Gauss--Hermite Quadrature for Gaussian-Mixture Entropy with an Action-Space Hermite Surrogate
Authors: Jae Wan Shim
Organizations: Extreme Materials Research Center, Korea Institute of Science and Technology, 5 Hwarang-ro 14-gil, Seongbuk, Seoul, 02792, Republic of Korea · Climate and Environmental Research Institute, Korea Institute of Science and Technology, 5 Hwarang-ro 14-gil, Seongbuk, Seoul, 02792, Republic of Korea · Division of AI-Robotics, KIST Campus, University of Science and Technology, 5 Hwarang-ro 14-gil, Seongbuk, Seoul, 02792, Republic of Korea
Gaussian distributions are used to model uncertainty in signals and states, and Gaussian mixtures are often used when the underlying distribution is multimodal. Unlike a single Gaussian, a Gaussian mixture generally has no closed-form expression for differential entropy and therefore requires numerical approximation. We propose a Gauss--Hermite quadrature method for evaluating Gaussian mixture differential entropy. The quadrature order controls the numerical resolution of the approximation. The method is evaluated on one- and two-dimensional Gaussian mixture benchmarks against Taylor approximations, analytic entropy bounds, and numerical integration references. For repeated optimization over continuous actions, we also propose a Hermite polynomial surrogate in action space. In a radar pointing benchmark, its second-order form achieves substantially lower surrogate error and optimizer regret than a second-order Taylor surrogate based on local derivatives at the nominal action, while both methods use nine direct objective evaluations per replanning step. The Hermite surrogate also improves pointing performance in the tested benchmark.
Mixture policies theoretically offer greater flexibility than unimodal policies in continuous action reinforcement learning, but the practical benefits of this complexity remain elusive. Mixture policies are notably absent from most state-of-the-art algorithms, raising a fundamental question: Is the added representational overhead useful? We show that increased flexibility can theoretically enhance solution quality and entropy robustness. Yet standard algorithms like SAC do not leverage these advantages. A core issue is the lack of a low-variance reparameterization trick for mixtures, a luxury Gaussian policies enjoy. We propose a marginalized reparameterization (MRP) estimator to address this, proving it offers lower variance than the standard likelihood-ratio (LR) approach. Our experiments across Gym MuJoCo, DeepMind Control Suite, and MetaWorld show that MRP mixture policies significantly outperform their LR ones, and reach parity (sometimes better) with Gaussian counterparts. In addition, we do find several cases where MRP mixture policies exhibit clear empirical advantages. In this paper, we provide a clearer understanding of the trade-offs involved, elevating MRP mixture policies from theoretical curiosity to a practical tool.
Jiamin He, Samuel Neumann, Jincheng Mei +2
University of Alberta & Amii · Google DeepMind · Canada CIFAR AI Chair
The problem of multiobjective optimization under uncertainties is often approached by taking the expectation of each objective. In this work, we propose instead to formulate this as a Bayesian decision problem and to rely on the expected value of the hypervolume, which is to be maximized with respect to a finite set of input points. We show that this can be performed using methods based on gradients in a stochastic optimization framework, provided that care is taken with respect to dominated points. Moreover, in the absence of readily available differentiable code, we propose to use Gaussian Processes as differentiable surrogate models, in order to perform the optimization. An additional contribution in this work are some active learning strategies, through acquisition functions which helps construct a surrogate model well-designed for the multiobjective optimization problem at stake. These strategies are compared on simple analytical problems to assess their performances.
Kernel herding belongs to a family of deterministic quadratures that seek to minimize the maximum mean discrepancy (MMD), that is, the worst-case integration error over a reproducing kernel Hilbert space (RKHS). These MMD minimization procedures come with strong experimental support, but comparatively less theoretical footing. In particular, apart from recent progress in distribution compression, little has been proved in favor of an improvement of MMD minimization over classical Monte Carlo quadrature when the RKHS is infinite-dimensional. In this paper, we study a joint probability distribution over quadrature nodes, a tailored Gibbs distribution, whose support intuitively tends to concentrate around MMD minimizers as a temperature parameter is decreased. Our main contribution is to prove that drawing integration nodes from our distribution does outperform i.i.d Monte Carlo. While our bounds on the worst-case integration error feature the same rate as i.i.d. Monte Carlo, we do obtain a tighter concentration inequality as the temperature parameter decreases. This means smaller confidence intervals as the number of quadrature nodes increases. While arguably a first step, our results demonstrate that the mathematical toolbox developed around Gibbs measures can help understand to what extent kernel herding and its variants improve on computationally cheaper methods. There remains the issue of sampling from our Gibbs distribution. In our numerical experiments, we demonstrate that a simple MCMC chain already yields approximate samples that lead to improved confidence intervals around the target integrals, as supported by our theoretical results.
Martin Rouault, Rémi Bardenet, Mylène Maïda
1Univ. Lille, CNRS, Centrale Lille, UMR 9189 – CRIStAL, 59651 Villeneuve d’Ascq, France · 2Univ. Lille, CNRS, UMR 8524 – Laboratoire Paul Painlev´e, F-59000 Lille, France