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Thompson sampling: an asymptotically optimal finite-time analysis

ALT, pp.199-213, (2012)

Cited by: 464|Views119
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Abstract

The question of the optimality of Thompson Sampling for solving the stochastic multi-armed bandit problem had been open since 1933. In this paper we answer it positively for the case of Bernoulli rewards by providing the first finite-time analysis that matches the asymptotic rate given in the Lai and Robbins lower bound for the cumulative...More

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