Bayesian Optimization of CVaR with Unknown Hyperparameters

Abstract:We study Bayesian optimization of the Conditional Value-at-Risk (CVaR) of an expensive black-box function that depends on a decision and an environmental variable. Existing no-regret algorithms assume that the correct Gaussian process (GP) kernel and its hyperparameters are known. In practice, however, they must be estimated from limited data, often yielding a misspecified surrogate. This is especially damaging for CVaR because misspecification can distort the estimated tail-risk and thus lead to catastrophic decisions. We propose HE-CV-UCB, the first no-regret algorithm for CVaR Bayesian optimization with unknown GP hyperparameters. Given a finite candidate set containing a well-specified model, HE-CV-UCB adaptively eliminates those inconsistent with the observed data, actively queries where the survivors disagree, and returns a design that is robust across the surviving candidates. We prove that it attains cumulative regret matching the oracle rate of CV-UCB up to a factor depending only on the candidate set's size. Across synthetic benchmarks and three real-world applications, HE-CV-UCB achieves competitive performance and frequently outperforms existing CVaR Bayesian optimization methods.

Machine Learning (cs.LG)

arXiv:2610.18306 [cs.LG]

(or arXiv:2610.18306v1 [cs.LG] for this version)

https://doi.org/10.48550/arXiv.2610.18306 Focus to learn more arXiv-issued DOI via DataCite (pending registration)

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