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Conference papers
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.
Keywords :
Thompson Sampling
Bandits
https://hal.telecom-paris.fr/hal-02286442
Contributor : Telecomparis Hal <>
Submitted on : Friday, September 13, 2019 - 3:45:17 PM
Last modification on : Wednesday, June 24, 2020 - 4:19:53 PM
Contributor : Telecomparis Hal <>
Submitted on : Friday, September 13, 2019 - 3:45:17 PM
Last modification on : Wednesday, June 24, 2020 - 4:19:53 PM
