Resumen
Bayesian inference typically focuses upon two issues. The first is estimating the parameters of some model from data, and the second is quantifying the evidence for alternative hypotheses?formulated as alternative models. This paper focuses upon a third issue. Our interest is in the selection of data?either through sampling subsets of data from a large dataset or through optimising experimental design?based upon the models we have of how those data are generated. Optimising data-selection ensures we can achieve good inference with fewer data, saving on computational and experimental costs. This paper aims to unpack the principles of active sampling of data by drawing from neurobiological research on animal exploration and from the theory of optimal experimental design. We offer an overview of the salient points from these fields and illustrate their application in simple toy examples, ranging from function approximation with basis sets to inference about processes that evolve over time. Finally, we consider how this approach to data selection could be applied to the design of (Bayes-adaptive) clinical trials.