An Information-Theoretic Analysis of Thompson Sampling

We provide an information-theoretic analysis of Thompson sampling that applies across a broad range of online optimization problems in which a decision-maker must learn from partial feedback. This analysis inherits the simplicity and elegance of information theory and leads to regret bounds that scale with the entropy of the optimal-action distribution. This strengthens preexisting results and yields new insight into how information improves performance

Dynamic Multi-Arm Bandit Game Based Multi-Agents Spectrum Sharing Strategy Design

For a wireless avionics communication system, a Multi-arm bandit game is mathematically formulated, which includes channel states, strategies, and rewards. The simple case includes only two agents sharing the spectrum which is fully studied in terms of maximizing the cumulative reward over a finite time horizon. An Upper Confidence Bound (UCB) algorithm is used to achieve the optimal solutions for the stochastic Multi-Arm Bandit (MAB) problem. Also, the MAB problem can also be solved from the Markov game framework perspective. Meanwhile, Thompson Sampling (TS) is also used as benchmark to evaluate the proposed approach performance. Numerical results are also provided regarding minimizing the expectation of the regret and choosing the best parameter for the upper confidence bound