Informative Gaussian Process Planning with Lipschitz Continuous Reward Functions: Towards Unifying Adaptive Sampling, Bayesian Optimization, Active Learning, and Beyond
Bryan Lowe

In this talk, I will present a novel nonmyopic adaptive Gaussian process planning (GPP) framework endowed with a general class of Lipschitz continuous reward functions that can unify some active learning/sensing and Bayesian optimization criteria and offer practitioners some flexibility to specify their desired choices for defining new tasks/problems. In particular, it utilizes a principled Bayesian sequential decision problem framework for jointly and naturally optimizing the exploration-exploitation trade-off. In general, the resulting induced GPP policy cannot be derived exactly due to an uncountable set of candidate observations. A key contribution of our work here thus lies in exploiting the Lipschitz continuity of the reward functions to solve for a nonmyopic adaptive epsilon-optimal GPP (epsilon-GPP) policy. To plan in real time, we further propose an asymptotically optimal, branch-and- bound anytime variant of epsilon-GPP with performance guarantee. We empirically demonstrate the effectiveness of our epsilon-GPP policy and its anytime variant in Bayesian optimization and an energy harvesting task. I will conclude by briefly describing some of our ongoing works in Bayesian optimization.

2018-09-24, Jacopo Paglia