Prequential E-Values for Selected-GP Near-Optimality Certificates

Abstract

When optimizing an expensive black-box function sequentially, as in hyperparameter optimization, we may want to stop once the best evaluated value is certified within $\varepsilon$ of the global optimum. Such a certificate needs two ingredients: a lower confidence bound for the selected value and an upper confidence envelope over the domain, typically supplied by a Gaussian process (GP). GP-UCB-style stopping rules are valid when the kernel and constants defining this envelope are fixed before the run, but the practical temptation is to tune the envelope from the same adaptive evaluations and then certify as if it had been fixed. We use prequential e-values to make this selection auditable: starting from a predeclared set of fully specified GP/RKHS envelopes, each candidate is tested by its own one-step-ahead e-process, contradicted candidates are deleted, and certification uses the largest upper bound among the survivors. With a valid selected-point lower bound and one declared candidate having valid latent coverage and noise calibration, the rule is anytime-valid. On a 512-seed noisy RBF stress sweep, it roughly halves false-certification risk at comparable power versus fit-then-certify. Relative to random fixed GP precommitment on smooth $d=3,4$ objectives, each additional false certificate is accompanied by 3.0 and 13.5 additional correct certificates, respectively.