AbstractIn many real world problems, we want to infer some property of an expensive black-box function f, given a budget of T function evaluations. One example is budget constrained global optimization of f, for which Bayesian optimization is a popular method. Other properties of interest include local optima, level sets, integrals, or graph-structured information induced by f. Often, we can find an algorithm A to compute the desired property, but it may require far more than T queries to execute. Given such an A, and a prior distribution over f, we refer to the problem of inferring the output of A using T evaluations as Bayesian Algorithm Execution (BAX). In this talk, we present a procedure for this task, InfoBAX, that sequentially chooses queries that maximize mutual information with respect to the algorithm’s output. Applying this to Dijkstra’s algorithm, for instance, we infer shortest paths in synthetic and real-world graphs with black-box edge costs. Using evolution strategies, we yield variants of Bayesian optimization that target local, rather than global, optima. We discuss InfoBAX, and give background on other information-based methods for Bayesian optimization as well as on the probabilistic uncertainty models which underlie these methods.
BioWillie Neiswanger is a postdoc at Stanford University’s Computer Science Department, hosted by Stefano Ermon. He received his PhD from Carnegie Mellon University. Willie works on probabilistic machine learning, uncertainty quantification, and decision making.