an efficient algorithm for sequential decision making, which exploits the posterior uncertainty to address the exploration-exploitation dilemma. There has been significant recent interest in integrating Bayesian neural…

Gaussian process (GP) bandits provide a powerful framework for performing blackbox optimization of unknown functions. The characteristics of the unknown function depend heavily on the assumed GP prior. Most work in the literature assume…