Papers › Gaussian Process Optimization with Adaptive Sketching: Scalable and No Regret
Gaussian Process Optimization with Adaptive Sketching: Scalable and No Regret
Daniele Calandriello, Luigi Carratino, Alessandro Lazaric, Michal Valko, Lorenzo Rosasco
Gaussian processes (GP) are a well studied Bayesian approach for the optimization of black-box functions. Despite their effectiveness in simple problems, GP-based algorithms hardly scale to high-dimensional functions, as their per-iteration time and space cost is at least quadratic in the number of dimensions d and iterations t. Given a set of A alternatives to choose from, the overall runtime O(t³A) is prohibitive. In this paper we introduce BKB (budgeted kernelized bandit), a new approximate GP algorithm for optimization under bandit feedback that achieves near-optimal regret (and hence near-optimal convergence rate) with near-constant per-iteration complexity and remarkably no assumption on the input space or covariance of the GP. We combine a kernelized linear bandit algorithm (GP-UCB) with randomized matrix sketching based on leverage score sampling, and we prove that randomly sampling inducing points based on their posterior variance gives an accurate low-rank approximation of the GP, preserving variance estimates and confidence intervals. As a consequence, BKB does not suffer from variance starvation, an important problem faced by many previous sparse GP approximations. Moreover, we show that our procedure selects at most Õ(d_(eff)) points, where d_(eff) is the effective dimension of the explored space, which is typically much smaller than both d and t. This greatly reduces the dimensionality of the problem, thus leading to a O(TAd_(eff)²) runtime and O(A d_(eff)) space complexity.
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