We provide the supplements of "Contextual Gaussian Process Bandits with Neural Networks" here. Specifically, we discuss alternative acquisition functions that can be incorporated with the neural network-accompanied Gaussian process (NN-AGP) model in Section 6. In Section 7, we discuss the bandit algorithm with NN-AGP, where the neural network approximation error is considered. In Section 8, we provide the detailed proof of theorems. We provide the experimental details and include additional numerical experiments in Section 9. Last we discuss the limitations of NN-AGP and propose the potential approaches to addressing the limitations for future work, including sparse NN-AGP for alleviating computational burdens and transfer learning with NN-AGP to address cold-start issue; see Section 10. In the main text, we employ the upper confidence bound function as the acquisition function in the contextual Bayesian optimization approach. Here, we provide two alternative choices: Thompson sampling (TS) and knowledge gradient (KG). We describe the two procedures of the contextual GP bandit problems with NN-AGP, where the acquisition function is replaced by TS or KG. It chooses the action that maximizes the expected reward with respect to a random belief that is drawn for a posterior distribution. Besides the multi-armed bandit problems, TS has also achieved both theoretical and practical success in BO and Gaussian process regression. For more detailed discussions on TS, we refer to [87, 88]. Specifically, we propose a neural network-accompanied Gaussian process Thompson sampling (NNAGP-TS) approach to address contextual GP bandits. The approach works as follows. In each iteration, NN-AGP-TS first fits an NN-AGP model with the historic data. Then, given the current contextual variable, a realization of the Gaussian process with respect to x X is sampled from the posterior distribution conditional on the historic data1.

Probabilistic circuits (PCs) are a tractable representation of probability distributions allowing for exact and efficient computation of likelihoods and marginals. There has been significant recent progress on improving the scale and expressiveness of PCs.

A nonparametric model using a sequence of Bernstein polynomials is constructed to approximate arbitrary isotropic covariance functions valid in $\mathbb{R}^\infty$ and related approximation properties are investigated using the popular $L_{\infty}$ norm and $L_2$ norms. A computationally efficient sieve maximum likelihood (sML) estimation is then developed to nonparametrically estimate the unknown isotropic covaraince function valid in $\mathbb{R}^\infty$. Consistency of the proposed sieve ML estimator is established under increasing domain regime. The proposed methodology is compared numerically with couple of existing nonparametric as well as with commonly used parametric methods. Numerical results based on simulated data show that our approach outperforms the parametric methods in reducing bias due to model misspecification and also the nonparametric methods in terms of having significantly lower values of expected $L_{\infty}$ and $L_2$ norms. Application to precipitation data is illustrated to showcase a real case study. Additional technical details and numerical illustrations are also made available.

Provably efficient Model-Based Reinforcement Learning (MBRL) based on optimism or posterior sampling (PSRL) is ensured to attain the global optimality asymptotically by introducing the complexity measure of the model. However, the complexity might grow exponentially for the simplest nonlinear models, where global convergence is impossible within finite iterations. When the model suffers a large generalization error, which is quantitatively measured by the model complexity, the uncertainty can be large. The sampled model that current policy is greedily optimized upon will thus be unsettled, resulting in aggressive policy updates and over-exploration. In this work, we propose Conservative Dual Policy Optimization (CDPO) that involves a Referential Update and a Conservative Update. The policy is first optimized under a reference model, which imitates the mechanism of PSRL while offering more stability. A conservative range of randomness is guaranteed by maximizing the expectation of model value. Without harmful sampling procedures, CDPO can still achieve the same regret as PSRL. More importantly, CDPO enjoys monotonic policy improvement and global optimality simultaneously.

Many of the causal discovery methods rely on the faithfulness assumption to guarantee asymptotic correctness. However, the assumption can be approximately violated in many ways, leading to sub-optimal solutions. Although there is a line of research in Bayesian network structure learning that focuses on weakening the assumption, such as exact search methods with well-defined score functions, they do not scale well to large graphs. In this work, we introduce several strategies to improve the scalability of exact score-based methods in the linear Gaussian setting. In particular, we develop a super-structure estimation method based on the support of inverse covariance matrix which requires assumptions that are strictly weaker than faithfulness, and apply it to restrict the search space of exact search. We also propose a local search strategy that performs exact search on the local clusters formed by each variable and its neighbors within two hops in the superstructure. Numerical experiments validate the efficacy of the proposed procedure, and demonstrate that it scales up to hundreds of nodes with a high accuracy.