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The Reinforcement Learning Workshop
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The algorithms we have seen so far make up a set of diverse insights: Greedy and its variants mostly focus on exploitation and might need to be explicitly forced to employ exploration; UCB, on the other hand, tends to be optimistic about the true expected reward of under-explored arms and therefore naturally, but also justifiably, focuses on exploration.
Thompson Sampling also uses a completely different intuition. However, before we can understand the idea behind the algorithm, we need to discuss one of its principal building blocks: the concept of Bayesian probability.
Generally speaking, the workflow of using Bayesian probability to describe a quantity consists of the following elements: