Nonmyopic active learning of Gaussian processes: an exploration-exploitation approach

When monitoring spatial phenomena, such as the ecological condition of a river, deciding where to make observations is a challenging task. In these settings, a fundamental question is when an active learning, or sequential design, strategy, where locations are selected based on previous measurements, will perform significantly better than sensing at an a priori specified set of locations. For Gaussian Processes (GPs), which often accurately model spatial phenomena, we present an analysis and efficient algorithms that address this question. Central to our analysis is a theoretical bound which quantifies the performance difference between active and a priori design strategies. We consider GPs with unknown kernel parameters and present a nonmyopic approach for trading off exploration, i.e., decreasing uncertainty about the model parameters, and exploitation, i.e., near-optimally selecting observations when the parameters are (approximately) known. We discuss several exploration strategies, and present logarithmic sample complexity bounds for the exploration phase. We then extend our algorithm to handle nonstationary GPs exploiting local structure in the model. We also present extensive empirical evaluation on several real-world problems.