Variational Information Planning for Sequential Decision Making
Abstract
We consider the setting of sequential decision making where, at each stage, potential actions are evaluated based on expected reduction in posterior uncertainty, given by mutual information (MI). As MI typically lacks a closed form, we propose an approach which maintains variational approximations of, both, the posterior and MI utility. Our planning objective extends an established variational bound on MI to the setting of sequential planning. The result, variational information planning (VIP), is an efficient method for sequential decision making. We further establish convexity of the variational planning objective and, under conditional exponential family approximations, we show that the optimal MI bound arises from a relaxation of the well-known exponential family moment matching property. We demonstrate VIP for sensor selection, experiment design, and active learning, where it meets or exceeds methods requiring more computation, or those specialized to the task.
BibTeX
@InProceedings{pmlr-v89-pacheco19a,
title = {Variational Information Planning for Sequential Decision Making},
author = {Pacheco, Jason and Fisher, John},
booktitle = {Proceedings of the Twenty-Second International Conference on Artificial Intelligence and Statistics},
pages = {2028--2036},
year = {2019},
editor = {Chaudhuri, Kamalika and Sugiyama, Masashi},
volume = {89},
series = {Proceedings of Machine Learning Research},
month = {16--18 Apr},
publisher = {PMLR},
pdf = {http://proceedings.mlr.press/v89/pacheco19a/pacheco19a.pdf},
url = {https://proceedings.mlr.press/v89/pacheco19a.html},
abstract = {We consider the setting of sequential decision making where, at each stage, potential actions are evaluated based on expected reduction in posterior uncertainty, given by mutual information (MI). As MI typically lacks a closed form, we propose an approach which maintains variational approximations of, both, the posterior and MI utility. Our planning objective extends an established variational bound on MI to the setting of sequential planning. The result, variational information planning (VIP), is an efficient method for sequential decision making. We further establish convexity of the variational planning objective and, under conditional exponential family approximations, we show that the optimal MI bound arises from a relaxation of the well-known exponential family moment matching property. We demonstrate VIP for sensor selection, experiment design, and active learning, where it meets or exceeds methods requiring more computation, or those specialized to the task.}
}