Electronic Journal of Statistics

Gaussian process bandits with adaptive discretization

Shubhanshu Shekhar and Tara Javidi

Full-text: Open access

Abstract

In this paper, the problem of maximizing a black-box function $f:\mathcal{X}\to \mathbb{R}$ is studied in the Bayesian framework with a Gaussian Process prior. In particular, a new algorithm for this problem is proposed, and high probability bounds on its simple and cumulative regret are established. The query point selection rule in most existing methods involves an exhaustive search over an increasingly fine sequence of uniform discretizations of $\mathcal{X}$. The proposed algorithm, in contrast, adaptively refines $\mathcal{X}$ which leads to a lower computational complexity, particularly when $\mathcal{X}$ is a subset of a high dimensional Euclidean space. In addition to the computational gains, sufficient conditions are identified under which the regret bounds of the new algorithm improve upon the known results. Finally, an extension of the algorithm to the case of contextual bandits is proposed, and high probability bounds on the contextual regret are presented.

Article information

Source
Electron. J. Statist., Volume 12, Number 2 (2018), 3829-3874.

Dates
Received: January 2018
First available in Project Euclid: 4 December 2018

Permanent link to this document
https://projecteuclid.org/euclid.ejs/1543892564

Digital Object Identifier
doi:10.1214/18-EJS1497

Keywords
Gaussian processes bandits Bayesian optimization

Rights
Creative Commons Attribution 4.0 International License.

Citation

Shekhar, Shubhanshu; Javidi, Tara. Gaussian process bandits with adaptive discretization. Electron. J. Statist. 12 (2018), no. 2, 3829--3874. doi:10.1214/18-EJS1497. https://projecteuclid.org/euclid.ejs/1543892564


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