ThompsonSamplingPolicy {contextual} | R Documentation |
ThompsonSamplingPolicy
works by maintaining a prior on the the mean rewards of its arms.
In this, it follows a beta-binomial model with parameters alpha and beta, sampling values
for each arm from its prior and picking the arm with the highest value.
When an arm is pulled and a Bernoulli reward is observed, it modifies the prior based on the reward.
This procedure is repeated for the next arm pull.
policy <- ThompsonSamplingPolicy(alpha = 1, beta = 1)
alpha
integer, a natural number N>0 - first parameter of the Beta distribution
beta
integer, a natural number N>0 - second parameter of the Beta distribution
new(alpha = 1, beta = 1)
Generates a new ThompsonSamplingPolicy
object.
Arguments are defined in the Argument section above.
set_parameters()
each policy needs to assign the parameters it wants to keep track of
to list self$theta_to_arms
that has to be defined in set_parameters()
's body.
The parameters defined here can later be accessed by arm index in the following way:
theta[[index_of_arm]]$parameter_name
get_action(context)
here, a policy decides which arm to choose, based on the current values of its parameters and, potentially, the current context.
set_reward(reward, context)
in set_reward(reward, context)
, a policy updates its parameter values
based on the reward received, and, potentially, the current context.
Thompson, W. R. (1933). On the likelihood that one unknown probability exceeds another in view of the evidence of two samples. Biometrika, 25(3/4), 285-294.
Chapelle, O., & Li, L. (2011). An empirical evaluation of thompson sampling. In Advances in neural information processing systems (pp. 2249-2257).
Agrawal, S., & Goyal, N. (2013, February). Thompson sampling for contextual bandits with linear payoffs. In International Conference on Machine Learning (pp. 127-135).b
Core contextual classes: Bandit
, Policy
, Simulator
,
Agent
, History
, Plot
Bandit subclass examples: BasicBernoulliBandit
, ContextualLogitBandit
,
OfflineReplayEvaluatorBandit
Policy subclass examples: EpsilonGreedyPolicy
, ContextualLinTSPolicy
horizon <- 100L simulations <- 100L weights <- c(0.9, 0.1, 0.1) policy <- ThompsonSamplingPolicy$new(alpha = 1, beta = 1) bandit <- BasicBernoulliBandit$new(weights = weights) agent <- Agent$new(policy, bandit) history <- Simulator$new(agent, horizon, simulations, do_parallel = FALSE)$run() plot(history, type = "cumulative")