Thompson Sampling : an asymptotically optimal finite time analysis

Abstract :

The question of the optimality of Thompson Sampling for solving the stochastic multi-armed bandit problem had been open since 1933. In this paper we answer it positively for the case of Bernoulli rewards by providing the first finite-time analysis that matches the asymptotic rate given in the Lai and Robbins lower bound for the cumulative regret. The proof is accompanied by a numerical comparison with other optimal policies, experiments that have been lacking in the literature until now for the Bernoulli case.

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https://hal.telecom-paristech.fr/hal-02286442
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Submitted on : Friday, September 13, 2019 - 3:45:17 PM
Last modification on : Thursday, October 17, 2019 - 12:37:02 PM

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  • HAL Id : hal-02286442, version 1

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Emilie Kaufmann, Nathaniel Korda, Rémi Munos. Thompson Sampling : an asymptotically optimal finite time analysis. International Conference on Algorithmic Learning Theory, Nov 2012, Lyon, France. pp.199-213. ⟨hal-02286442⟩

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