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Variable Selection via Thompson Sampling (Revision)

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Thompson sampling is a heuristic algorithm for the multi-armed bandit problem which has a long tradition in machine learning. The algorithm has a Bayesian spirit in the sense that it… Click to show full abstract

Thompson sampling is a heuristic algorithm for the multi-armed bandit problem which has a long tradition in machine learning. The algorithm has a Bayesian spirit in the sense that it selects arms b...

Keywords: via thompson; thompson sampling; sampling revision; selection via; thompson; variable selection

Journal Title: Journal of the American Statistical Association
Year Published: 2021

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