Robust Adaptive Decision Making: Bayesian Optimization and Beyond


The central task in many interactive machine learning systems can be formalized as the sequential optimization of a black-box function. Bayesian optimization (BO) is a powerful model-based framework for adaptive experimentation, where the primary goal is the optimization of the black-box function via sequentially chosen decisions. In many real-world tasks, it is essential for the decisions to be robust against, e.g., adversarial failures and perturbations, dynamic and time-varying phenomena, a mismatch between simulations and reality, etc. Under such requirements, the standard methods and BO algorithms become inadequate. In this dissertation, we consider four research directions with the goal of enhancing robust and adaptive decision making in BO and associated problems.

EPFL, Lausanne