11,346 research outputs found
A Tutorial on Bayesian Optimization of Expensive Cost Functions, with Application to Active User Modeling and Hierarchical Reinforcement Learning
We present a tutorial on Bayesian optimization, a method of finding the
maximum of expensive cost functions. Bayesian optimization employs the Bayesian
technique of setting a prior over the objective function and combining it with
evidence to get a posterior function. This permits a utility-based selection of
the next observation to make on the objective function, which must take into
account both exploration (sampling from areas of high uncertainty) and
exploitation (sampling areas likely to offer improvement over the current best
observation). We also present two detailed extensions of Bayesian optimization,
with experiments---active user modelling with preferences, and hierarchical
reinforcement learning---and a discussion of the pros and cons of Bayesian
optimization based on our experiences
Adaptive sensing performance lower bounds for sparse signal detection and support estimation
This paper gives a precise characterization of the fundamental limits of
adaptive sensing for diverse estimation and testing problems concerning sparse
signals. We consider in particular the setting introduced in (IEEE Trans.
Inform. Theory 57 (2011) 6222-6235) and show necessary conditions on the
minimum signal magnitude for both detection and estimation: if is a sparse vector with non-zero components then it
can be reliably detected in noise provided the magnitude of the non-zero
components exceeds . Furthermore, the signal support can be exactly
identified provided the minimum magnitude exceeds . Notably
there is no dependence on , the extrinsic signal dimension. These results
show that the adaptive sensing methodologies proposed previously in the
literature are essentially optimal, and cannot be substantially improved. In
addition, these results provide further insights on the limits of adaptive
compressive sensing.Comment: Published in at http://dx.doi.org/10.3150/13-BEJ555 the Bernoulli
(http://isi.cbs.nl/bernoulli/) by the International Statistical
Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm
Gaussian process surrogates for failure detection: a Bayesian experimental design approach
An important task of uncertainty quantification is to identify {the
probability of} undesired events, in particular, system failures, caused by
various sources of uncertainties. In this work we consider the construction of
Gaussian {process} surrogates for failure detection and failure probability
estimation. In particular, we consider the situation that the underlying
computer models are extremely expensive, and in this setting, determining the
sampling points in the state space is of essential importance. We formulate the
problem as an optimal experimental design for Bayesian inferences of the limit
state (i.e., the failure boundary) and propose an efficient numerical scheme to
solve the resulting optimization problem. In particular, the proposed
limit-state inference method is capable of determining multiple sampling points
at a time, and thus it is well suited for problems where multiple computer
simulations can be performed in parallel. The accuracy and performance of the
proposed method is demonstrated by both academic and practical examples
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