On Information Gain and Regret Bounds in Gaussian Process Bandits

Sattar Vakili; Kia Khezeli; Victor Picheny

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arXiv · 2009.06966

On Information Gain and Regret Bounds in Gaussian Process Bandits

Sattar Vakili·Kia Khezeli·Victor Picheny

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Abstract

Consider the sequential optimization of an expensive to evaluate and possibly non-convex objective function $f$ from noisy feedback, that can be considered as a continuum-armed bandit problem. Upper bounds on the regret performance of several learning algorithms (GP-UCB, GP-TS, and their variants) are known under both a Bayesian (when $f$ is a sample from a Gaussian process (GP)) and a frequentist (when $f$ lives in a reproducing kernel Hilbert space) setting. The regret bounds often rely on the maximal information gain $γ_T$ between $T$ observations and the underlying GP (surrogate) model. We provide general bounds on $γ_T$ based on the decay rate of the eigenvalues of the GP kernel, whose specialisation for commonly used kernels, improves the existing bounds on $γ_T$, and subsequently the regret bounds relying on $γ_T$ under numerous settings. For the Matérn family of kernels, where the lower bounds on $γ_T$, and regret under the frequentist setting, are known, our results close a huge polynomial in $T$ gap between the upper and lower bounds (up to logarithmic in $T$ factors).

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Sattar Vakili, Kia Khezeli, Victor Picheny. 2021-03-09. On Information Gain and Regret Bounds in Gaussian Process Bandits. https://arxiv.org/abs/2009.06966

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