Scalar Posterior Sampling with Applications

Part of Advances in Neural Information Processing Systems 31 (NeurIPS 2018)

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Authors

Georgios Theocharous, Zheng Wen, Yasin Abbasi Yadkori, Nikos Vlassis

Abstract

<p>We propose a practical non-episodic PSRL algorithm that unlike recent state-of-the-art PSRL algorithms uses a deterministic, model-independent episode switching schedule. Our algorithm termed deterministic schedule PSRL (DS-PSRL) is efficient in terms of time, sample, and space complexity. We prove a Bayesian regret bound under mild assumptions. Our result is more generally applicable to multiple parameters and continuous state action problems. We compare our algorithm with state-of-the-art PSRL algorithms on standard discrete and continuous problems from the literature. Finally, we show how the assumptions of our algorithm satisfy a sensible parameterization for a large class of problems in sequential recommendations.</p>