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Parallelisation in Bayesian optimisation is a common strategy but faces several challenges: the need for flexibility in acquisition functions and kernel choices, flexibility dealing with discrete and continuous variables simultaneously, model misspecification, and lastly fast massive parallelisation. To address these challenges, we introduce a versatile and modular framework for batch Bayesian optimisation via probabilistic lifting with kernel quadrature, called SOBER, which we present as a Python library based on GPyTorch/BoTorch. Our framework offers the following unique benefits: (1) Versatility in downstream tasks under a unified approach. (2) A gradient-free sampler, which does not require the gradient of acquisition functions, offering domain-agnostic sampling (e.g., discrete and mixed variables, non-Euclidean space). (3) Flexibility in domain prior distribution. (4) Adaptive batch size (autonomous determination of the optimal batch size). (5) Robustness against a misspecified reproducing kernel Hilbert space. (6) Natural stopping criterion., Comment: This work is the journal extension of the workshop paper (arXiv:2301.11832) and AISTATS paper (arXiv:2306.05843). 48 pages, 11 figures

We develop an online learning MCMC approach applicable for hierarchical bayesian models and GLMS. We also develop a fat-tailed LTV model that generalizes over several kinds of fat and thin tails. We demonstrate both developments on commercial LTV data from a large mobile app., Comment: Work in progress

Like many optimizers, Bayesian optimization often falls short of gaining user trust due to opacity. While attempts have been made to develop human-centric optimizers, they typically assume user knowledge is well-specified and error-free, employing users mainly as supervisors of the optimization process. We relax these assumptions and propose a more balanced human-AI partnership with our Collaborative and Explainable Bayesian Optimization (CoExBO) framework. Instead of explicitly requiring a user to provide a knowledge model, CoExBO employs preference learning to seamlessly integrate human insights into the optimization, resulting in algorithmic suggestions that resonate with user preference. CoExBO explains its candidate selection every iteration to foster trust, empowering users with a clearer grasp of the optimization. Furthermore, CoExBO offers a no-harm guarantee, allowing users to make mistakes; even with extreme adversarial interventions, the algorithm converges asymptotically to a vanilla Bayesian optimization. We validate CoExBO's efficacy through human-AI teaming experiments in lithium-ion battery design, highlighting substantial improvements over conventional methods. Code is available https://github.com/ma921/CoExBO., Comment: Accepted at AISTATS 2024, 24 pages, 11 figures

Active learning parallelization is widely used, but typically relies on fixing the batch size throughout experimentation. This fixed approach is inefficient because of a dynamic trade-off between cost and speed -- larger batches are more costly, smaller batches lead to slower wall-clock run-times -- and the trade-off may change over the run (larger batches are often preferable earlier). To address this trade-off, we propose a novel Probabilistic Numerics framework that adaptively changes batch sizes. By framing batch selection as a quadrature task, our integration-error-aware algorithm facilitates the automatic tuning of batch sizes to meet predefined quadrature precision objectives, akin to how typical optimizers terminate based on convergence thresholds. This approach obviates the necessity for exhaustive searches across all potential batch sizes. We also extend this to scenarios with constrained active learning and constrained optimization, interpreting constraint violations as reductions in the precision requirement, to subsequently adapt batch construction. Through extensive experiments, we demonstrate that our approach significantly enhances learning efficiency and flexibility in diverse Bayesian batch active learning and Bayesian optimization applications., Comment: Accepted at AISTATS 2024. 33 pages, 6 figures

Batch Bayesian optimisation and Bayesian quadrature have been shown to be sample-efficient methods of performing optimisation and quadrature where expensive-to-evaluate objective functions can be queried in parallel. However, current methods do not scale to large batch sizes -- a frequent desideratum in practice (e.g. drug discovery or simulation-based inference). We present a novel algorithm, SOBER, which permits scalable and diversified batch global optimisation and quadrature with arbitrary acquisition functions and kernels over discrete and mixed spaces. The key to our approach is to reformulate batch selection for global optimisation as a quadrature problem, which relaxes acquisition function maximisation (non-convex) to kernel recombination (convex). Bridging global optimisation and quadrature can efficiently solve both tasks by balancing the merits of exploitative Bayesian optimisation and explorative Bayesian quadrature. We show that SOBER outperforms 11 competitive baselines on 12 synthetic and diverse real-world tasks., Comment: 34 pages, 12 figures

A wide variety of battery models are available, and it is not always obvious which model `best' describes a dataset. This paper presents a Bayesian model selection approach using Bayesian quadrature. The model evidence is adopted as the selection metric, choosing the simplest model that describes the data, in the spirit of Occam's razor. However, estimating this requires integral computations over parameter space, which is usually prohibitively expensive. Bayesian quadrature offers sample-efficient integration via model-based inference that minimises the number of battery model evaluations. The posterior distribution of model parameters can also be inferred as a byproduct without further computation. Here, the simplest lithium-ion battery models, equivalent circuit models, were used to analyse the sensitivity of the selection criterion to given different datasets and model configurations. We show that popular model selection criteria, such as root-mean-square error and Bayesian information criterion, can fail to select a parsimonious model in the case of a multimodal posterior. The model evidence can spot the optimal model in such cases, simultaneously providing the variance of the evidence inference itself as an indication of confidence. We also show that Bayesian quadrature can compute the evidence faster than popular Monte Carlo based solvers., Comment: 11 pages, 2 figures, accepted at IFAC2023

Calculation of Bayesian posteriors and model evidences typically requires numerical integration. Bayesian quadrature (BQ), a surrogate-model-based approach to numerical integration, is capable of superb sample efficiency, but its lack of parallelisation has hindered its practical applications. In this work, we propose a parallelised (batch) BQ method, employing techniques from kernel quadrature, that possesses an empirically exponential convergence rate. Additionally, just as with Nested Sampling, our method permits simultaneous inference of both posteriors and model evidence. Samples from our BQ surrogate model are re-selected to give a sparse set of samples, via a kernel recombination algorithm, requiring negligible additional time to increase the batch size. Empirically, we find that our approach significantly outperforms the sampling efficiency of both state-of-the-art BQ techniques and Nested Sampling in various real-world datasets, including lithium-ion battery analytics., Comment: 38 pages, 6 figures

Many Bayesian inference problems involve target distributions whose density functions are computationally expensive to evaluate. Replacing the target density with a local approximation based on a small number of carefully chosen density evaluations can significantly reduce the computational expense of Markov chain Monte Carlo (MCMC) sampling. Moreover, continual refinement of the local approximation can guarantee asymptotically exact sampling. We devise a new strategy for balancing the decay rate of the bias due to the approximation with that of the MCMC variance. We prove that the error of the resulting local approximation MCMC (LA-MCMC) algorithm decays at roughly the expected $1/\sqrt{T}$ rate, and we demonstrate this rate numerically. We also introduce an algorithmic parameter that guarantees convergence given very weak tail bounds, significantly strengthening previous convergence results. Finally, we apply LA-MCMC to a computationally intensive Bayesian inverse problem arising in groundwater hydrology., Comment: 32 pages, 17 figures

In a variety of application areas, there is a growing interest in analyzing high dimensional sparse count data, with sparsity exhibited by an over-abundance of zeros and small non-zero counts. Existing approaches for analyzing multivariate count data via Poisson or negative binomial log-linear hierarchical models with zero-inflation cannot flexibly adapt to the level and nature of sparsity in the data. We develop a new class of continuous local-global shrinkage priors tailored for sparse counts. Theoretical properties are assessed, including posterior concentration, stronger control on false discoveries in multiple testing, robustness in posterior mean and super-efficiency in estimating the sampling density. Simulation studies illustrate excellent small sample properties relative to competitors. We apply the method to detect rare mutational hotspots in exome sequencing data and to identify cities most impacted by terrorism., Comment: 20 pages, 7 figures, 2 tables. (This version has a new result regarding tighter control on false discoveries and another real data example. Additional proofs and examples are given in the supplementary file.)

We provide a framework for assessing the default nature of a prior distribution using the property of regular variation, which we study for global-local shrinkage priors. In particular, we demonstrate the horseshoe priors, originally designed to handle sparsity, also possess regular variation and thus are appropriate for default Bayesian analysis. To illustrate our methodology, we solve a problem of non-informative priors due to Efron (1973), who showed standard flat non-informative priors in high-dimensional normal means model can be highly informative for nonlinear parameters of interest. We consider four such problems and show global-local shrinkage priors such as the horseshoe and horseshoe+ perform as Efron (1973) requires in each case. We find the reason for this lies in the ability of the global-local shrinkage priors to separate a low-dimensional signal embedded in high-dimensional noise, even for nonlinear functions., Comment: 28 pages, 7 figures, 6 tables