Large scale heterogeneous networks, the Davis-Wielandt shell, and graph separation

We consider a large scale network of interconnected heterogeneous dynamical components. Scalable stability conditions are derived that involve the input/output properties of individual subsystems and the interconnection matrix. The analysis is based on the Davis-Wielandt shell, a higher dimensional version of the numerical range with important convexity properties. This can be used to allow heterogeneity in the agent dynamics while relaxing normality and symmetry assumptions on the interconnection matrix. The results include small gain and passivity approaches as special cases, with the three dimensional shell shown to be inherently connected with corresponding graph separation arguments. © 2012 Society for Industrial and Applied Mathematics.

Predictive entropy search for efficient global optimization of black-box functions

We propose a novel information-theoretic approach for Bayesian optimization called Predictive Entropy Search (PES). At each iteration, PES selects the next evaluation point that maximizes the expected information gained with respect to the global maximum. PES codifies this intractable acquisition function in terms of the expected reduction in the differential entropy of the predictive distribution. This reformulation allows PES to obtain approximations that are both more accurate and efficient than other alternatives such as Entropy Search (ES). Furthermore, PES can easily perform a fully Bayesian treatment of the model hyperparameters while ES cannot. We evaluate PES in both synthetic and real-world applications, including optimization problems in machine learning, finance, biotechnology, and robotics. We show that the increased accuracy of PES leads to significant gains in optimization performance.