Meta-Thompson Sampling

Branislav Kveton, Mikhail Konobeev, Manzil Zaheer, Chih-Wei Hsu, Martin Mladenov, Craig Boutilier, Csaba Szepesvári

Abstract: Efficient exploration in bandits is a fundamental online learning problem. We propose a variant of Thompson sampling that learns to explore better as it interacts with bandit instances drawn from a...