论文标题
贝叶斯概率与基于树模型的数值集成
Bayesian Probabilistic Numerical Integration with Tree-Based Models
论文作者
论文摘要
贝叶斯正交(BQ)是一种以贝叶斯方式解决数值集成问题的方法,该方法允许用户量化其对解决方案的不确定性。 BQ的标准方法是基于集成剂的高斯过程(GP)近似。结果,BQ固有地限于可以有效地进行GP近似的情况,因此通常禁止非常高维或非平滑目标函数。本文建议使用基于贝叶斯添加剂树(Bart)先验的新的贝叶斯数值集成算法来解决此问题,我们称之为Bart-Int。 BART先验易于调整,并且非常适合不连续的功能。我们证明它们也自然而然地适合连续设计设置,并且可以在各种设置中获得明确的收敛速度。这种新方法的优点和缺点在包括GENZ功能在内的一组基准测试以及贝叶斯调查设计问题上强调了。
Bayesian quadrature (BQ) is a method for solving numerical integration problems in a Bayesian manner, which allows users to quantify their uncertainty about the solution. The standard approach to BQ is based on a Gaussian process (GP) approximation of the integrand. As a result, BQ is inherently limited to cases where GP approximations can be done in an efficient manner, thus often prohibiting very high-dimensional or non-smooth target functions. This paper proposes to tackle this issue with a new Bayesian numerical integration algorithm based on Bayesian Additive Regression Trees (BART) priors, which we call BART-Int. BART priors are easy to tune and well-suited for discontinuous functions. We demonstrate that they also lend themselves naturally to a sequential design setting and that explicit convergence rates can be obtained in a variety of settings. The advantages and disadvantages of this new methodology are highlighted on a set of benchmark tests including the Genz functions, and on a Bayesian survey design problem.