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An Empirical Evaluation of Thompson Sampling
Olivier Chapelle · Lihong Li

Tue Dec 13 08:45 AM -- 02:59 PM (PST) @

Thompson sampling is one of oldest heuristic to address the exploration / exploitation trade-off, but it is surprisingly not very popular in the literature. We present here some empirical results using Thompson sampling on simulated and real data, and show that it is highly competitive. And since this heuristic is very easy to implement, we argue that it should be part of the standard baselines to compare against.

Author Information

Olivier Chapelle (Google)
Lihong Li (Amazon)

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