We begin by defining the key parameters of our problem: the number of arms (choices available to the agent), the number of trials (opportunities to pull an arm), and the true probabilities of winning for each arm (underlying success rates). Initially, we have no information about the arms' probabilities, so we start by initializing the counts of successes and failures for each arm. These counts will be updated as we gather more data through trials.
In the Bayesian framework, we update our beliefs about the probability of reward for each arm using the Beta distribution, which is conjugate to the Bernoulli distribution (the distribution of binary outcomes like success/failure). After each trial, we update the parameters of the Beta distribution (alpha for successes and beta for failures) based on observed outcomes. This process allows us to incorporate new data seamlessly, refining our estimates of each arm's success probability dynamically.
Thompson Sampling is a probabilistic algorithm for decision-making that balances exploration (trying out less-known arms) and exploitation (choosing arms known to perform well). At each trial, we sample a value from the current posterior distribution of each arm's reward probability. The arm with the highest sampled value is selected. This approach ensures that arms with higher uncertainty are explored more frequently, while arms with higher estimated success probabilities are exploited, striking an effective balance between gaining new information and maximizing rewards.
In the context of automated agents, Thompson Sampling enables adaptive decision-making in environments with uncertainty and changing conditions. Agents use Bayesian inference to continually update their knowledge base and make informed decisions based on probabilistic reasoning. This adaptability is crucial for applications like online advertising, clinical trials, and adaptive routing, where conditions can change rapidly and decisions need to be made in real-time.
Visualizing the posterior distributions of the probability of reward for each arm at each trial is crucial for understanding the dynamics of the Thompson Sampling algorithm. These visualizations show how our beliefs about each arm's success probability evolve as we gather more data. They illustrate the process of Bayesian updating and the balance between exploration and exploitation. By observing the shifts in the distributions, we can gain intuitive insights into how the algorithm responds to new data, adjusts its strategy, and optimizes decision-making over time. Visualization also helps in debugging and refining the algorithm by making the learning process transparent and interpretable.