The Non-linear F-Design and Applications to Interactive Learning

We propose a generalization of the classical Goptimal design concept to non-linear function classes. The criterion, termed F -design, coincides with G-design in the linear case. We compute the value of the optimal design, termed the F -condition number, for several non-linear function classes. We further provide algorithms to construct designs with a bounded F -condition number. Finally, we employ the F -design in a variety of interactive machine learning tasks, where the design is naturally useful for data collection or exploration. We show that in four diverse settings of confidence band construction, contextual bandits, model-free reinforcement learning, and active learning, F -design can be combined with existing approaches in a black-box manner to yield state-of-the-art results in known problem settings as well as to generalize to novel ones.