Adaptive Exploration-Exploitation Active Learning of Gaussian Processes

Active Learning of Gaussian process (GP) surrogates is an efficient way to model unknown environments in various applications. In this paper, we propose an adaptive exploration-exploitation active learning method (ALX) that can be executed rapidly to facilitate real-time decision making. For the exploration phase, we formulate an acquisition function that maximizes the approximated, expected Fisher information. For the exploitation phase, we employ a closed-form acquisition function that maximizes the total expected variance reduction of the search space. The determination of each phase is established with an exploration condition that measures the predictive accuracy of GP surrogates. Extensive numerical experiments in multiple input spaces validate the efficiency of our method.