Thompson sampling, named after William Rae Thompson, is a heuristic for choosing actions that address the exploration–exploitation dilemma in the multi-armed bandit problem. It consists of choosing the action that maximizes the expected reward with respect to a randomly drawn belief.
Description Consider a set of contexts X {\displaystyle {\mathcal {X}}} , a set of actions A {\displaystyle {\mathcal {A}}} , and rewards in R {\displaystyle \mathbb {R} } . The aim of the player is to play actions under the various contexts, such as to maximize the cumulative rewards. Specifically, in each round, the player obtains a context x ∈ X {\displaystyle x\in {\mathcal {X}}} , plays an action a ∈ A {\displaystyle a\in {\mathcal {A}}} and receives a reward r ∈ R {\displaystyle r\in \mathbb {R} } following a distribution that depends on the context and the issued action. The elements of Thompson sampling are as follows:
a likelihood function P ( r | θ , a , x ) {\displaystyle P(r|\theta ,a,x)} ; a set Θ {\displaystyle \Theta } of parameters θ {\displaystyle \theta } of the distribution of r {\displaystyle r} ; a prior distribution P ( θ ) {\displaystyle P(\theta )} on these parameters; past observations triplets D = { ( x ; a ; r ) } {\displaystyle {\mathcal {D}}=\{(x;a;r)\}} ; a posterior distribution P ( θ | D ) ∝ P ( D | θ ) P ( θ ) {\displaystyle P(\theta |{\mathcal {D}})\propto P({\mathcal {D}}|\theta )P(\theta )} , where P ( D | θ ) {\displaystyle P({\mathcal {D}}|\theta )} is the likelihood function. Thompson sampling consists of playing the action a ∗ ∈ A {\displaystyle a^{\ast }\in {\mathcal {A}}} according to the probability that it maximizes the expected reward; action a ∗ {\displaystyle a^{\ast }} is chosen with probability
∫ I [ E ( r | a ∗ , x , θ ) = max a ′ E ( r | a ′ , x , θ ) ] P ( θ | D ) d θ , {\displaystyle \int \mathbb {I} \left[\mathbb {E} (r|a^{\ast },x,\theta )=\max _{a'}\mathbb {E} (r|a',x,\theta )\right]P(\theta |{\mathcal {D}})d\theta ,}
where I {\displaystyle \mathbb {I} } is the indicator function. In practice, the rule is implemented by sampling. In each round, parameters θ ∗ {\displaystyle \theta ^{\ast }} are sampled from the posterior P ( θ | D ) {\displaystyle P(\theta |{\mathcal {D}})} , and an action a ∗ {\displaystyle a^{\ast }} chosen that maximizes E [ r | θ ∗ , a ∗ , x ] {\displaystyle \mathbb {E} [r|\theta ^{\ast },a^{\ast },x]} , i.e. the expected reward given the sampled parameters, the action, and the current context. Conceptually, this means that the player instantiates their beliefs randomly in each round according to the posterior distribution, and then acts optimally according to them. In most practical applications, it is computationally onerous to maintain and sample from a posterior distribution over models. As such, Thompson sampling is often used in conjunction with approximate sampling techniques.
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