A Bayesian formulation of search, control and the exploration/exploitation trade-off

Richard Rohwer, Huaiyu Zhu

    Research output: Preprint or Working paperTechnical report

    Abstract

    A new approach to optimisation is introduced based on a precise probabilistic statement of what is ideally required of an optimisation method. It is convenient to express the formalism in terms of the control of a stationary environment. This leads to an objective function for the controller which unifies the objectives of exploration and exploitation, thereby providing a quantitative principle for managing this trade-off. This is demonstrated using a variant of the multi-armed bandit problem. This approach opens new possibilities for optimisation algorithms, particularly by using neural network or other adaptive methods for the adaptive controller. It also opens possibilities for deepening understanding of existing methods. The realisation of these possibilities requires research into practical approximations of the exact formalism.
    Original languageEnglish
    Place of PublicationBirmingham, UK
    PublisherAston University
    Number of pages11
    ISBN (Print)NCRG/95/017
    Publication statusPublished - 15 Aug 1995

    Keywords

    • optimisation
    • objective function
    • quantitative principle
    • approximations

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