An Empirical Evaluation of Thompson Sampling

Part of Advances in Neural Information Processing Systems 24 (NIPS 2011)

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Olivier Chapelle, Lihong Li


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.