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SupplementaryMaterial: " OptimalOrderSimple RegretforGaussianProcessBandits "
InthecaseofSEkernel, the regularity assumption implies the existence ofall weak derivativesoff. The third equation follows from the definition of Zn(x). The first inequality holds by Assumption 2. We utilize Proposition 1 to conclude thatkZn(x)k2 ฯ Thesecond inequality holds bydefinition oflight-tailed distributions. Notice thatthecareful choice ofฯ andฮธ ensures ฮธฮถi(x) h0, which will be validated next. The seventh line is obtained by replacing the valueof ฮธ.
8f0942c43fcfba4cc66a859b9fcb1bba-Supplemental-Conference.pdf
The expected improvement (EI) is a popular technique to handle the tradeoff between exploration andexploitation underuncertainty. Thistechnique hasbeen widely used in Bayesian optimization but it is not applicable for the contextual bandit problem which is a generalization of the standard bandit and Bayesian optimization.