Author

Jonas Hanselle

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#machine learning Preprint Oct 2026

Bayesian Optimization of CVaR with Unknown Hyperparameters

We study Bayesian optimization of the Conditional Value-at-Risk (CVaR) of an expensive black-box function that depends on a decision and an environmental variable. Existing no-regret algorithms assume that the correct Gaussian process (GP) kernel and its hyperparameters are known. In practice, however, they must be est...

Valentin Margraf, Jonas Hanselle, Viktor Bengs et al. · 0 citations