Statistical Efficiency of Thompson Sampling for Combinatorial Semi-Bandits

Part of Advances in Neural Information Processing Systems 33 pre-proceedings (NeurIPS 2020)

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Authors

Pierre Perrault, Etienne Boursier, Michal Valko, Vianney Perchet

Abstract

We investigate stochastic combinatorial multi-armed bandit with semi-bandit feedback (CMAB). In CMAB, the question of the existence of an efficient policy with an optimal asymptotic regret (up to a factor poly-logarithmic with the action size) is still open for many families of distributions, including mutually independent outcomes, and more generally the multivariate \emph{sub-Gaussian} family. We propose to answer the above question for these two families by analyzing variants of the Combinatorial Thompson Sampling policy (CTS). For mutually independent outcomes in $[0,1]$, we propose a tight analysis of CTS using Beta priors. We then look at the more general setting of multivariate sub-Gaussian outcomes and propose a tight analysis of CTS using Gaussian priors. This last result gives us an alternative to the Efficient Sampling for Combinatorial Bandit policy (ESCB), which, although optimal, is not computationally efficient.