arXiv:2604.21849stat.MLcs.LG2026-04

用积分概率度量改进贝叶斯实验设计,解决传统方法对罕见事件敏感的问题。

Beyond Expected Information Gain: Stable Bayesian Optimal Experimental Design with Integral Probability Metrics and Plug-and-Play Extensions

论文配图:Beyond Expected Information Gain: Stable Bayesian Optimal Experimental Design with Integral Probability Metrics and Plug-and-Play Extensions
图 1 · 摘自论文原文
  • 用Wasserstein、MMD等积分概率度量替代KL散度,提升设计稳定性
  • 在先验误设和代理模型误差下,可信集更集中,性能更优
  • 支持即插即用扩展,适用于高维场景,超越传统蒙特卡洛方法

贝叶斯最优实验设计(BOED)为数据获取成本高的场景提供严谨决策框架。传统方法通过最大化期望信息增益(EIG)选择实验设计,常以KL散度定义,但面临嵌套期望难计算、支持不匹配、尾部低估及罕见事件敏感等固有问题。本文提出基于积分概率度量(IPM)的新型BOED框架,用Wasserstein距离、最大均值差异(MMD)、能量距离等替代密度基发散度,实现灵活可插拔的优化结构。理论证明,该框架在代理模型误差和先验误设下具有更强的几何感知稳定性。实验证明,基于IPM的设计可生成高度集中的可信集。进一步通过神经最优传输估计器,将该模板推广至非IPM类几何感知度量,在高维场景中实现准确设计,优于传统嵌套蒙特卡洛与先进变分方法。

原文摘要 · Abstract (English)

Bayesian Optimal Experimental Design (BOED) provides a rigorous framework for decision-making tasks in which data acquisition is often the critical bottleneck, especially in resource-constrained settings. Traditionally, BOED typically selects designs by maximizing expected information gain (EIG), commonly defined through the Kullback-Leibler (KL) divergence. However, classical evaluation of EIG often involves challenging nested expectations, and even advanced variational methods leave the underlying log-density-ratio objective unchanged. As a result, support mismatch, tail underestimation, and rare-event sensitivity remain intrinsic concerns for KL-based BOED. To address these fundamental bottlenecks, we introduce an IPM-based BOED framework that replaces density-based divergences with integral probability metrics (IPMs), including the Wasserstein distance, Maximum Mean Discrepancy, and Energy Distance, resulting in a highly flexible plug-and-play BOED framework. We establish theoretical guarantees showing that IPM-based utilities provide stronger geometry-aware stability under surrogate-model error and prior misspecification than classical EIG-based utilities. We also validate the proposed framework empirically, demonstrating that IPM-based designs yield highly concentrated credible sets. Furthermore, by extending the same sample-based BOED template in a plug-and-play manner to geometry-aware discrepancies beyond the IPM class, illustrated by a neural optimal transport estimator, we achieve accurate optimal designs in high-dimensional settings where conventional nested Monte Carlo estimators and advanced variational methods fail.

贝叶斯优化实验设计积分概率度量高维优化

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