Distributionally Robust Bayesian Quadrature Optimization

Thanh Tang Nguyen, Sunil Gupta, Huong Ha, Santu Rana, Svetha Venkatesh

Abstract: Bayesian quadrature optimization (BQO) maximizes the expectation of an expensive black-box integrand taken over a known probability distribution. In this work, we study BQO under distributional unc...