Note on Thompson sampling for large decision problems

TL;DR

This paper introduces a scalable variant of Thompson sampling for large decision problems, demonstrating its consistency, convergence rates, and practical effectiveness through simulations in epidemiology and wildlife management.

Contribution

It proposes a simple, implementable Thompson sampling method suitable for complex, large-scale decision problems, with theoretical guarantees and real-world applications.

Findings

The estimator is consistent for the optimal decision system.

Provides finite sample error bounds and convergence rates.

Effective in simulations of influenza spread and mallard population management.

Abstract

There is increasing interest in using streaming data to inform decision making across a wide range of application domains including mobile health, food safety, security, and resource management. A decision support system formalizes online decision making as a map from up-to-date information to a recommended decision. Online estimation of an optimal decision strategy from streaming data requires simultaneous estimation of components of the underlying system dynamics as well as the optimal decision strategy given these dynamics; thus, there is an inherent trade-off between choosing decisions that lead to improved estimates and choosing decisions that appear to be optimal based on current estimates. Thompson (1933) was among the first to formalize this trade-off in the context of choosing between two treatments for a stream of patients; he proposed a simple heuristic wherein a treatment is selected randomly at each time point with selection probability proportional to the posterior probability that it is optimal. We consider a variant of Thompson sampling that is simple to implement and can be applied to large and complex decision problems. We show that the proposed Thompson sampling estimator is consistent for the optimal decision support system and provide rates of convergence and finite sample error bounds. The proposed algorithm is illustrated using an agent-based model of the spread of influenza on a network and management of mallard populations in the United States.