Related papers: Regenerative Particle Thompson Sampling
We consider the contextual bandit problem, where a player sequentially makes decisions based on past observations to maximize the cumulative reward. Although many algorithms have been proposed for contextual bandit, most of them rely on…
A challenging aspect of the bandit problem is that a stochastic reward is observed only for the chosen arm and the rewards of other arms remain missing. The dependence of the arm choice on the past context and reward pairs compounds the…
This paper addresses the computational challenges in reliability-based topology optimization (RBTO) of structures associated with the estimation of statistics of the objective and constraints using standard sampling methods, and overcomes…
We discuss a multiple-play multi-armed bandit (MAB) problem in which several arms are selected at each round. Recently, Thompson sampling (TS), a randomized algorithm with a Bayesian spirit, has attracted much attention for its empirically…
In this paper, we study sequential decision-making for maximizing the Sharpe ratio (SR) in a stochastic multi-armed bandit (MAB) setting. Unlike standard bandit formulations that maximize cumulative reward, SR optimization requires…
Robust tensor completion (RTC) aims to recover a low-rank tensor from its incomplete observation with outlier corruption. The recently proposed tensor ring (TR) model has demonstrated superiority in solving the RTC problem. However, the…
We consider the problem of statistical inference when the data is collected via a Thompson Sampling-type algorithm. While Thompson Sampling (TS) is known to be both asymptotically optimal and empirically effective, its adaptive sampling…
Thompson Sampling is one of the most effective methods for contextual bandits and has been generalized to posterior sampling for certain MDP settings. However, existing posterior sampling methods for reinforcement learning are limited by…
We show that it is feasible to carry out exact Bayesian inference for non-Gaussian state space models using an adaptive Metropolis Hastings sampling scheme with the likelihood approximated by the particle filter. Furthermore, an adapyive…
This letter proposes a linear bandit-based beam training framework for near-field communication under multi-path channels. By leveraging Thompson Sampling (TS), the framework adaptively balances exploration and exploitation to maximize…
Preference feedback, in the form of pairwise comparisons rather than scalar scores, has seen increasing use in applications such as human-, laboratory-, and expert-in-the-loop design, as well as scientific discovery. We propose a Thompson…
Non-invasive flow measurement techniques, such as particle tracking velocimetry, resolve 3D velocity fields by pairing tracer particle positions in successive time steps. These trajectories are crucial for evaluating physical quantities…
Thompson sampling (TS) is one of the most popular and earliest algorithms to solve stochastic multi-armed bandit problems. We consider a variant of TS, named $\alpha$-TS, where we use a fractional or $\alpha$-posterior ($\alpha\in(0,1)$)…
The long runtime associated with simulating multidisciplinary systems challenges the use of Bayesian optimization for multidisciplinary design optimization (MDO). This is particularly the case if the coupled system is modeled in a…
Most existing approximate Thompson Sampling (TS) algorithms for multi-armed bandits use Stochastic Gradient Langevin Dynamics (SGLD) or its variants in each round to sample from the posterior, relaxing the need for conjugacy assumptions…
Bayesian optimization devolves the global optimization of a costly objective function to the global optimization of a sequence of acquisition functions. This inner-loop optimization can be catastrophically difficult if it involves posterior…
Thompson Sampling (TS) is widely used to address the exploration/exploitation tradeoff in contextual bandits, yet recent theory shows that it does not explore aggressively enough in high-dimensional problems. Feel-Good Thompson Sampling…
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…
Mixture-model particle filters such as the ensemble Gaussian mixture filter require a resampling procedure in order to converge to exact Bayesian inference. Canonically, stochastic resampling is performed, which provides useful samples with…
Non-stationary multi-armed bandit (NS-MAB) problems have recently received significant attention. NS-MAB are typically modelled in two scenarios: abruptly changing, where reward distributions remain constant for a certain period and change…