No-Regret Algorithms for Time-Varying Bayesian Optimization
Abstract
In this paper, we consider the time-varying Bayesian optimization problem. The unknown function at each time is assumed to lie in an RKHS (reproducing kernel Hilbert space) with a bounded norm. We adopt the general variation budget model to capture the time-varying environment, and the variation is characterized by the change of the RKHS norm. We adapt the restart and sliding window mechanism to introduce two GP-UCB type algorithms: R-GP-UCB and SW-GP-UCB, respectively. We derive the first (frequentist) regret guarantee on the dynamic regret for both algorithms. Our results not only recover previous linear bandit results when a linear kernel is used, but complement the previous regret analysis of time-varying Gaussian process bandit under a Bayesian-type regularity assumption, i.e., each function is a sample from a Gaussian process.
Cite
@article{arxiv.2102.06296,
title = {No-Regret Algorithms for Time-Varying Bayesian Optimization},
author = {Xingyu Zhou and Ness Shroff},
journal= {arXiv preprint arXiv:2102.06296},
year = {2021}
}