Bandit optimisation of functions in the Matérn kernel RKHS

01/28/2020

∙

by   David Janz, et al.

∙

0

∙

share

We consider the problem of optimising functions in the Reproducing kernel Hilbert space (RKHS) of a Matérn family kernel with parameter ν over the domain [0,1]^d under noisy bandit feedback. Our contribution, the π-GP-UCB algorithm, is the first practical approach with guaranteed sublinear regret for all ν>1 and d ≥ 1. Empirical validation suggests better performance and drastically improved computational scalablity compared with its predecessor, Improved GP-UCB.