Nonmyopic Multiclass Active Search for Diverse Discovery

Active search is a setting in adaptive experimental design where we aim to uncover members of rare, valuable class(es) subject to a budget constraint. An important consideration in this problem is diversity among the discovered targets -- in many applications, diverse discoveries offer more insight and may be preferable in downstream tasks. However, most existing active search policies either assume that all targets belong to a common positive class or encourage diversity via simple heuristics. We present a novel formulation of active search with multiple target classes, characterized by a utility function that naturally induces a preference for label diversity among discoveries via a diminishing returns mechanism. We then study this problem under the Bayesian lens and prove a hardness result for approximating the optimal policy. Finally, we propose an efficient, nonmyopic approximation to the optimal policy and demonstrate its superior empirical performance across a wide variety of experimental settings, including drug discovery.