Goal-Oriented Lower-Tail Calibration of Gaussian Processes for Bayesian Optimization

Abstract

-cross Abstract: Gaussian process (GP) predictive distributions are commonly used in Bayesian optimization (BO) to guide the selection of evaluation points for expensive objective functions. The choice of kernel and hyperparameters has a strong influence on the exploration--exploitation trade-off. For minimization, sampling criteria such as expected improvement (EI) depend on both the probability mass below the current best value and the shape of the predictive distribution in this region. This article studies goal-oriented calibration of GP predictive distributions below a low threshold $t$ in the noiseless setting, for standard GP models with hyperparameters selected by maximum likelihood. We consider two complementary forms of calibration below $t$ for inputs distributed according to a reference measure $\mu$: occurrence calibration over the design space and thresholded $\mu$-calibration on sublevel sets of the form $\{x\in\mathbb{X}, f(x)\le t\}$. We propose tcGP, a post-hoc method that combines these two forms of calibration for GP predictive distributions below $t$. With fixed GP hyperparameters, the exact EI sampling criterion based on tcGP generates a sequence of evaluation points that is dense in the design space. Experiments on standard benchmarks show improved lower-tail calibration and BO performance relative to standard GP models and globally calibrated GP models.

Authors 2

Aur\'elien Pion, Emmanuel Vazquez

Specification

Official page

arxiv.org/abs/2605.20145

Source:arXiv (Atom API + RSS)·T1·observed 5 h ago·high

Arxiv announce type

replace

Source:arXiv (Atom API + RSS)·T1·observed 5 h ago·high

arXiv id

2605.20145

Source:arXiv (Atom API + RSS)·T1·observed 5 h ago·high

Categories

stat.ML, cs.LG, stat.ME

Source:arXiv (Atom API + RSS)·T1·observed 5 h ago·high

PDF

arxiv.org/pdf/2605.20145

Source:arXiv (Atom API + RSS)·T1·observed 5 h ago·high

Primary category

stat.ML

Source:arXiv (Atom API + RSS)·T1·observed 5 h ago·high

Published

11 Sept 2026

Source:arXiv (Atom API + RSS)·T1·observed 5 h ago·high

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