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Robust submodular observation selection
, 2008
"... In many applications, one has to actively select among a set of expensive observations before making an informed decision. For example, in environmental monitoring, we want to select locations to measure in order to most effectively predict spatial phenomena. Often, we want to select observations wh ..."
Abstract

Cited by 31 (3 self)
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In many applications, one has to actively select among a set of expensive observations before making an informed decision. For example, in environmental monitoring, we want to select locations to measure in order to most effectively predict spatial phenomena. Often, we want to select observations which are robust against a number of possible objective functions. Examples include minimizing the maximum posterior variance in Gaussian Process regression, robust experimental design, and sensor placement for outbreak detection. In this paper, we present the Submodular Saturation algorithm, a simple and efficient algorithm with strong theoretical approximation guarantees for cases where the possible objective functions exhibit submodularity, an intuitive diminishing returns property. Moreover, we prove that better approximation algorithms do not exist unless NPcomplete problems admit efficient algorithms. We show how our algorithm can be extended to handle complex cost functions (incorporating nonunit observation cost or communication and path costs). We also show how the algorithm can be used to nearoptimally trade off expectedcase (e.g., the Mean Square Prediction Error in Gaussian Process regression) and worstcase (e.g., maximum predictive variance) performance. We show that many important machine learning problems fit our robust submodular observation selection formalism, and provide extensive empirical evaluation on several realworld problems. For Gaussian Process regression, our algorithm compares favorably with stateoftheart heuristics described in the geostatistics literature, while being simpler, faster and providing theoretical guarantees. For robust experimental design, our algorithm performs favorably compared to SDPbased algorithms.
LETTER Communicated by Naftali Tishby Asymptotic Theory of InformationTheoretic Experimental Design
"... We discuss an idea for collecting data in a relatively efficient manner. Our point of view is Bayesian and informationtheoretic: on any given trial, we want to adaptively choose the input in such a way that the mutual information between the (unknown) state of the system and the (stochastic) output ..."
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We discuss an idea for collecting data in a relatively efficient manner. Our point of view is Bayesian and informationtheoretic: on any given trial, we want to adaptively choose the input in such a way that the mutual information between the (unknown) state of the system and the (stochastic) output is maximal, given any prior information (including data collected on any previous trials). We prove a theorem that quantifies the effectiveness of this strategy and give a few illustrative examples comparing the performance of this adaptive technique to that of the more usual nonadaptive experimental design. In particular, we calculate the asymptotic efficiency of the informationmaximization strategy and demonstrate that this method is in a welldefined sense never less efficientâ€”and is generically more efficientâ€”than the nonadaptive strategy. For example, we are able to explicitly calculate the asymptotic relative efficiency of the staircase method widely employed in psychophysics research and to demonstrate the dependence of this efficiency on the form of the psychometric function underlying the output responses. 1