Thompson Sampling via Local Uncertainty

ICML 2020

Thompson sampling is an efficient algorithm for sequential decision making, which exploits the posterior uncertainty to solve the exploration-exploitation dilemma. There has been significant recent interest in integrating Bayesian neural networks into Thompson sampling. Most of these methods rely on global variable uncertainty for exploration. In this paper, we propose a new probabilistic modeling framework for Thompson sampling, where local latent variable uncertainty is used to sample the mean reward. Variational inference is used to approximate the posterior of the local variable, and semi-implicit structure is further introduced to enhance its expressiveness. Our experimental results on eight contextual bandits benchmark datasets show that Thompson sampling guided by local uncertainty achieves state-of-the-arts performance while having low computational complexity. Speakers: Zhendong Wang, Mingyuan Zhou