Goto

Collaborating Authors

 Bayesian Learning






Forecasting Treatment Responses Over Time Using Recurrent Marginal Structural Networks

Neural Information Processing Systems

Electronic health records provide a rich source of data for machine learning methods to learn dynamic treatment responses over time.





Maximizing acquisition functions for Bayesian optimization

Neural Information Processing Systems

Bayesian optimization is a sample-efficient approach to global optimization that relies on theoretically motivated value heuristics (acquisition functions) to guide its search process. Fully maximizing acquisition functions produces the Bayes' decision rule, but this ideal is difficult to achieve since these functions are frequently non-trivial to optimize. This statement is especially true when evaluating queries in parallel, where acquisition functions are routinely non-convex, high-dimensional, and intractable. We first show that acquisition functions estimated via Monte Carlo integration are consistently amenable to gradient-based optimization. Subsequently, we identify a common family of acquisition functions, including EI and UCB, whose properties not only facilitate but justify use of greedy approaches for their maximization.