Bayesian Optimization with Noise-Free Observations: Improved Regret Bounds via Random Exploration

This paper studies Bayesian optimization with noise-free observations. We introduce new algorithms rooted in scattered data approximation that rely on a random exploration step to ensure that the fill-distance of query points decays at a near-optimal rate. Our algorithms retain the ease of implementation of the classical GP-UCB algorithm and satisfy cumulative regret bounds that nearly match those conjectured in arXiv:2002.05096, hence solving a COLT open problem. Furthermore, the new algorithms outperform GP-UCB and other popular Bayesian optimization strategies in several examples.

ReTaSA: A Nonparametric Functional Estimation Approach for Addressing Continuous Target Shift

The presence of distribution shifts poses a significant challenge for deploying modern machine learning models in real-world applications. This work focuses on the target shift problem in a regression setting (Zhang et al., 2013; Nguyen et al., 2016). More specifically, the target variable y (also known as the response variable), which is continuous, has different marginal distributions in the training source and testing domain, while the conditional distribution of features x given y remains the same. While most literature focuses on classification tasks with finite target space, the regression problem has an infinite dimensional target space, which makes many of the existing methods inapplicable. In this work, we show that the continuous target shift problem can be addressed by estimating the importance weight function from an ill-posed integral equation. We propose a nonparametric regularized approach named ReTaSA to solve the ill-posed integral equation and provide theoretical justification for the estimated importance weight function. The effectiveness of the proposed method has been demonstrated with extensive numerical studies on synthetic and real-world datasets.

A Variational Inference Approach to Inverse Problems with Gamma Hyperpriors

Hierarchical models with gamma hyperpriors provide a flexible, sparse-promoting framework to bridge $L^1$ and $L^2$ regularizations in Bayesian formulations to inverse problems. Despite the Bayesian motivation for these models, existing methodologies are limited to \textit{maximum a posteriori} estimation. The potential to perform uncertainty quantification has not yet been realized. This paper introduces a variational iterative alternating scheme for hierarchical inverse problems with gamma hyperpriors. The proposed variational inference approach yields accurate reconstruction, provides meaningful uncertainty quantification, and is easy to implement. In addition, it lends itself naturally to conduct model selection for the choice of hyperparameters. We illustrate the performance of our methodology in several computed examples, including a deconvolution problem and sparse identification of dynamical systems from time series data.