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Active Uncertainty Calibration in Bayesian ODE Solvers

Kersting, H., Hennig, P.

Proceedings of the 32nd Conference on Uncertainty in Artificial Intelligence (UAI), pages: 309-318, (Editors: Ihler, A. and Janzing, D.), AUAI Press, June 2016 (conference)

Abstract
There is resurging interest, in statistics and machine learning, in solvers for ordinary differential equations (ODEs) that return probability measures instead of point estimates. Recently, Conrad et al.~introduced a sampling-based class of methods that are `well-calibrated' in a specific sense. But the computational cost of these methods is significantly above that of classic methods. On the other hand, Schober et al.~pointed out a precise connection between classic Runge-Kutta ODE solvers and Gaussian filters, which gives only a rough probabilistic calibration, but at negligible cost overhead. By formulating the solution of ODEs as approximate inference in linear Gaussian SDEs, we investigate a range of probabilistic ODE solvers, that bridge the trade-off between computational cost and probabilistic calibration, and identify the inaccurate gradient measurement as the crucial source of uncertainty. We propose the novel filtering-based method Bayesian Quadrature filtering (BQF) which uses Bayesian quadrature to actively learn the imprecision in the gradient measurement by collecting multiple gradient evaluations.

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link (url) Project Page Project Page [BibTex]

link (url) Project Page Project Page [BibTex]


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Automatic LQR Tuning Based on Gaussian Process Global Optimization

Marco, A., Hennig, P., Bohg, J., Schaal, S., Trimpe, S.

In Proceedings of the IEEE International Conference on Robotics and Automation (ICRA), pages: 270-277, IEEE, IEEE International Conference on Robotics and Automation, May 2016 (inproceedings)

Abstract
This paper proposes an automatic controller tuning framework based on linear optimal control combined with Bayesian optimization. With this framework, an initial set of controller gains is automatically improved according to a pre-defined performance objective evaluated from experimental data. The underlying Bayesian optimization algorithm is Entropy Search, which represents the latent objective as a Gaussian process and constructs an explicit belief over the location of the objective minimum. This is used to maximize the information gain from each experimental evaluation. Thus, this framework shall yield improved controllers with fewer evaluations compared to alternative approaches. A seven-degree- of-freedom robot arm balancing an inverted pole is used as the experimental demonstrator. Results of a two- and four- dimensional tuning problems highlight the method’s potential for automatic controller tuning on robotic platforms.

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Video PDF DOI Project Page [BibTex]

Video PDF DOI Project Page [BibTex]


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Batch Bayesian Optimization via Local Penalization

González, J., Dai, Z., Hennig, P., Lawrence, N.

Proceedings of the 19th International Conference on Artificial Intelligence and Statistics (AISTATS), 51, pages: 648-657, JMLR Workshop and Conference Proceedings, (Editors: Gretton, A. and Robert, C. C.), May 2016 (conference)

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link (url) Project Page [BibTex]

link (url) Project Page [BibTex]


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Probabilistic Approximate Least-Squares

Bartels, S., Hennig, P.

Proceedings of the 19th International Conference on Artificial Intelligence and Statistics (AISTATS), 51, pages: 676-684, JMLR Workshop and Conference Proceedings, (Editors: Gretton, A. and Robert, C. C. ), May 2016 (conference)

Abstract
Least-squares and kernel-ridge / Gaussian process regression are among the foundational algorithms of statistics and machine learning. Famously, the worst-case cost of exact nonparametric regression grows cubically with the data-set size; but a growing number of approximations have been developed that estimate good solutions at lower cost. These algorithms typically return point estimators, without measures of uncertainty. Leveraging recent results casting elementary linear algebra operations as probabilistic inference, we propose a new approximate method for nonparametric least-squares that affords a probabilistic uncertainty estimate over the error between the approximate and exact least-squares solution (this is not the same as the posterior variance of the associated Gaussian process regressor). This allows estimating the error of the least-squares solution on a subset of the data relative to the full-data solution. The uncertainty can be used to control the computational effort invested in the approximation. Our algorithm has linear cost in the data-set size, and a simple formal form, so that it can be implemented with a few lines of code in programming languages with linear algebra functionality.

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link (url) Project Page Project Page [BibTex]

link (url) Project Page Project Page [BibTex]


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Gaussian Process-Based Predictive Control for Periodic Error Correction

Klenske, E. D., Zeilinger, M., Schölkopf, B., Hennig, P.

IEEE Transactions on Control Systems Technology , 24(1):110-121, 2016 (article)

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PDF DOI [BibTex]

PDF DOI [BibTex]


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Dual Control for Approximate Bayesian Reinforcement Learning

Klenske, E. D., Hennig, P.

Journal of Machine Learning Research, 17(127):1-30, 2016 (article)

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PDF link (url) [BibTex]

PDF link (url) [BibTex]

2011


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Optimal Reinforcement Learning for Gaussian Systems

Hennig, P.

In Advances in Neural Information Processing Systems 24, pages: 325-333, (Editors: J Shawe-Taylor and RS Zemel and P Bartlett and F Pereira and KQ Weinberger), Twenty-Fifth Annual Conference on Neural Information Processing Systems (NIPS), 2011 (inproceedings)

Abstract
The exploration-exploitation trade-off is among the central challenges of reinforcement learning. The optimal Bayesian solution is intractable in general. This paper studies to what extent analytic statements about optimal learning are possible if all beliefs are Gaussian processes. A first order approximation of learning of both loss and dynamics, for nonlinear, time-varying systems in continuous time and space, subject to a relatively weak restriction on the dynamics, is described by an infinite-dimensional partial differential equation. An approximate finitedimensional projection gives an impression for how this result may be helpful.

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PDF Web [BibTex]

2011


PDF Web [BibTex]

2010


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Using an Infinite Von Mises-Fisher Mixture Model to Cluster Treatment Beam Directions in External Radiation Therapy

Bangert, M., Hennig, P., Oelfke, U.

In pages: 746-751 , (Editors: Draghici, S. , T.M. Khoshgoftaar, V. Palade, W. Pedrycz, M.A. Wani, X. Zhu), IEEE, Piscataway, NJ, USA, Ninth International Conference on Machine Learning and Applications (ICMLA), December 2010 (inproceedings)

Abstract
We present a method for fully automated selection of treatment beam ensembles for external radiation therapy. We reformulate the beam angle selection problem as a clustering problem of locally ideal beam orientations distributed on the unit sphere. For this purpose we construct an infinite mixture of von Mises-Fisher distributions, which is suited in general for density estimation from data on the D-dimensional sphere. Using a nonparametric Dirichlet process prior, our model infers probability distributions over both the number of clusters and their parameter values. We describe an efficient Markov chain Monte Carlo inference algorithm for posterior inference from experimental data in this model. The performance of the suggested beam angle selection framework is illustrated for one intra-cranial, pancreas, and prostate case each. The infinite von Mises-Fisher mixture model (iMFMM) creates between 18 and 32 clusters, depending on the patient anatomy. This suggests to use the iMFMM directly for beam ensemble selection in robotic radio surgery, or to generate low-dimensional input for both subsequent optimization of trajectories for arc therapy and beam ensemble selection for conventional radiation therapy.

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Web DOI [BibTex]

2010


Web DOI [BibTex]


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Approximate Inference in Graphical Models

Hennig, P.

University of Cambridge, November 2010 (phdthesis)

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Web [BibTex]

Web [BibTex]


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Coherent Inference on Optimal Play in Game Trees

Hennig, P., Stern, D., Graepel, T.

In JMLR Workshop and Conference Proceedings Volume 9: AISTATS 2010, pages: 326-333, (Editors: Teh, Y.W. , M. Titterington ), JMLR, Cambridge, MA, USA, Thirteenth International Conference on Artificial Intelligence and Statistics, May 2010 (inproceedings)

Abstract
Round-based games are an instance of discrete planning problems. Some of the best contemporary game tree search algorithms use random roll-outs as data. Relying on a good policy, they learn on-policy values by propagating information upwards in the tree, but not between sibling nodes. Here, we present a generative model and a corresponding approximate message passing scheme for inference on the optimal, off-policy value of nodes in smooth AND/OR trees, given random roll-outs. The crucial insight is that the distribution of values in game trees is not completely arbitrary. We define a generative model of the on-policy values using a latent score for each state, representing the value under the random roll-out policy. Inference on the values under the optimal policy separates into an inductive, pre-data step and a deductive, post-data part. Both can be solved approximately with Expectation Propagation, allowing off-policy value inference for any node in the (exponentially big) tree in linear time.

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PDF Web [BibTex]

PDF Web [BibTex]