📄
Abstract - Beyond Expected Information Gain: Stable Bayesian Optimal Experimental Design with Integral Probability Metrics and Plug-and-Play Extensions
Bayesian Optimal Experimental Design (BOED) provides a rigorous framework for decision-making tasks in which data acquisition is often the critical bottleneck, especially in resource-constrained settings. Traditionally, BOED typically selects designs by maximizing expected information gain (EIG), commonly defined through the Kullback-Leibler (KL) divergence. However, classical evaluation of EIG often involves challenging nested expectations, and even advanced variational methods leave the underlying log-density-ratio objective unchanged. As a result, support mismatch, tail underestimation, and rare-event sensitivity remain intrinsic concerns for KL-based BOED. To address these fundamental bottlenecks, we introduce an IPM-based BOED framework that replaces density-based divergences with integral probability metrics (IPMs), including the Wasserstein distance, Maximum Mean Discrepancy, and Energy Distance, resulting in a highly flexible plug-and-play BOED framework. We establish theoretical guarantees showing that IPM-based utilities provide stronger geometry-aware stability under surrogate-model error and prior misspecification than classical EIG-based utilities. We also validate the proposed framework empirically, demonstrating that IPM-based designs yield highly concentrated credible sets. Furthermore, by extending the same sample-based BOED template in a plug-and-play manner to geometry-aware discrepancies beyond the IPM class, illustrated by a neural optimal transport estimator, we achieve accurate optimal designs in high-dimensional settings where conventional nested Monte Carlo estimators and advanced variational methods fail.
超越期望信息增益:基于积分概率度量的稳健贝叶斯最优实验设计及其即插即用扩展 /
Beyond Expected Information Gain: Stable Bayesian Optimal Experimental Design with Integral Probability Metrics and Plug-and-Play Extensions
1️⃣ 一句话总结
本文提出了一种新的贝叶斯最优实验设计方法,用积分概率度量(如Wasserstein距离)替代传统的KL散度,从而更稳健地选择实验方案,即使在模型有误或数据稀少时也能得到可靠结果,并通过即插即用方式轻松扩展到高维问题。