Optimal Learning for Stochastic Optimization with Nonlinear Parametric Belief Models
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Abstract: We consider the problem of estimating the expected value of information (the knowledge gradient) for Bayesian learning problems where the belief model is nonlinear in the parameters. Our goal is to maximize some metric, while simultaneously learning the unknown parameters of the nonlinear belief model, by guiding a sequential experimentation process which is expensive. We overcome the problem of computing the expected value of an experiment, which is computationally intractable, by using a sampled approximation, which helps to guide experiments but does not provide an accurate estimate of the unknown parameters. We then introduce a resampling process which allows the sampled model to adapt to new information, exploiting past experiments. We show theoretically that the method converges asymptotically to the true parameters, while simultaneously maximizing our metric. We show empirically that the process exhibits rapid convergence, yielding good results with a very small number of experiments.
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- scientific article; zbMATH DE number 1906319 (Why is no real title available?)
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Cited in
(8)- Optimal learning with local nonlinear parametric models over continuous designs
- Optimal learning in linear regression with combinatorial feature selection
- On ε-Optimality of the Pursuit Learning Algorithm
- Optimal learning for sequential sampling with non-parametric beliefs
- Optimal learning with a local parametric belief model
- Optimal learning for nonlinear parametric belief models over multidimensional continuous spaces
- Optimal online learning for nonlinear belief models using discrete priors
- Optimal learning in experimental design using the knowledge gradient policy with application to characterizing nanoemulsion stability
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