MINTS: Minimalist Thompson Sampling

Kaizheng Wang

Keywords: Stochastic optimization, Bayesian method, profile likelihood, regret analysis

Abstract: The Bayesian paradigm offers principled tools for sequential decision-making under uncertainty, but its reliance on a probabilistic model for all parameters can hinder the incorporation of complex structural constraints. We introduce a minimalist Bayesian framework that places a prior only on the location of the optimum. Nuisance parameters are eliminated via profile likelihood, which naturally handles constraints. As a direct instantiation, we develop a MINimalist Thompson Sampling (MINTS) algorithm. We further analyze MINTS for multi-armed bandits and establish near-optimal regret guarantees.

Submission Number: 73