Anisotropic Trust Region Warping for Prior-Data Fitted Networks in Bayesian Optimisation

arXiv:2610.37737v1 Announce Type: new Abstract: Prior-Data Fitted Networks (PFNs) replace the hyperparameter refitting of Gaussian Process (GP) surrogates in Bayesian optimisation with a single forward pass, at the cost of a prior that is fixed at meta-training time. We show empirically that a PFN's predictive log-likelihood falls increasingly behind that of a refitted GP as the objective function's lengthscale grows beyond the mode of the PFN's meta-training prior, and that this deficit carries over to optimisation performance. To correct the mismatch without retraining the network, we introduce Anisotropic Trust Region (ATR) warping.