On Regret Bounds of Thompson Sampling for Bayesian Optimization

Shion Takeno, Shogo Iwazaki
Proceedings of the 43rd International Conference on Machine Learning, PMLR 306:118354-118389, 2026.

Abstract

We study a widely used Bayesian optimization method, Gaussian process Thompson sampling (GP-TS), under the assumption that the objective function is a sample path from a GP. Compared with the GP upper confidence bound (GP-UCB) with established high-probability and expected regret bounds, most analyses of GP-TS have been limited to expected regret. Moreover, whether the recent analyses of GP-UCB for the lenient regret and the improved cumulative regret upper bound can be applied to GP-TS remains unclear. To fill these gaps, this paper shows several regret bounds: (i) a regret lower bound for GP-TS, which implies that GP-TS suffers from a polynomial dependence on $1/\delta$ with probability $\delta$, (ii) an upper bound of the second moment of cumulative regret, which directly suggests an improved regret upper bound on $\delta$, (iii) expected lenient regret upper bounds, and (iv) an improved cumulative regret upper bound on the time horizon $T$. Along the way, we provide several useful lemmas, including a relaxation of the necessary condition from recent analysis to obtain improved regret upper bounds on $T$.

Cite this Paper

BibTeX
@InProceedings{pmlr-v306-takeno26a, title = {On Regret Bounds of Thompson Sampling for {B}ayesian Optimization}, author = {Takeno, Shion and Iwazaki, Shogo}, booktitle = {Proceedings of the 43rd International Conference on Machine Learning}, pages = {118354--118389}, year = {2026}, editor = {Zhang, Tong and Dudik, Miroslav and Jaggi, Martin and Agarwal, Alekh and Li, Sharon and Schuurmans, Dale and Zhu, Jerry and Berkenkamp, Felix and Dong, Hanze and Bietti, Alberto}, volume = {306}, series = {Proceedings of Machine Learning Research}, month = {06--11 Jul}, publisher = {PMLR}, pdf = {https://raw.githubusercontent.com/mlresearch/v306/main/assets/takeno26a/takeno26a.pdf}, url = {https://proceedings.mlr.press/v306/takeno26a.html}, abstract = {We study a widely used Bayesian optimization method, Gaussian process Thompson sampling (GP-TS), under the assumption that the objective function is a sample path from a GP. Compared with the GP upper confidence bound (GP-UCB) with established high-probability and expected regret bounds, most analyses of GP-TS have been limited to expected regret. Moreover, whether the recent analyses of GP-UCB for the lenient regret and the improved cumulative regret upper bound can be applied to GP-TS remains unclear. To fill these gaps, this paper shows several regret bounds: (i) a regret lower bound for GP-TS, which implies that GP-TS suffers from a polynomial dependence on $1/\delta$ with probability $\delta$, (ii) an upper bound of the second moment of cumulative regret, which directly suggests an improved regret upper bound on $\delta$, (iii) expected lenient regret upper bounds, and (iv) an improved cumulative regret upper bound on the time horizon $T$. Along the way, we provide several useful lemmas, including a relaxation of the necessary condition from recent analysis to obtain improved regret upper bounds on $T$.} }
Endnote
%0 Conference Paper %T On Regret Bounds of Thompson Sampling for Bayesian Optimization %A Shion Takeno %A Shogo Iwazaki %B Proceedings of the 43rd International Conference on Machine Learning %C Proceedings of Machine Learning Research %D 2026 %E Tong Zhang %E Miroslav Dudik %E Martin Jaggi %E Alekh Agarwal %E Sharon Li %E Dale Schuurmans %E Jerry Zhu %E Felix Berkenkamp %E Hanze Dong %E Alberto Bietti %F pmlr-v306-takeno26a %I PMLR %P 118354--118389 %U https://proceedings.mlr.press/v306/takeno26a.html %V 306 %X We study a widely used Bayesian optimization method, Gaussian process Thompson sampling (GP-TS), under the assumption that the objective function is a sample path from a GP. Compared with the GP upper confidence bound (GP-UCB) with established high-probability and expected regret bounds, most analyses of GP-TS have been limited to expected regret. Moreover, whether the recent analyses of GP-UCB for the lenient regret and the improved cumulative regret upper bound can be applied to GP-TS remains unclear. To fill these gaps, this paper shows several regret bounds: (i) a regret lower bound for GP-TS, which implies that GP-TS suffers from a polynomial dependence on $1/\delta$ with probability $\delta$, (ii) an upper bound of the second moment of cumulative regret, which directly suggests an improved regret upper bound on $\delta$, (iii) expected lenient regret upper bounds, and (iv) an improved cumulative regret upper bound on the time horizon $T$. Along the way, we provide several useful lemmas, including a relaxation of the necessary condition from recent analysis to obtain improved regret upper bounds on $T$.
APA
Takeno, S. & Iwazaki, S.. (2026). On Regret Bounds of Thompson Sampling for Bayesian Optimization. Proceedings of the 43rd International Conference on Machine Learning, in Proceedings of Machine Learning Research 306:118354-118389 Available from https://proceedings.mlr.press/v306/takeno26a.html.

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