Conditional Bayesian Quadrature
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arXiv
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| Main Authors: | , , , |
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| Format: | Preprint |
| Published: |
2024
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| Subjects: | |
| Online Access: | |
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| _version_ | 1866911930585710592 |
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| author | Chen, Zonghao Naslidnyk, Masha Gretton, Arthur Briol, François-Xavier |
| author_facet | Chen, Zonghao Naslidnyk, Masha Gretton, Arthur Briol, François-Xavier |
| contents | We propose a novel approach for estimating conditional or parametric expectations in the setting where obtaining samples or evaluating integrands is costly. Through the framework of probabilistic numerical methods (such as Bayesian quadrature), our novel approach allows to incorporates prior information about the integrands especially the prior smoothness knowledge about the integrands and the conditional expectation. As a result, our approach provides a way of quantifying uncertainty and leads to a fast convergence rate, which is confirmed both theoretically and empirically on challenging tasks in Bayesian sensitivity analysis, computational finance and decision making under uncertainty. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2406_16530 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Conditional Bayesian Quadrature Chen, Zonghao Naslidnyk, Masha Gretton, Arthur Briol, François-Xavier Machine Learning Computation We propose a novel approach for estimating conditional or parametric expectations in the setting where obtaining samples or evaluating integrands is costly. Through the framework of probabilistic numerical methods (such as Bayesian quadrature), our novel approach allows to incorporates prior information about the integrands especially the prior smoothness knowledge about the integrands and the conditional expectation. As a result, our approach provides a way of quantifying uncertainty and leads to a fast convergence rate, which is confirmed both theoretically and empirically on challenging tasks in Bayesian sensitivity analysis, computational finance and decision making under uncertainty. |
| title | Conditional Bayesian Quadrature |
| topic | Machine Learning Computation |
| url | https://arxiv.org/abs/2406.16530 |