Bayesian Bandits (Part 2)

[eigenfoo]

• Walk through two extensions to the traditional Thompson sampling algorithm presented in my first blog post.
  • Non-stationary bandits
    • Decaying posteriors
    • Application: use Thompson sampling & decaying posteriors for portfolio construction / algorithm selection?
  • Contextual bandits
    • What even is a contextual bandit?
    • Bayesian contextual bandits
• Miscellaneous
  • Amazing multi-armed bandit cartoon 😄

Some resources:

• https://en.wikipedia.org/wiki/Multi-armed_bandit#Contextual_bandit
• https://github.com/VowpalWabbit/vowpal_wabbit/wiki/Contextual-Bandit-algorithms
• https://arxiv.org/abs/1802.04064