相关论文: Sequential Bayesian Risk Set Inference for Robust …

Bayesian optimization is a class of global optimization techniques. In Bayesian optimization, the underlying objective function is modeled as a realization of a Gaussian process. Although the Gaussian process assumption implies a random…

Ordinary differential equation (ODE) models are widely used to describe systems in many areas of science. To ensure these models provide accurate and interpretable representations of real-world dynamics, it is often necessary to infer…

Group sequential designs drive innovation in clinical, industrial, and corporate settings. Early stopping for failure in sequential designs conserves experimental resources, whereas early stopping for success accelerates access to improved…

Bayesian Optimization aims at optimizing an unknown non-convex/concave function that is costly to evaluate. We are interested in application scenarios where concurrent function evaluations are possible. Under such a setting, BO could choose…

Computer models, aiming at simulating a complex real system, are often calibrated in the light of data to improve performance. Standard calibration methods assume that the optimal values of calibration parameters are invariant to the model…

In computational inverse problems, it is common that a detailed and accurate forward model is approximated by a computationally less challenging substitute. The model reduction may be necessary to meet constraints in computing time when…

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…

The logistic specification has been used extensively in non-Bayesian statistics to model the dependence of discrete outcomes on the values of specified covariates. Because the likelihood function is globally weakly concave estimation by…

We consider chance constrained optimization where it is sought to optimize a function while complying with constraints, both of which are affected by uncertainties. The high computational cost of realistic simulations strongly limits the…

The objective of this work is to quantify the uncertainty in probability of failure estimates resulting from incomplete knowledge of the probability distributions for the input random variables. We propose a framework that couples the…

This paper proposes novel noise-free Bayesian optimization strategies that rely on a random exploration step to enhance the accuracy of Gaussian process surrogate models. The new algorithms retain the ease of implementation of the classical…

We study an optimization-based approach to construct statistically accurate confidence intervals for simulation performance measures under nonparametric input uncertainty. This approach computes confidence bounds from simulation runs driven…

Model Predictive Control evolved as the state of the art paradigm for safety critical control tasks. Control-as-Inference approaches thereof model the constrained optimization problem as a probabilistic inference problem. The constraints…

Training machine learning and statistical models often involves optimizing a data-driven risk criterion. The risk is usually computed with respect to the empirical data distribution, but this may result in poor and unstable out-of-sample…

We propose new sequential simulation-optimization algorithms for general convex optimization via simulation problems with high-dimensional discrete decision space. The performance of each choice of discrete decision variables is evaluated…

Post-market safety surveillance is an integral part of mass vaccination programs. Typically relying on sequential analysis of real-world health data as they accrue, safety surveillance is challenged by the difficulty of sequential multiple…

Several machine learning problems arising in natural language processing can be modeled as a sequence labeling problem. We provide Gaussian process models based on pseudo-likelihood approximation to perform sequence labeling. Gaussian…

We consider an unknown multivariate function representing a system-such as a complex numerical simulator-taking both deterministic and uncertain inputs. Our objective is to estimate the set of deterministic inputs leading to outputs whose…

A body of work has been done to automate machine learning algorithm to highlight the importance of model choice. Automating the process of choosing the best forecasting model and its corresponding parameters can result to improve a wide…

Variational inference techniques based on inducing variables provide an elegant framework for scalable posterior estimation in Gaussian process (GP) models. Besides enabling scalability, one of their main advantages over sparse…