An Empirical Evaluation of Thompson Sampling

NeurIPS 2011  ·  Olivier Chapelle, Lihong Li ·

Thompson sampling is one of oldest heuristic to address the exploration / exploitation trade-off, but it is surprisingly not very popular in the literature. We present here some empirical results using Thompson sampling on simulated and real data, and show that it is highly competitive. And since this heuristic is very easy to implement, we argue that it should be part of the standard baselines to compare against.

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