Bayesian Optimization Framework for Imperfect Data or Models

Abstract

Conventional Bayesian optimization methods implicitly assume that the data and model being optimized are “perfect.” This assumption leads to inaccurate posterior probability distribution functions (PDFs) when applied to “imperfect” data or models. The new Bayesian optimization framework presented in this report provides a way to parameterize the effect of imperfections usually encountered in a prior PDF of generalized data or a model on the posterior PDF. The effects of imperfections are parameterized by a set of constraints imposed on the posterior expectation values of deviations between the data and the model and on their covariance matrix elements. A particular set of values for these constraints conveys an evaluator’s best estimate of the effect of imperfections on the corresponding posterior expectation values. When a prior PDF of generalized data is assumed to be normal, an expression for a posterior PDF satisfying an arbitrary set of constraints is derived analytically for linear models. An analogous iterative algorithm is given for nonlinear models. The corresponding posterior PDF should be used to estimate any posterior expectation values in the presence of imperfections parameterized by that set of constraints. A posterior PDF of a conventional Bayesian optimization method is recovered analytically when all evaluator-specified constraints are set to zero (i.e., in the absence of any imperfections). The analytical expressions derived in this report for normal PDFs and linear models were verified numerically by a Metropolis–Hastings Monte Carlo method. The methods presented herein could be applied to any kind of data or models, including differential cross-section data or integral benchmark experiments.