{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/wasserstein-distributionally-robust-bayesian","title":"Wasserstein Distributionally Robust Bayesian Optimization with Continuous Context","arxiv_id":"2503.20341","date":"2025-03-26","proceeding":null,"authors":["Francesco Micheli","Efe C. Balta","Anastasios Tsiamis","John Lygeros"],"abstract":"We address the challenge of sequential data-driven decision-making under context distributional uncertainty. This problem arises in numerous real-world scenarios where the learner optimizes black-box objective functions in the presence of uncontrollable contextual variables. We consider the setting where the context distribution is uncertain but known to lie within an ambiguity set defined as a ball in the Wasserstein distance. We propose a novel algorithm for Wasserstein Distributionally Robust Bayesian Optimization that can handle continuous context distributions while maintaining computational tractability. Our theoretical analysis combines recent results in self-normalized concentration in Hilbert spaces and finite-sample bounds for distributionally robust optimization to establish sublinear regret bounds that match state-of-the-art results. Through extensive comparisons with existing approaches on both synthetic and real-world problems, we demonstrate the simplicity, effectiveness, and practical applicability of our proposed method.","url_abs":"https://arxiv.org/abs/2503.20341v1","url_pdf":"https://arxiv.org/pdf/2503.20341v1.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"wasserstein-distributionally-robust-bayesian","repo_url":"https://github.com/frmicheli/WDRBO","is_official":1,"mentioned_in_paper":0,"mentioned_in_github":1,"framework":"pytorch","reach":null}],"tasks":[{"task_slug":"bayesian-optimization","task_name":"Bayesian Optimization"},{"task_slug":"decision-making","task_name":"Decision Making"}],"methods":[{"method_slug":"set","method_name":"SET"}],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":"https://app.syntology.ai/?focus=2503.20341","mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}