Nesting Particle Filters for Experimental Design in Dynamical Systems

Sahel Iqbal; Adrien Corenflos; Simo Särkkä; Hany Abdulsamad

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arXiv · 2402.07868

Nesting Particle Filters for Experimental Design in Dynamical Systems

Sahel Iqbal·Adrien Corenflos·Simo Särkkä·Hany Abdulsamad

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Abstract

In this paper, we propose a novel approach to Bayesian experimental design for non-exchangeable data that formulates it as risk-sensitive policy optimization. We develop the Inside-Out SMC$^2$ algorithm, a nested sequential Monte Carlo technique to infer optimal designs, and embed it into a particle Markov chain Monte Carlo framework to perform gradient-based policy amortization. Our approach is distinct from other amortized experimental design techniques, as it does not rely on contrastive estimators. Numerical validation on a set of dynamical systems showcases the efficacy of our method in comparison to other state-of-the-art strategies.

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BibTeX RIS

Sahel Iqbal, Adrien Corenflos, Simo Särkkä, Hany Abdulsamad. 2024-02-12. Nesting Particle Filters for Experimental Design in Dynamical Systems. https://arxiv.org/abs/2402.07868

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