Bayesian Optimization of CVaR with Unknown Hyperparameters
We study Bayesian optimization of the Conditional Value-at-Risk (CVaR) of an expensive black-box function that depends on a decision and an environmental variable. Existing no-regret algorithms assume that the correct Gaussian process (GP) kernel and its hyperparameters are known. In practice, however, they must be estimated from limited data, often yielding a misspecified surrogate. This is especially damaging for CVaR because misspecification can distort the estimated tail-risk and thus lead to catastrophic decisions. We propose HE-CV-UCB, the first no-regret algorithm for CVaR Bayesian optimization with unknown GP hyperparameters. Given a finite candidate set containing a well-specifie...
| Authors | Valentin Margraf, Jonas Hanselle, Viktor Bengs et al. |
|---|---|
| Primary category | cs.LG |
| Published | 13 October 2026 |
| Last updated at source | 13 October 2026 |
Silytics shows public metadata from arXiv and links to the original. Information may be incomplete or out of date. Last refreshed 15 October 2026. Licenses and terms of the original apply to the work itself. Not financial, legal or professional advice.