Reminder: Alex Terenin visit + talk today

[Alexandre Capone]

Hi all,

Alex Terenin from Cornell will be visiting us this week. He will be here
from today until Friday, 2 August. His office will be in NSH 3127. He will
also give a talk during today’a brainstorming session at GHC 8115 starting
at 3:30. 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
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