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Adaptive multi-fidelity optimization with fast learning rates Enhancing AI and Dynamical Subseasonal Forecasts with Probabilistic Bias Correction Sample Complexity Bounds for Stochastic Shortest Path with a Generative Model The Harder Path: Last Iterate Convergence for Uncoupled Learning in Zero-Sum Games with Bandit Feedback Stylistic-STORM (ST-STORM) : Perceiving the Semantic Nature of Appearance Collective Kernel EFT for Pre-activation ResNets PRIM-cipal components analysis One-Shot Generative Flows: Existence and Obstructions Structural interpretability in SVMs with truncated orthogonal polynomial kernels Amortized Optimal Transport from Sliced Potentials MinShap: A Modified Shapley Value Approach for Feature Selection Unsupervised feature selection using Bayesian Tucker decomposition Multi-User mmWave Beam and Rate Adaptation via Combinatorial Satisficing Bandits Best of both worlds: Stochastic & adversarial best-arm identification Scalable Model-Based Clustering with Sequential Monte Carlo Expert-Guided Class-Conditional Goodness-of-Fit Scores for Interpretable Classification with Informative Missingness: An Application to Seismic Monitoring Lightweight Geometric Adaptation for Training Physics-Informed Neural Networks Gating Enables Curvature: A Geometric Expressivity Gap in Attention Zeroth-Order Optimization at the Edge of Stability Differentially Private Conformal Prediction CLion: Efficient Cautious Lion Optimizer with Enhanced Generalization Generative Augmented Inference Improving Machine Learning Performance with Synthetic Augmentation PAC-MCTS: Bias-Aware Pruning for Robust LLM-Guided Search and Planning Path-Sampled Integrated Gradients Heat and Matérn Kernels on Matchings Doubly Outlier-Robust Online Infinite Hidden Markov Model Momentum Further Constrains Sharpness at the Edge of Stochastic Stability Multistage Conditional Compositional Optimization BOAT: Navigating the Sea of In Silico Predictors for Antibody Design via Multi-Objective Bayesian Optimization
Epsilon-Greedy Thompson Sampling to Bayesian Optimization
Bach Do, Taiwo Adebiyi, Ruda Zhang · 2024-03-01 · via stat.ML updates on arXiv.org

Bayesian optimization (BO) has become a powerful tool for solving simulation-based engineering optimization problems thanks to its ability to integrate physical and mathematical understandings, consider uncertainty, and address the exploitation-exploration dilemma. Thompson sampling (TS) is a preferred solution for BO to handle the exploitation-exploration trade-off. While it prioritizes exploration by generating and minimizing random sample paths from probabilistic models -- a fundamental ingredient of BO -- TS weakly manages exploitation by gathering information about the true objective function after it obtains new observations. In this work, we improve the exploitation of TS by incorporating the $\varepsilon$-greedy policy, a well-established selection strategy in reinforcement learning. We first delineate two extremes of TS, namely the generic TS and the sample-average TS. The former promotes exploration, while the latter favors exploitation. We then adopt the $\varepsilon$-greedy policy to randomly switch between these two extremes. Small and large values of $\varepsilon$ govern exploitation and exploration, respectively. By minimizing two benchmark functions and solving an inverse problem of a steel cantilever beam, we empirically show that $\varepsilon$-greedy TS equipped with an appropriate $\varepsilon$ is more robust than its two extremes, matching or outperforming the better of the generic TS and the sample-average TS.