# Deep Bayesian Bandits Showdown: An Empirical Comparison of Bayesian Deep Networks for Thompson Sampling

## TL;DR

This paper empirically compares various Bayesian neural network methods for Thompson Sampling in contextual bandit problems, highlighting challenges in online uncertainty estimation and performance.

## Contribution

It provides a comprehensive benchmark of Bayesian neural network approaches for Thompson Sampling, revealing their limitations in sequential decision-making.

## Key findings

- Many supervised learning Bayesian methods underperform in bandit settings
- Slow convergence of uncertainty estimates hampers online adaptation
- Challenges in applying approximate Bayesian methods to reinforcement learning

## Abstract

Recent advances in deep reinforcement learning have made significant strides in performance on applications such as Go and Atari games. However, developing practical methods to balance exploration and exploitation in complex domains remains largely unsolved. Thompson Sampling and its extension to reinforcement learning provide an elegant approach to exploration that only requires access to posterior samples of the model. At the same time, advances in approximate Bayesian methods have made posterior approximation for flexible neural network models practical. Thus, it is attractive to consider approximate Bayesian neural networks in a Thompson Sampling framework. To understand the impact of using an approximate posterior on Thompson Sampling, we benchmark well-established and recently developed methods for approximate posterior sampling combined with Thompson Sampling over a series of contextual bandit problems. We found that many approaches that have been successful in the supervised learning setting underperformed in the sequential decision-making scenario. In particular, we highlight the challenge of adapting slowly converging uncertainty estimates to the online setting.