A Note on Information-Directed Sampling and Thompson Sampling

Published 24 Mar 2015 in cs.LG and cs.AI | (1503.06902v1)

Abstract: This note introduce three Bayesian style Multi-armed bandit algorithms: Information-directed sampling, Thompson Sampling and Generalized Thompson Sampling. The goal is to give an intuitive explanation for these three algorithms and their regret bounds, and provide some derivations that are omitted in the original papers.

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Li Zhou

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