A Tutorial on Thompson Sampling

7 Jul 2017Daniel RussoBenjamin Van RoyAbbas KazerouniIan OsbandZheng Wen

Thompson sampling is an algorithm for online decision problems where actions are taken sequentially in a manner that must balance between exploiting what is known to maximize immediate performance and investing to accumulate new information that may improve future performance. The algorithm addresses a broad range of problems in a computationally efficient manner and is therefore enjoying wide use... (read more)

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