Gaussian Process Bandits for Constraint Black Box Lever Optimization

Abstract

Optimizing discrete allocation weights across competing segments of a shared budget is a fundamental challenge in resource-constrained, sequential decision-making environments. In practice, this optimization is often hindered by delayed, noisy, and aggregate feedback, alongside strict operational constraints on how frequently weights can be adjusted. Because of the resulting combinatorial action space and extreme data sparsity, classical multi-armed bandit algorithms that evaluate arms independently are rendered highly inefficient. To overcome these limitations, we propose a segmentation-agnostic approach utilizing Gaussian Process Upper Confidence Bound (GP-UCB) algorithms. By placing a Gaussian Process prior on the reward function, our method effectively shares information across neighboring configurations, drastically reducing the necessary exploration horizon. In this paper, we bridge the gap between theoretical bandit research and production-scale deployment. We first introduce a high-fidelity synthetic simulator to evaluate various kernel configurations under stationary, drifting, and reactive environments, identifying a composite Matérn + Linear kernel as the most robust choice for overcoming local noise and global shifts. Finally, we validate our findings through a large-scale Randomized Controlled Trial (RCT) in a live production environment. Our empirical results demonstrate that the GP-UCB approach delivers a statistically significant efficiency lift compared to a standard $\varepsilon$-greedy baseline, offering a highly practical solution for real-world black-box lever optimization.