by M. MutnÃ½, A. Krause

Abstract:

Optimal experimental design seeks to determine the most informative allocation of experiments to infer an unknown statistical quantity. In this work, we investigate optimal design of experiments for \em estimation of linear functionals in reproducing kernel Hilbert spaces (RKHSs). This problem has been extensively studied in the linear regression setting under an estimability condition, which allows estimating parameters without bias. We generalize this framework to RKHSs, and allow for the linear functional to be only approximately inferred, i.e., with a fixed bias. This scenario captures many important modern applications such as estimation of gradient maps, integrals and solutions to differential equations. We provide algorithms for constructing bias-aware designs for linear functionals. We derive non-asymptotic confidence sets for fixed and adaptive designs under sub-Gaussian noise, enabling us to certify estimation with bounded error with high probability.

Reference:

Experimental Design of Linear Functionals in Reproducing Kernel Hilbert Spaces M. MutnÃ½, A. KrauseIn Proc. Neural Information Processing Systems (NeurIPS), 2022Oral presentation

Bibtex Entry:

@inproceedings{Mutny2022b. This problem has been extensively studied in the linear regression setting under an estimability condition, which allows estimating parameters without bias. We generalize this framework to RKHSs, and allow for the linear functional to be only approximately inferred, i.e., with a fixed bias. This scenario captures many important modern applications such as estimation of gradient maps, integrals and solutions to differential equations. We provide algorithms for constructing bias-aware designs for linear functionals. We derive non-asymptotic confidence sets for fixed and adaptive designs under sub-Gaussian noise, enabling us to certify estimation with bounded error with high probability.}, author = {Mutn\'y, Mojm\'ir and Andreas Krause}, booktitle = {Proc. Neural Information Processing Systems (NeurIPS)}, month = nov, title = {Experimental Design of Linear Functionals in Reproducing Kernel Hilbert Spaces}, year = {2022}}