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Thompson Sampling on Asymmetric $α$-Stable Bandits (2203.10214v2)

Published 19 Mar 2022 in stat.ML and cs.LG

Abstract: In algorithm optimization in reinforcement learning, how to deal with the exploration-exploitation dilemma is particularly important. Multi-armed bandit problem can optimize the proposed solutions by changing the reward distribution to realize the dynamic balance between exploration and exploitation. Thompson Sampling is a common method for solving multi-armed bandit problem and has been used to explore data that conform to various laws. In this paper, we consider the Thompson Sampling approach for multi-armed bandit problem, in which rewards conform to unknown asymmetric $\alpha$-stable distributions and explore their applications in modelling financial and wireless data.

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