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Distributionally Robust Active Learning for Gaussian Process Regression

ICML 2025 · Learning theory and algorithms › Kernels and regression theory · approach: Kernel ridge regression analysis · 0 citations (OpenAlex)

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Proposes two distributionally robust active learning methods for Gaussian process regression that minimize the worst-case expected posterior variance over an ambiguity set of target distributions, with convergence guarantees.

Problem

Active learning for GPR/kernel ridge regression lacks theoretical guarantees on prediction error under a target distribution, which is hard to specify; the paper targets worst-case expected squared error over a set of candidate target distributions.

Approach

Extends US/RS-style variance-based guarantees to distributionally robust AL: an RS variant samples from the worst-case target distribution, and an approximately greedy variant minimizes expected posterior variance under that distribution with a constraint on candidate uncertainty, yielding high-probability bounds on worst-case expected error.

Key results

Measured effects reported in the paper

What was changedWhereMeasuredEffect
Use distribution-aware DR or constrained DR variance reduction instead of standard active-learning baselinesGaussian process regression active learning · Synthetic datasetsworst-case expected squared error E_THelped
Use distribution-aware DR or constrained DR variance reduction instead of standard active-learning baselinesGaussian process regression active learning · King County house sales, red wine quality, and auto MPGworst-case expected squared error E_THelped
Use uncertainty sampling or variance reduction without incorporating the ambiguity setGaussian process regression active learning · Synthetic datasets with small ηworst-case expected squared error E_THurt
Use expected predictive information gain instead of an acquisition function targeting squared errorGaussian process regression active learning · Synthetic datasets, η = 0, 0.001, 0.01, 0.1worst-case expected squared error E_THurt
Remove the uncertainty constraint from constrained DR variance reduction, yielding DR variance reduction (ablation)Constrained DR variance reduction · Synthetic datasetsworst-case expected squared error E_THelped
Use DR random sampling instead of DR or constrained DR variance reductionGaussian process regression active learning · Synthetic datasetsworst-case expected squared error E_THurt

Surprising findings

Limitations

Experimental setup

Datasets: King County house sales (1000-point subsample) red wine quality auto MPG synthetic GP sample paths on a 11^3 grid

Benchmarks: synthetic GP sample paths King County house sales red wine quality auto MPG

Metrics: worst-case expected squared error E_T max expected posterior variance

Baselines: random sampling uncertainty sampling variance reduction expected predictive information gain (EPIG) DR variance reduction (unconstrained ablation)

Builds on: kernelized bandits maximum information gain analysis distributionally robust learning Bayesian and frequentist GP confidence bounds transductive active learning

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