Ensemble Distributionally Robust Bayesian Optimisation
About
We study zeroth-order optimisation under context distributional uncertainty, a setting commonly tackled using Bayesian optimisation (BO). A prevailing strategy to make BO more robust to the complex and noisy nature of data is to employ an ensemble as the surrogate model, thereby mitigating the weaknesses of any single model. In this study, we propose a novel algorithm for Ensemble Distributionally Robust Bayesian Optimisation that remains computationally tractable while managing continuous context. We obtain theoretical sublinear regret bounds, improving current state-of-the-art results. We show that our method's empirical behaviour aligns with its theoretical guarantees.
Tigran Ramazyan, Denis Derkach• 2026
Related benchmarks
| Task | Dataset | Result | Rank | |
|---|---|---|---|---|
| Bayesian Optimization | Newsvendor | Cumulative Regret7.59 | 9 | |
| Bayesian Optimization | Three-Hump Camel | Final Cumulative Regret2.78 | 9 | |
| Bayesian Optimization | Ackley | Final Cumulative Expected Regret259.4 | 9 | |
| Bayesian Optimization | Hartmann | Cumulative Regret63.18 | 9 | |
| Bayesian Optimization | Six-Hump Camel | Final Cumulative Regret83.46 | 9 | |
| Bayesian Optimization | Hartmann Complicated | Final Cumulative Expected Regret77.07 | 9 | |
| Bayesian Optimization | Modified Branin | Final Cumulative Regret770.1 | 9 | |
| Bayesian Optimization | Portfolio Normal | Final Cumulative Expected Regret566.2 | 9 | |
| Bayesian Optimization | Portfolio Uniform | Final Cumulative Regret451.1 | 9 |
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