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Probabilistic bisection with spatial metamodels. (English) Zbl 1443.62066
Summary: Probabilistic Bisection Algorithms perform 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 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.
62F15 Bayesian inference
62L05 Sequential statistical design
90C26 Nonconvex programming, global optimization
91G20 Derivative securities (option pricing, hedging, etc.)
GPstuff; R; NLopt; BayesDA; EGO
Full Text: DOI
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