Prof. Alex Terenin will be visiting us next week

[Jeff Schneider]

Please come to Alex Terenin's talk.  I'm looking forward to hearing it!

And thanks to Alex Capone for organizing the visit!

Jeff.


On 7/26/2024 6:14 PM, Alexandre Capone wrote:
> Hi all,
>
> Alex Terening from Cornell will be visiting us next week. He will be 
> here from Monday until Friday. His office will be in NSH 3127. He will 
> also give a talk during the brainstorming session. Here are the details:
>
> Title: Cost-aware Bayesian optimization via the Pandora's Box Gittins 
> index
>
> Abstract: Bayesian optimization is a technique for efficiently 
> optimizing unknown functions in a black-box manner. To handle 
> practical settings where gathering data requires use of finite 
> resources, it is desirable to explicitly incorporate function 
> evaluation costs into Bayesian optimization policies. To understand 
> how to do so, we develop a previously-unexplored connection between 
> cost-aware Bayesian optimization and the Pandora's Box problem, a 
> decision problem from economics. The Pandora's Box problem admits a 
> Bayesian-optimal solution based on an expression called the Gittins 
> index, which can be reinterpreted as an acquisition function. We study 
> the use of this acquisition function for cost-aware Bayesian 
> optimization, and demonstrate empirically that it performs well, 
> particularly in medium-high dimensions. We further show that this 
> performance carries over to classical Bayesian optimization without 
> explicit evaluation costs. Our work constitutes a first step towards 
> integrating techniques from Gittins index theory into Bayesian 
> optimization.
>
> Best,
> Alex