Related papers: Thompson Sampling for High-Dimensional Sparse Line…

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…

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 study the multi-objective linear contextual bandit problem, where multiple possible conflicting objectives must be optimized simultaneously. We propose \texttt{MOL-TS}, the \textit{first} Thompson Sampling algorithm with Pareto regret…

In linear contextual bandits, the objective is to select actions that maximize cumulative rewards, modeled as a linear function with unknown parameters. Although Thompson Sampling performs well empirically, it does not achieve optimal…

We study the efficiency of Thompson sampling for contextual bandits. Existing Thompson sampling-based algorithms need to construct a Laplace approximation (i.e., a Gaussian distribution) of the posterior distribution, which is inefficient…

Thompson Sampling, one of the oldest heuristics for solving multi-armed bandits, has recently been shown to demonstrate state-of-the-art performance. The empirical success has led to great interests in theoretical understanding of this…

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…

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…

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…

Recent advances in contextual bandit optimization and reinforcement learning have garnered interest in applying these methods to real-world sequential decision making problems. Real-world applications frequently have constraints with…

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 for multi-armed bandit problems is known to enjoy favorable performance in both theory and practice. However, it suffers from a significant limitation computationally, arising from the need for samples from posterior…

Thompson Sampling has been widely used for contextual bandit problems due to the flexibility of its modeling power. However, a general theory for this class of methods in the frequentist setting is still lacking. In this paper, we present a…

We explore a stochastic contextual linear bandit problem where the agent observes a noisy, corrupted version of the true context through a noise channel with an unknown noise parameter. Our objective is to design an action policy that can…

In this paper, we introduce and analyze a variant of the Thompson sampling (TS) algorithm for contextual bandits. At each round, traditional TS requires samples from the current posterior distribution, which is usually intractable. To…

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…

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…

Contextual bandits constitute a classical framework for decision-making under uncertainty. In this setting, the goal is to learn the arms of highest reward subject to contextual information, while the unknown reward parameters of each arm…

We investigate finite stochastic partial monitoring, which is a general model for sequential learning with limited feedback. While Thompson sampling is one of the most promising algorithms on a variety of online decision-making problems,…

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 $T \le 288 e^{64}$,…