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Variational Entropy Search for Adjusting Expected Improvement
Feb 17, 2024
Bayesian optimization is a widely used technique for optimizing black-box functions, with Expected Improvement (EI) being the most commonly utilized acquisition function in this domain. While EI is often viewed as distinct from other information-theoretic acquisition functions, such as entropy search (ES) and max-value entropy search (MES), our work reveals that EI can be considered a special case of MES when approached through variational inference (VI). In this context, we have developed the Variational Entropy Search (VES) methodology and the VES-Gamma algorithm, which adapts EI by incorporating principles from information-theoretic concepts. The efficacy of VES-Gamma is demonstrated across a variety of test functions and read datasets, highlighting its theoretical and practical utilities in Bayesian optimization scenarios.
Bi-fidelity Variational Auto-encoder for Uncertainty Quantification
May 25, 2023
Quantifying the uncertainty of quantities of interest (QoIs) from physical systems is a primary objective in model validation. However, achieving this goal entails balancing the need for computational efficiency with the requirement for numerical accuracy. To address this trade-off, we propose a novel bi-fidelity formulation of variational auto-encoders (BF-VAE) designed to estimate the uncertainty associated with a QoI from low-fidelity (LF) and high-fidelity (HF) samples of the QoI. This model allows for the approximation of the statistics of the HF QoI by leveraging information derived from its LF counterpart. Specifically, we design a bi-fidelity auto-regressive model in the latent space that is integrated within the VAE's probabilistic encoder-decoder structure. An effective algorithm is proposed to maximize the variational lower bound of the HF log-likelihood in the presence of limited HF data, resulting in the synthesis of HF realizations with a reduced computational cost. Additionally, we introduce the concept of the bi-fidelity information bottleneck (BF-IB) to provide an information-theoretic interpretation of the proposed BF-VAE model. Our numerical results demonstrate that BF-VAE leads to considerably improved accuracy, as compared to a VAE trained using only HF data when limited HF data is available.