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arXiv · 1807.00095

Probabilistic Bisection with Spatial Metamodels

Sergio Rodriguez·Mike Ludkovski
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Abstract

Probabilistic Bisection Algorithm performs root finding based on knowledge acquired from noisy oracle responses. We consider the generalized PBA setting (G-PBA) where the statistical distribution of the oracle is unknown and location-dependent, so that model inference and Bayesian knowledge updating must be performed simultaneously. To this end, we propose to leverage the spatial structure of a typical oracle by constructing a statistical surrogate for the underlying logistic regression step. We investigate several non-parametric surrogates, including Binomial Gaussian Processes (B-GP), Polynomial, Kernel, and Spline Logistic Regression. In parallel, we develop sampling policies that adaptively balance learning the oracle distribution and learning the root. One of our proposals mimics active learning with B-GPs and provides a novel look-ahead predictive variance formula. The resulting gains of our Spatial PBA algorithm relative to earlier G-PBA models are illustrated with synthetic examples and a challenging stochastic root finding problem from Bermudan option pricing.

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Sergio Rodriguez, Mike Ludkovski. 2018-06-30. Probabilistic Bisection with Spatial Metamodels. https://arxiv.org/abs/1807.00095

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