Thompson Sampling with Approximate Inference

A tutorial on Thompson sampling

Russo, D. J., Roy, B. V., Kazerouni, A., Osband, I., and Wen, Z · 1935

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An introduction to MCMC for machine learning

Andrieu, C., de Freitas, N., Doucet, A., and Jordan, M. I · 2003

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A distribution dependent refinement of Pinsker’s inequality

Ordentlich, E. and Weinberger, M. J · 2004

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Divergence measures and message passing

Minka, T · 2005

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A tutorial on particle filtering and smoothing: Fifteen years later

Doucet, A. and Johansen, A · 2009

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Families of alpha- beta- and gamma- divergences: Flexible and robust measures of similarities

Cichocki, A. and Amari, S · 2010

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Further optimal regret bounds for Thompson sampling

Agrawal, S. and Goyal, N · 2013

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Thompson sampling for complex online problems

Gopalan, A., Mannor, S., and Mansour, Y · 2014

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Efficient Thompson sampling for online matrix-factorization recommendation

Kawale, J., Bui, H. H., Kveton, B., Tran-Thanh, L., and Chawla, S · 2015

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On the prior sensitivity of thompson sampling

Liu, C.-Y. and Li, L · 2016

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Generalization and exploration via randomized value functions

Osband, I., Van Roy, B., and Wen, Z · 2016

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Simple Bayesian algorithms for best arm identification

Russo, D · 2016

Cited alongside, same era.

An information-theoretic analysis of Thompson sampling

Russo, D. and Roy, B. V · 2016

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Probabilistic programming in Python using PyMC3

Salvatier, J., Wiecki, T. V., and Fonnesbeck, C · 2016

Cited alongside, same era.

Stan: A probabilistic programming language

Carpenter, B., Gelman, A., Hoffman, M., Lee, D., Goodrich, B., Betancourt, M., Brubaker, M., Guo, J., Li, P., and Riddell, A · 2017

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Ensemble sampling

Lu, X. and Van Roy, B · 2017

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Improving the expected improvement algorithm

Qin, C., Klabjan, D., and Russo, D · 2017

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/Infer.NET 0.3, 2018

Minka, T., Winn, J., Guiver, J., Zaykov, Y., Fabian, D., and Bronskill, J · 2018

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Deep Bayesian bandits showdown: An empirical comparison of bayesian deep networks for thompson sampling

Riquelme, C., Tucker, G., and Snoek, J · 2018

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Variational inference for the multi-armed contextual bandit

Original

Urteaga, I. and Wiggins, C · 2018