Variational inference (VI) is widely used as an efficient alternative to Markov chain Monte Carlo. It posits a family of approximating distributions $q$ and finds the closest member to the exact posterior $p$. Closeness is usually measured via a divergence $D(q || p)$ from $q$ to $p$. While successful, this approach also has problems. Notably, it typically leads to underestimation of the posterior variance.

Consequently, there are no theoretical guarantees so far for this class of methods.

Variational inference (VI) is widely used as an efficient alternative to Markov chain Monte Carlo. It posits a family of approximating distributions $q$ and finds the closest member to the exact posterior $p$. Closeness is usually measured via a divergence $D(q || p)$ from $q$ to $p$. While successful, this approach also has problems. Notably, it typically leads to underestimation of the posterior variance.

Neural Information Processing Systems http://nips.cc/

Neural Information Processing Systems http://nips.cc/

Bayesian optimization is a powerful tool for optimizing an expensive-to-evaluate black-box function. In particular, the effectiveness of expected improvement (EI) has been demonstrated in a wide range of applications. However, theoretical analyses of EI are limited compared with other theoretically established algorithms. This paper analyzes a randomized variant of EI, which evaluates the EI from the maximum of the posterior sample path. We show that this posterior sampling-based random EI achieves the sublinear Bayesian cumulative regret bounds under the assumption that the black-box function follows a Gaussian process. Finally, we demonstrate the effectiveness of the proposed method through numerical experiments.

Training physics-informed neural networks (PINNs) for forward problems often suffers from severe convergence issues, hindering the propagation of information from regions where the desired solution is well-defined. Haitsiukevich and Ilin (2023) proposed an ensemble approach that extends the active training domain of each PINN based on i) ensemble consensus and ii) vicinity to (pseudo-)labeled points, thus ensuring that the information from the initial condition successfully propagates to the interior of the computational domain. In this work, we suggest replacing the ensemble by a Bayesian PINN, and consensus by an evaluation of the PINN's posterior variance. Our experiments show that this mathematically principled approach outperforms the ensemble on a set of benchmark problems and is competitive with PINN ensembles trained with combinations of Adam and LBFGS.