Gaussian Process Bandits with Paired Auxiliary Observations

Weibo Huang, Qing Feng, Ruihao Zhu, Cheng Hua

Bayesian optimization (BO) is widely used for expensive black-box optimization, yet observation noise makes each evaluation less informative and slows posterior learning. Standard BO learns from costly outcomes gathered during optimization. In many applications, however, low-cost auxiliary data are available beforehand. We introduce Auxiliary-Informed Gaussian Process Bandit (AI-GPB), a variance-reduction method that combines an offline estimate of the auxiliary mean with a correction coefficient learned from paired online observations. Notably, it exploits correlation between paired observation errors without requiring the auxiliary mean to approximate the objective. We establish finite-sample GP confidence bounds and regret guarantees, including explicit cumulative and simple regret rates for Matérn kernels. Numerical experiments across continuous BO benchmarks with varied landscapes and dimensions show consistent reductions in cumulative and simple regret relative to vanilla GP-UCB, even when within-pair correlation is moderate and the auxiliary mean is estimated from noisy offline data.