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Gaussian Process Optimization in the Bandit Setting: No Regret and Experimental Design

19 Pith papers cite this work. Polarity classification is still indexing.

19 Pith papers citing it
abstract

Many applications require optimizing an unknown, noisy function that is expensive to evaluate. We formalize this task as a multi-armed bandit problem, where the payoff function is either sampled from a Gaussian process (GP) or has low RKHS norm. We resolve the important open problem of deriving regret bounds for this setting, which imply novel convergence rates for GP optimization. We analyze GP-UCB, an intuitive upper-confidence based algorithm, and bound its cumulative regret in terms of maximal information gain, establishing a novel connection between GP optimization and experimental design. Moreover, by bounding the latter in terms of operator spectra, we obtain explicit sublinear regret bounds for many commonly used covariance functions. In some important cases, our bounds have surprisingly weak dependence on the dimensionality. In our experiments on real sensor data, GP-UCB compares favorably with other heuristical GP optimization approaches.

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representative citing papers

Spectral bandits

stat.ML · 2026-04-28 · unverdicted · novelty 7.0

Spectral bandits achieve scalable regret in graph-structured recommendation by using an effective dimension to learn good policies from few node evaluations.

Data-Centric Mixed-Variable Bayesian Optimization For Materials Design

physics.comp-ph · 2019-07-04 · conditional · novelty 6.0

A mixed-variable Bayesian optimization framework based on latent variable Gaussian processes is developed and demonstrated on optimizing composition and morphology for insulating polymer nanocomposites, with an extension to multi-objective Pareto optimization.

ADKO: Agentic Decentralized Knowledge Optimization

cs.LG · 2026-05-08 · unverdicted · novelty 6.0

ADKO is a decentralized framework where agents share compact GP-derived tokens and LM insights to achieve collaborative Bayesian optimization with a decomposed regret bound that includes compression and approximation losses.

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