arXiv Machine Learning By \v{S}imon Sold\'at, V\'aclav \v{S}m\'idl

Exploiting Gradients in Bayesian Inference of Expensive Simulators

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The paper explores how to use gradients of simulator outputs with respect to input parameters to improve Bayesian inference for expensive simulators. By incorporating gradient information into Gaussian process surrogate models, the authors show that Bayesian optimization can converge faster under a limited simulation budget. They find that reverse‑mode differentiation yields efficiency gains, while forward‑mode does not offset its computational cost, especially when the number of parameters exceeds the output dimensionality.

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