Optimal Recovery Meets Bayesian Learning: Where Worst-Case Bounds Pay Off

Abstract:Worst-case Optimal Recovery (OR) and Bayesian learning describe the same Gaussian-quadratic-Hilbert problems in two vocabularies. We sharpen the correspondence - the radius of information equals a nugget-optimized GP posterior variance and is attained by the posterior mean at a closed-form balance nugget - and measure, inside three published Bayesian systems, where the worst-case side pays. The ledger is two-sided: the losses instruct as much as the wins. Morozov calibration tracks a test-access oracle within $1.00$-$1.19\times$ where $\sigma$-blind rules fail, is $4.9$-$6.3\times$ more reproducible across noise draws ($p=0.002$-$0.004$), and is the only deployable rule whose selection survives a change of backend ($1.36\times$ against $12$-$30\times$ for the released weight, ML-II and GCV); tight certificates cover at the information-theoretic floor with no numerical slack. But on exchangeable data split-conformal beats the OR head on interval score, a water-filling prior adds nothing without an oracle noise hint, and under covariate shift the OR band keeps coverage on every dataset yet loses interval score to split-conformal, and to a feature-free constant band, on most cells; what pays is not shift but shift on a learnable target, which a training-free audit statistic predicts before any model is fitted. In Bayesian optimization the certified width is a validity floor whose scalar inflation we prove inert under a checkable margin condition and check at every step. Inertness is graded, not binary, and in the size of the inflation as much as in the objective: $\kappa{=}2$ is inert wherever $\kappa{=}5$ is and on more cells besides, while $\kappa{=}5$ moves half the Ackley seeds and every Griewank seed. Exploration is a shape problem, not a scale one. The design rule: match the guarantee tool to the data regime, and audit the regime first.

Machine Learning (stat.ML); Machine Learning (cs.LG)

arXiv:2609.29622 [stat.ML]

(or arXiv:2609.29622v1 [stat.ML] for this version)

https://doi.org/10.48550/arXiv.2609.29622 Focus to learn more arXiv-issued DOI via DataCite (pending registration)

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