相关论文: VITS : Variational Inference Thompson Sampling for…

Thompson Sampling (TS) has attracted a lot of interest due to its good empirical performance, in particular in the computational advertising. Though successful, the tools for its performance analysis appeared only recently. In this paper,…

Stochastic rising rested bandit (SRRB) is a setting where the arms' expected rewards increase as they are pulled. It models scenarios in which the performances of the different options grow as an effect of an underlying learning process…

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…

Thompson sampling (TS) is widely used in sequential decision making due to its ease of use and appealing empirical performance. However, many existing analytical and empirical results for TS rely on restrictive assumptions on reward…

Contextual bandits are widely-used in the study of learning-based control policies for finite action spaces. While the problem is well-studied for bandits with perfectly observed context vectors, little is known about the case of…

We introduce a framework for Thompson sampling (TS) contextual bandit algorithms, in which the algorithm's ability to quantify uncertainty and make decisions depends on the quality of a generative model that is learned offline. Instead of…

Bandit algorithms sequentially accumulate data using adaptive sampling policies, offering flexibility for real-world applications. However, excessive sampling can be costly, motivating the devolopment of early stopping methods and reliable…

We consider online sequential decision problems where an agent must balance exploration and exploitation. We derive a set of Bayesian `optimistic' policies which, in the stochastic multi-armed bandit case, includes the Thompson sampling…

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 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…

In this paper we consider Thompson Sampling (TS) for combinatorial semi-bandits. We demonstrate that, perhaps surprisingly, TS is sub-optimal for this problem in the sense that its regret scales exponentially in the ambient dimension, and…

We address online combinatorial optimization when the player has a prior over the adversary's sequence of losses. In this framework, Russo and Van Roy proposed an information-theoretic analysis of Thompson Sampling based on the information…

We study the Combinatorial Thompson Sampling policy (CTS) for combinatorial multi-armed bandit problems (CMAB), within an approximation regret setting. Although CTS has attracted a lot of interest, it has a drawback that other usual CMAB…

We study the effects of approximate inference on the performance of Thompson sampling in the $k$-armed bandit problems. Thompson sampling is a successful algorithm for online decision-making but requires posterior inference, which often…

This paper studies the stochastic linear bandit problem, where a decision-maker chooses actions from possibly time-dependent sets of vectors in $\mathbb{R}^d$ and receives noisy rewards. The objective is to minimize regret, the difference…

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…

In this paper we study a multi-arm bandit problem in which the quality of each arm is measured by the Conditional Value at Risk (CVaR) at some level alpha of the reward distribution. While existing works in this setting mainly focus on…

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…

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…

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…