2020/06/30 by Seungki Min, Ciamac C. Moallemi, Min, Seungki +3
Computer Science · Decision Sciences · #Advanced Bandit Algorithms Research #Artificial Intelligence (cs.AI) #FOS: Computer and information sciences #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Machine Learning and Algorithms #Reinforcement Learning in Robotics
paper · pdf · doi:10.48550/arxiv.2006.16507
openalex publication_date 2020/06/30 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We study the use of policy gradient algorithms to optimize over a class of generalized Thompson sampling policies. Our central insight is to view the posterior parameter sampled by Thompson sampling as a kind of pseudo-action. Policy gradient methods can then be tractably applied to search over a class of sampling policies, which determine a probability distribution over pseudo-actions (i.e., sampled parameters) as a function of observed data. We also propose and compare policy gradient estimators that are specialized to Bayesian bandit problems. Numerical experiments demonstrate that direct policy search on top of Thompson sampling automatically corrects for some of the algorithm's known shortcomings and offers meaningful improvements even in long horizon problems where standard Thompson sampling is extremely effective.