Related papers: Asymptotic Convergence of Thompson Sampling

The empirically successful Thompson Sampling algorithm for stochastic bandits has drawn much interest in understanding its theoretical properties. One important benefit of the algorithm is that it allows domain knowledge to be conveniently…

Thompson Sampling (TS) is one of the most effective algorithms for solving contextual multi-armed bandit problems. In this paper, we propose a new algorithm, called Neural Thompson Sampling, which adapts deep neural networks for both…

We consider Thompson Sampling (TS) for linear combinatorial semi-bandits and subgaussian rewards. We propose the first known TS whose finite-time regret does not scale exponentially with the dimension of the problem. We further show the…

Ensemble sampling serves as a practical approximation to Thompson sampling when maintaining an exact posterior distribution over model parameters is computationally intractable. In this paper, we establish a regret bound that ensures…

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 (TS) is a powerful and widely used strategy for sequential decision-making, with applications ranging from Bayesian optimization to reinforcement learning (RL). Despite its success, the theoretical foundations of TS remain…

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…

This paper considers the use of a simple posterior sampling algorithm to balance between exploration and exploitation when learning to optimize actions such as in multi-armed bandit problems. The algorithm, also known as Thompson Sampling,…

We investigate properties of Thompson Sampling in the stochastic multi-armed bandit problem with delayed feedback. In a setting with i.i.d delays, we establish to our knowledge the first regret bounds for Thompson Sampling with arbitrary…

This paper studies the Bayesian regret of the Thompson Sampling algorithm for bandit problems, building on the information-theoretic framework introduced by Russo and Van Roy (2015). Specifically, it extends the rate-distortion analysis of…

Thompson sampling is one of the most widely used algorithms for many online decision problems, due to its simplicity in implementation and superior empirical performance over other state-of-the-art methods. Despite its popularity and…

Thompson sampling has proven effective across a wide range of stationary bandit environments. However, as we demonstrate in this paper, it can perform poorly when applied to non-stationary environments. We attribute such failures to the…

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…

We study the performance of the Thompson Sampling algorithm for logistic bandit problems. In this setting, an agent receives binary rewards with probabilities determined by a logistic function, $\exp(\beta \langle a, \theta…

This paper presents a new approach for batch Bayesian Optimization (BO) called Thompson Sampling-Regret to Sigma Ratio directed sampling (TS-RSR), where we sample a new batch of actions by minimizing a Thompson Sampling approximation of a…

We study the logistic bandit, in which rewards are binary with success probability $\exp(\beta a^\top \theta) / (1 + \exp(\beta a^\top \theta))$ and actions $a$ and coefficients $\theta$ are within the $d$-dimensional unit ball. While prior…

We study Thompson sampling (TS) in online decision making, where the uncertain environment is sampled from a mixture distribution. This is relevant in multi-task learning, where a learning agent faces different classes of problems. We…

Recently, it has been shown how sampling actions from the predictive distribution over the optimal action-sometimes called Thompson sampling-can be applied to solve sequential adaptive control problems, when the optimal policy is known for…

We study Thompson Sampling-based algorithms for stochastic bandits with bounded rewards. As the existing problem-dependent regret bound for Thompson Sampling with Gaussian priors [Agrawal and Goyal, 2017] is vacuous when $T \le 288 e^{64}$,…

We derive an alternative proof for the regret of Thompson sampling (\ts) in the stochastic linear bandit setting. While we obtain a regret bound of order $\widetilde{O}(d^{3/2}\sqrt{T})$ as in previous results, the proof sheds new light on…