第46回統計的機械学習セミナー / The 46th Statistical Machine Learning Seminar
- Date&Time
- 2019年7月16日(火)15:00〜16:00
/ July 16, 2019 (Tue) 15:00 - 16:00
Admission Free, No Booking Necessary
- Place
- 統計数理研究所 セミナー室5 (D313・D314)
/ Seminar room5 (D313,D314) @ The Institute of Statistical Mathematics
- Speaker
- Dr. Motonobu Kanagawa
(University of Tuebingen)
*The talk will be given in English
- Title
- Convergence Guarantees for Adaptive Bayesian Quadrature Methods
- Abstract
- Adaptive Bayesian quadrature (ABQ) is a powerful approach to numerical integration that empirically compares favorably with Monte Carlo integration on problems of medium dimensionality (where non-adaptive quadrature is not competitive). Its key ingredient is an acquisition function that changes as a function of previously collected values of the integrand. While this adaptivity appears to be empirically powerful, it complicates analysis. Consequently, there are no theoretical guarantees so far for this class of methods. In this work, for a broad class of adaptive Bayesian quadrature methods, we prove consistency, deriving non-tight but informative convergence rates. To do so we introduce a new concept we call weak adaptivity. In guaranteeing consistency of ABQ, weak adaptivity is notionally similar to the ideas of detailed balance and ergodicity in Markov Chain Monte Carlo methods, which allow sufficient conditions for consistency of MCMC. Likewise, our results identify a large and flexible class of adaptive Bayesian quadrature rules as consistent, within which practitioners can develop empirically efficient methods.(Joint work with Philipp Hennig; preprint available at https://arxiv.org/abs/1905.10271).