Moment-Matching-Based Conjugacy Approximation for Bayesian Ranking and Selection

DOI10.1145/3149013MaRDI QIDQ6173272zbMATH OpenFDO

Authors Qiong Zhang, Yongjia Song

Publication date 21 July 2023

Published in ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1610.09400

zbMATH Keywords

approximate conjugacyBayesian learningmoment matchingranking and selection

Mathematics Subject Classification ID

Statistical ranking and selection procedures (62F07) Learning and adaptive systems in artificial intelligence (68T05)

Abstract: We study the conjugacy approximation method in the context of Bayesian ranking and selection with unknown correlations. Under the assumption of normal-inverse-Wishart prior distribution, the posterior distribution remains a normal-inverse-Wishart distribution thanks to the conjugacy property when all alternatives are sampled at each step. However, this conjugacy property no longer holds if only one alternative is sampled at a time, an appropriate setting when there is a limited budget on the number of samples. We propose two new conjugacy approximation methods based on the idea of moment matching. Both of them yield closed-form Bayesian prior updating formulas. This updating formula can then be combined with the knowledge gradient algorithm under the "value of information" framework. We conduct computational experiments to show the superiority of the proposed conjugacy approximation methods, including applications in wind farm placement and computer model calibration.

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(5)

• Conjugacy Class Prior Distributions on Metric-Based Ranking Models
• Technical note: Consistency analysis of sequential learning under approximate Bayesian inference
• Stochastically Constrained Ranking and Selection via SCORE
• A Bayesian approximation method for online ranking
• Sequential selection for accelerated life testing via approximate Bayesian inference

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