Thompson Sampling via Local Uncertainty

October 30, 2019 ยท Declared Dead ยท ๐Ÿ› International Conference on Machine Learning

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Authors Zhendong Wang, Mingyuan Zhou arXiv ID 1910.13673 Category stat.ML: Machine Learning (Stat) Cross-listed cs.LG, stat.ME Citations 21 Venue International Conference on Machine Learning Last Checked 4 months ago
Abstract
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 networks into Thompson sampling. Most of these methods rely on global variable uncertainty for exploration. In this paper, we propose a new probabilistic modeling framework for Thompson sampling, where local latent variable uncertainty is used to sample the mean reward. Variational inference is used to approximate the posterior of the local variable, and semi-implicit structure is further introduced to enhance its expressiveness. Our experimental results on eight contextual bandit benchmark datasets show that Thompson sampling guided by local uncertainty achieves state-of-the-art performance while having low computational complexity.
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