Theoretical Analysis of Bayesian Optimisation with Unknown Gaussian Process Hyper-Parameters

Bayesian optimisation has gained great popularity as a tool for optimising the parameters of machine learning algorithms and models. Somewhat ironically, setting up the hyper-parameters of Bayesian optimisation methods is notoriously hard. While reasonable practical solutions have been advanced, they can often fail to find the best optima. Surprisingly, there is little theoretical analysis of this crucial problem in the literature. To address this, we derive a cumulative regret bound for Bayesian optimisation with Gaussian processes and unknown kernel hyper-parameters in the stochastic setting. The bound, which applies to the expected improvement acquisition function and sub-Gaussian observation noise, provides us with guidelines on how to design hyper-parameter estimation methods. A simple simulation demonstrates the importance of following these guidelines.Comment: 16 pages, 1 figur

Portfolio Allocation for Bayesian Optimization

Bayesian optimization with Gaussian processes has become an increasingly popular tool in the machine learning community. It is efficient and can be used when very little is known about the objective function, making it popular in expensive black-box optimization scenarios. It uses Bayesian methods to sample the objective efficiently using an acquisition function which incorporates the model's estimate of the objective and the uncertainty at any given point. However, there are several different parameterized acquisition functions in the literature, and it is often unclear which one to use. Instead of using a single acquisition function, we adopt a portfolio of acquisition functions governed by an online multi-armed bandit strategy. We propose several portfolio strategies, the best of which we call GP-Hedge, and show that this method outperforms the best individual acquisition function. We also provide a theoretical bound on the algorithm's performance.Comment: This revision contains an updated the performance bound and other minor text change

Information Acquisition with Sensing Robots: Algorithms and Error Bounds

Utilizing the capabilities of configurable sensing systems requires addressing difficult information gathering problems. Near-optimal approaches exist for sensing systems without internal states. However, when it comes to optimizing the trajectories of mobile sensors the solutions are often greedy and rarely provide performance guarantees. Notably, under linear Gaussian assumptions, the problem becomes deterministic and can be solved off-line. Approaches based on submodularity have been applied by ignoring the sensor dynamics and greedily selecting informative locations in the environment. This paper presents a non-greedy algorithm with suboptimality guarantees, which does not rely on submodularity and takes the sensor dynamics into account. Our method performs provably better than the widely used greedy one. Coupled with linearization and model predictive control, it can be used to generate adaptive policies for mobile sensors with non-linear sensing models. Applications in gas concentration mapping and target tracking are presented.Comment: 9 pages (two-column); 2 figures; Manuscript submitted to the 2014 IEEE International Conference on Robotics and Automatio