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by srean
2961 days ago
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Your intuition is spot on. With this line of argument you will end up with Thompson Sampling [0]. TS is an old algorithm from the 1930s. It is disconcertingly effective, even when the underlying Bayesian assumptions are not correct. It is also extremely hard to analyze. This led to a weird state of affairs - TS gave excellent empirical performance but we could not make any theoretical statements about its efficacy. It is only very recently that this has changed. [0] https://en.wikipedia.org/wiki/Thompson_sampling |
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