Towards Regret Guarantees for One-Step Lookahead Bayesian Optimization

arXiv:2606.00956v2 Announce Type: replace Abstract: This paper studies theoretical guarantees of a one-step lookahead Bayesian optimization (BO) method. Although the empirical effectiveness of one-step lookahead BO methods, such as entropy search, has been studied extensively, they often rely on computationally intractable approximations, and their regret guarantees remain underdeveloped. Thus, this paper analyzes a one-step lookahead BO method, which we refer to as optimal-point variance reduction (OVR), that requires only posterior sampling and Monte Carlo approximations. We obtain a uniform Monte Carlo estimation error bound over an input domain in an acquisition function computation. Furthermore, we show that the regularized OVR, with a slight modification to facilitate exploration, achieves a vanishing Bayesian expected simple regret upper bound. Finally, we validate the performance of OVR and regularized OVR through numerical experiments.