arXiv Statistics ML

BOCO: Bayesian Online Contextual Optimization for Decision-Focused Online Learning

arXiv Machine Learning
Aug 27

Fast rates in Bayesian online learning with approximate posteriors

The paper investigates how fast predictive regret guarantees of exact Bayesian online learning can be maintained when using approximate posterior methods. It establishes a general theorem linking the cumulative cost of posterior approximation to the contraction radius of the exact Gibbs posterior and the Wasserstein distance between approximate and exact posteriors. Three concrete online learning scenarios—linear models, infinite‑dimensional exponential families, and Gaussian process regression—illustrate that appropriately accurate approximations (projected Langevin, truncation, and sparse variational posteriors) preserve fast regret bounds while reducing computational demands.

By Ilsang Ohn