Bayesian Binary Search
Keywords: bayesian, binary search, bitcoin, lightning network
TL;DR: We present Bayesian Binary Search (BBS), a novel probabilistic variant of the classical binary search algorithm leveraging an estimate of the probability density of the search space to improve efficiency.
Abstract: We present Bayesian Binary Search (BBS), a novel probabilistic variant of the classical binary search/bisection algorithm. BBS leverages machine learning/statistical techniques to estimate the probability density of the search space and modifies the bisection step to split based on probability density rather than the traditional midpoint, allowing for the learned distribution of the search space to guide the search algorithm. Search space density estimation can flexibly
be performed using supervised probabilistic machine learning techniques (e.g., Gaussian process regression, Bayesian neural networks, quantile regression) or unsupervised learning algorithms (e.g., Gaussian mixture models, kernel density estimation (KDE), maximum likelihood estimation (MLE)). We demonstrate significant efficiency gains of using BBS on both simulated data across a variety of distributions and in a real-world binary search use case of probing channel balances in the Bitcoin Lightning Network, for which we have deployed the BBS algorithm in a production setting.
Supplementary Material: zip
Primary Area: probabilistic methods (Bayesian methods, variational inference, sampling, UQ, etc.)
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Submission Number: 11371
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