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A majority of experimental disciplines face the challenge of exploring large and high-dimensional parameter spaces in search of new scientific discoveries. Materials science is no exception; the wide variety of synthesis, processing, and environmental conditions that influence material properties gives rise to particularly vast parameter spaces. Recent advances have led to an increase in efficiency of materials discovery by increasingly automating the exploration processes. Methods for autonomous experimentation have become more sophisticated recently, allowing for multi-dimensional parameter spaces to be explored efficiently and with minimal human intervention, thereby liberating the scientists to focus on interpretations and big-picture decisions. Gaussian process regression (GPR) techniques have emerged as the method of choice for steering many classes of experiments. We have recently demonstrated the positive impact of GPR-driven decision-making algorithms on autonomously steering experiments at a synchrotron beamline. However, due to the complexity of the experiments, GPR often cannot be used in its most basic form, but rather has to be tuned to account for the special requirements of the experiments. Two requirements seem to be of particular importance, namely inhomogeneous measurement noise (input dependent or non-i.i.d.) and anisotropic kernel functions, which are the two concepts that we tackle in this paper. Our synthetic and experimental tests demonstrate the importance of both concepts for experiments in materials science and the benefits that result from including them in the autonomous decision-making process.