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Tag: thompson

  • On Thompson Sampling and Bilateral Uncertainty in Additive Bayesian Optimization

    On Thompson Sampling and Bilateral Uncertainty in Additive Bayesian Optimization arXiv:2510.11792v1 Announce Type: new Abstract: In Bayesian Optimization (BO), additive assumptions can mitigate the twin difficulties of modeling and searching a complex function in high dimension. However, common acquisition functions, like the Additive Lower Confidence Bound, ignore pairwise covariances between dimensions, which we’ll call textit{bilateral…

  • Thompson Sampling in Function Spaces via Neural Operators

    Thompson Sampling in Function Spaces via Neural Operators arXiv:2506.21894v1 Announce Type: new Abstract: We propose an extension of Thompson sampling to optimization problems over function spaces where the objective is a known functional of an unknown operator’s output. We assume that functional evaluations are inexpensive, while queries to the operator (such as running a high-fidelity…

  • Stable Thompson Sampling: Valid Inference via Variance Inflation

    Stable Thompson Sampling: Valid Inference via Variance Inflation arXiv:2505.23260v1 Announce Type: new Abstract: We consider the problem of statistical inference when the data is collected via a Thompson Sampling-type algorithm. While Thompson Sampling (TS) is known to be both asymptotically optimal and empirically effective, its adaptive sampling scheme poses challenges for constructing confidence intervals for…

  • Deconfounded Warm-Start Thompson Sampling with Applications to Precision Medicine

    Deconfounded Warm-Start Thompson Sampling with Applications to Precision Medicine arXiv:2505.17283v1 Announce Type: new Abstract: Randomized clinical trials often require large patient cohorts before drawing definitive conclusions, yet abundant observational data from parallel studies remains underutilized due to confounding and hidden biases. To bridge this gap, we propose Deconfounded Warm-Start Thompson Sampling (DWTS), a practical approach…

  • Fast, Precise Thompson Sampling for Bayesian Optimization

    Fast, Precise Thompson Sampling for Bayesian Optimization arXiv:2411.17071v1 Announce Type: new Abstract: Thompson sampling (TS) has optimal regret and excellent empirical performance in multi-armed bandit problems. Yet, in Bayesian optimization, TS underperforms popular acquisition functions (e.g., EI, UCB). TS samples arms according to the probability that they are optimal. A recent algorithm, P-Star Sampler (PSS),…