Efficient Large-Scale Gaussian Process Bandits by Believing only Informative Actions

In this work, we cast Bayesian optimization as a multi-armed bandit problem, where the payoff function is sampled from a Gaussian process (GP). Further, we focus on action selections via the GP upper confidence bound (UCB). While numerous prior works use GPs in bandit settings, they do not apply to settings where the total number of iterations T may be large-scale, as the complexity of computing the posterior parameters scales cubically with the number of past observations. To circumvent this computational burden, we propose a simple statistical test: only incorporate an action into the GP posterior when its conditional entropy exceeds an  threshold. Doing so permits us to derive sublinear regret bounds of GP bandit algorithms up to factors depending on the compression parameter  for both discrete and continuous action sets. Moreover, the complexity of the GP posterior remains provably finite. Experimentally, we observe state of the art accuracy and complexity tradeoffs for GP bandit algorithms on various hyper-parameter tuning tasks, suggesting the merits of managing the complexity of GPs in bandit settings