Year: 2017
Type: preprint
Abstract: Thompson sampling has emerged as an effective heuristic for a broad range of online decision problems. In its basic form, the algorithm requires computing and sampling from a posterior distribution over models, which is tractable only for simple special cases. This paper develops ensemble sampling, which aims to approximate Thompson sampling while maintaining tractability even in the face of complex models such as neural networks. Ensemble sampling dramatically expands on the range of applications for which Thompson sampling is viable. We establish a theoretical basis that supports the approach and present computational results that offer further insight.
Source: arXiv (Cornell University)
Authors: Lu, Xiuyuan, Van Roy, Benjamin
Institution: Stanford University
Language: English
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2753355075