arXiv Machine Learning
Oct 8

Towards Regret Guarantees for One-Step Lookahead Bayesian Optimization

The paper investigates theoretical guarantees for a one‑step lookahead Bayesian optimization method called optimal‑point variance reduction (OVR). It derives a uniform Monte Carlo estimation error bound for the acquisition function and shows that a regularized version of OVR achieves a vanishing Bayesian expected simple regret bound. Numerical experiments validate the performance of both OVR and its regularized variant.

By Shion Takeno