Convergence Rates of Constrained Expected Improvement

Constrained Bayesian optimization (CBO) methods have seen significant success in black-box optimization with constraints. One of the most commonly used CBO methods is the constrained expected improvement (CEI) algorithm. CEI is a natural extension of expected improvement (EI) when constraints are incorporated. However, the theoretical convergence rate of CEI has not been established. In this work, we study the convergence rate of CEI by analyzing its simple regret upper bound.