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

Multilevel Weighted Support Vector Machine for Classification on Healthcare Data with Missing Values

This work is motivated by the needs of predictive analytics on healthcare data as represented by Electronic Medical Records. Such data is invariably problematic: noisy, with missing entries, with imbalance in classes of interests, leading to serious bias in predictive modeling. Since standard data mining methods often produce poor performance measures, we argue for development of specialized techniques of data-preprocessing and classification. In this paper, we propose a new method to simultaneously classify large datasets and reduce the effects of missing values. It is based on a multilevel framework of the cost-sensitive SVM and the expected maximization imputation method for missing values, which relies on iterated regression analyses. We compare classification results of multilevel SVM-based algorithms on public benchmark datasets with imbalanced classes and missing values as well as real data in health applications, and show that our multilevel SVM-based method produces fast, and more accurate and robust classification results.Comment: arXiv admin note: substantial text overlap with arXiv:1503.0625

Multi-Information Source Fusion and Optimization to Realize ICME: Application to Dual Phase Materials

Integrated Computational Materials Engineering (ICME) calls for the integration of computational tools into the materials and parts development cycle, while the Materials Genome Initiative (MGI) calls for the acceleration of the materials development cycle through the combination of experiments, simulation, and data. As they stand, both ICME and MGI do not prescribe how to achieve the necessary tool integration or how to efficiently exploit the computational tools, in combination with experiments, to accelerate the development of new materials and materials systems. This paper addresses the first issue by putting forward a framework for the fusion of information that exploits correlations among sources/models and between the sources and `ground truth'. The second issue is addressed through a multi-information source optimization framework that identifies, given current knowledge, the next best information source to query and where in the input space to query it via a novel value-gradient policy. The querying decision takes into account the ability to learn correlations between information sources, the resource cost of querying an information source, and what a query is expected to provide in terms of improvement over the current state. The framework is demonstrated on the optimization of a dual-phase steel to maximize its strength-normalized strain hardening rate. The ground truth is represented by a microstructure-based finite element model while three low fidelity information sources---i.e. reduced order models---based on different homogenization assumptions---isostrain, isostress and isowork---are used to efficiently and optimally query the materials design space.Comment: 19 pages, 11 figures, 5 table

Aeronautical Engineering. A continuing bibliography, supplement 115

This bibliography lists 273 reports, articles, and other documents introduced into the NASA scientific and technical information system in October 1979