Sequential Bayesian Experimental Designs Via Reinforcement Learning

Abstract

Bayesian experimental design (BED) has been used as a method for conducting efficient experiments based on Bayesian inference. The existing methods, however, mostly focus on maximizing the expected information gain (EIG); the cost of experiments and sample efficiency are often not taken into account. In order to address this issue and enhance practical applicability of BED, we provide a new approach Sequential Experimental Design via Reinforcement Learning to construct BED in a sequential manner by applying reinforcement learning in this paper. Here, reinforcement learning is a branch of machine learning in which an agent learns a policy to maximize its reward by interacting with the environment. The characteristics of interacting with the environment are similar to the sequential experiment, and reinforcement learning is indeed a method that excels at sequential decision making. By proposing a new real-world-oriented experimental environment, our approach aims to maximize the EIG wh

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• arxiv keyasano2022sequential

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