Thompson Sampling for Combinatorial Semi-Bandits
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We study the application of the Thompson Sampling (TS) methodology to the stochastic combinatorial multi-armed bandit (CMAB) framework. We analyze the standard TS algorithm for the general CMAB, and obtain the first distribution-dependent regret bound of O(m T / Δ_) for TS under general CMAB, where m is the number of arms, T is the time horizon, and Δ_ is the minimum gap between the expected reward of the optimal solution and any non-optimal solution. We also show that one can not use an approximate oracle in TS algorithm for even MAB problems. Then we expand the analysis to matroid bandit, a special case of CMAB. Finally, we use some experiments to show the comparison of regrets of CUCB and CTS algorithms.
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