Efficient Distributionally Robust Bayesian Optimization with Worst-case Sensitivity

Sebastian Shenghong Tay, Chuan Sheng Foo, Urano Daisuke, Richalynn Leong, Bryan Kian Hsiang Low

Abstract: In distributionally robust Bayesian optimization (DRBO), an exact computation of the worst-case expected value requires solving an expensive convex optimization problem. We develop a fast approxima...