arXiv:2603.12102stat.MLcs.LG2026-03

用最优传输流方法优化批量实验设计,提升高维非凸问题求解效率。

Wasserstein Gradient Flows for Batch Bayesian Optimal Experimental Design

  • 将实验设计转化为概率测度空间上的熵正则化优化问题
  • 通过粒子算法实现大规模批量设计,支持多峰解空间探索
  • 适合需高效生成高价值实验批次的研究者使用

贝叶斯最优实验设计(BOED)提供了一种以最大化数据预期效用为目标的决策理论框架。然而,实际应用中常受限于目标函数优化困难,尤其是期望信息增益(EIG)具有高维性和强非凸性,尤其在批量设计场景下更为严峻。本文提出一种新方法:将原始优化问题通过概率升维映射至概率测度空间,对期望效用进行熵正则化优化。在温和条件下,该目标函数存在唯一最小值,可显式表征为吉布斯分布形式。由此得到的设计策略可直接作为随机批量设计策略,或用于推导确定性批量结果。为实现大规模批处理的可扩展近似,考虑了两类简化分布结构:均场族与独立同分布乘积族。针对i.i.d.目标及其均场推广,推导对应的沃瑟斯坦梯度流,刻画其长期行为,并通过时空离散化获得粒子算法。同时引入双重随机变体,结合粒子交互更新与EIG梯度的蒙特卡洛估计。数值实验表明,该方法能有效探索多模态优化景观,在复杂案例中获得高价值实验批次。

原文摘要 · Abstract (English)

Bayesian optimal experimental design (BOED) provides a powerful, decision-theoretic framework for selecting experiments so as to maximise the expected utility of the data to be collected. In practice, however, its applicability can be limited by the difficulty of optimising the chosen utility. The expected information gain (EIG), for example, is often high-dimensional and strongly non-convex. This challenge is particularly acute in the batch setting, where multiple experiments are to be designed simultaneously. In this paper, we introduce a new approach to batch EIG-based BOED via a probabilistic lifting of the original optimisation problem to the space of probability measures. In particular, we propose to optimise an entropic regularisation of the expected utility over the space of design measures. Under mild conditions, we show that this objective admits a unique minimiser, which can be explicitly characterised in the form of a Gibbs distribution. The resulting design law can be used directly as a randomised batch-design policy, or as a computational relaxation from which a deterministic batch is extracted. To obtain scalable approximations when the batch size is large, we then consider two tractable restrictions of the full batch distribution: a mean-field family, and an i.i.d. product family. For the i.i.d. objective, and formally for its mean-field extension, we derive the corresponding Wasserstein gradient flow, characterise its long-time behaviour, and obtain particle-based algorithms via space-time discretisations. We also introduce doubly stochastic variants that combine interacting particle updates with Monte Carlo estimators of the EIG gradient. Finally, we illustrate the performance of the proposed methods in several numerical experiments, demonstrating their ability to explore multimodal optimisation landscapes and obtain high-utility batches in challenging examples.

实验设计最优传输贝叶斯优化批量采样

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