Related papers: A study of Thompson Sampling with Parameter h
Thompson sampling is a heuristic algorithm for the multi-armed bandit problem which has a long tradition in machine learning. The algorithm has a Bayesian spirit in the sense that it selects arms based on posterior samples of reward…
The multi-armed bandit problem is a popular model for studying exploration/exploitation trade-off in sequential decision problems. Many algorithms are now available for this well-studied problem. One of the earliest algorithms, given by W.…
In algorithm optimization in reinforcement learning, how to deal with the exploration-exploitation dilemma is particularly important. Multi-armed bandit problem can optimize the proposed solutions by changing the reward distribution to…
We study Thompson Sampling algorithms for stochastic multi-armed bandits in the batched setting, in which we want to minimize the regret over a sequence of arm pulls using a small number of policy changes (or, batches). We propose two…
Thompson Sampling provides an efficient technique to introduce prior knowledge in the multi-armed bandit problem, along with providing remarkable empirical performance. In this paper, we revisit the Thompson Sampling algorithm under rewards…
Thompson Sampling is one of the oldest heuristics for multi-armed bandit problems. It is a randomized algorithm based on Bayesian ideas, and has recently generated significant interest after several studies demonstrated it to have better…
We propose algorithms based on a multi-level Thompson sampling scheme, for the stochastic multi-armed bandit and its contextual variant with linear expected rewards, in the setting where arms are clustered. We show, both theoretically and…
We consider the problem of the best arm identification in the presence of stochastic constraints, where there is a finite number of arms associated with multiple performance measures. The goal is to identify the arm that optimizes the…
We consider the multi armed bandit problem in non-stationary environments. Based on the Bayesian method, we propose a variant of Thompson Sampling which can be used in both rested and restless bandit scenarios. Applying discounting to the…
Thompson Sampling has recently been shown to be optimal in the Bernoulli Multi-Armed Bandit setting[Kaufmann et al., 2012]. This bandit problem assumes stationary distributions for the rewards. It is often unrealistic to model the real…
Top Two algorithms arose as an adaptation of Thompson sampling to best arm identification in multi-armed bandit models (Russo, 2016), for parametric families of arms. They select the next arm to sample from by randomizing among two…
We address the problem of online sequential decision making, i.e., balancing the trade-off between exploiting the current knowledge to maximize immediate performance and exploring the new information to gain long-term benefits using the…
Thompson sampling is one of the earliest randomized algorithms for multi-armed bandits (MAB). In this paper, we extend the Thompson sampling to Budgeted MAB, where there is random cost for pulling an arm and the total cost is constrained by…
In this paper, we propose a Thompson Sampling algorithm for \emph{unimodal} bandits, where the expected reward is unimodal over the partially ordered arms. To exploit the unimodal structure better, at each step, instead of exploration from…
Thompson sampling has impressive empirical performance for many multi-armed bandit problems. But current algorithms for Thompson sampling only work for the case of conjugate priors since these algorithms require to infer the posterior,…
Contextual multi-armed bandits are classical models in reinforcement learning for sequential decision-making associated with individual information. A widely-used policy for bandits is Thompson Sampling, where samples from a data-driven…
We consider a Bayesian budgeted multi-armed bandit problem, in which each arm consumes a different amount of resources when selected and there is a budget constraint on the total amount of resources that can be used. Budgeted Thompson…
Thompson sampling (TS) has optimal regret and excellent empirical performance in multi-armed bandit problems. Yet, in Bayesian optimization, TS underperforms popular acquisition functions (e.g., EI, UCB). TS samples arms according to the…
Thompson sampling is an efficient algorithm for sequential decision making, which exploits the posterior uncertainty to address the exploration-exploitation dilemma. There has been significant recent interest in integrating Bayesian neural…
Thompson sampling (TS) is widely used for stochastic multi-armed bandits, yet its inferential properties under adaptive data collection are subtle. Classical asymptotic theory for sample means can fail because arm-specific sample sizes are…