Inhomogeneities in real-world data, e.g., due to changes in the observation noise level or variations in the structural complexity of the source function, pose a unique set of challenges for statistical inference. Accounting for them can greatly improve predictive power when physical resources or computation time is limited. In this paper, we draw on recent theoretical results on the estimation of local function complexity (LFC), derived from the domain of local polynomial smoothing (LPS), to establish a notion of local structural complexity, which is used to develop a model-agnostic active learning (AL) framework. Due to its reliance on pointwise estimates, the LPS model class is not robust and scalable concerning large input space dimensions that typically come along with real-world problems. Here, we derive and estimate the Gaussian process regression (GPR)-based analog of the LPS-based LFC and use it as a substitute in the above framework to make it robust and scalable. We assess the effectiveness of our LFC estimate in an AL application on a prototypical low-dimensional synthetic dataset, before taking on the challenging real-world task of reconstructing a quantum chemical force field for a small organic molecule and demonstrating state-of-the-art performance with a significantly reduced training demand.

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