Nesting Particle Filters for Experimental Design in Dynamical Systems

• URL: http://arxiv.org/abs/2402.07868v4
• Date: Wed, 29 May 2024 12:15:40 GMT
• Title: Nesting Particle Filters for Experimental Design in Dynamical Systems
• Authors: Sahel Iqbal, Adrien Corenflos, Simo Särkkä, Hany Abdulsamad,
• Abstract summary: We develop a nested sequential Monte Carlo technique to infer optimal designs, and embed it into a particle Markov chain Monte Carlo framework to perform gradient-based policy amortization. Our approach is distinct from other amortized experimental design techniques, as it does not rely on contrastive estimators.
• Score: 11.179154197435954
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: In this paper, we propose a novel approach to Bayesian experimental design for non-exchangeable data that formulates it as risk-sensitive policy optimization. We develop the Inside-Out SMC$^2$ algorithm, a nested sequential Monte Carlo technique to infer optimal designs, and embed it into a particle Markov chain Monte Carlo framework to perform gradient-based policy amortization. Our approach is distinct from other amortized experimental design techniques, as it does not rely on contrastive estimators. Numerical validation on a set of dynamical systems showcases the efficacy of our method in comparison to other state-of-the-art strategies.

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