School of Mathematics and BioSS

Date: Friday 29 January, 15:10pm
Location: JCMB 5323

Speaker: Professor David Leslie, Department of Mathematics and Statistics, University of Lancaster

Title: Thompson sampling for website optimisation

Abstract:  When individuals are learning how to behave in an unknown environment, a statistically sensible thing to do is form posterior distributions over unknown quantities of interest (such as features of the environment and individuals’ preferences) then select an action by integrating with respect to these posterior distributions. However reasoning with such distributions is very troublesome, even in a machine learning context with extensive computational resources; Savage himself indicated that Bayesian decision theory is only sensibly used in reasonably "small" situations.

Random beliefs is a framework in which individuals instead respond to a single sample from a posterior distribution. This is a strategy known as Thompson sampling, after its introduction in a medical trials context by Thompson (1933), and is used by many Web providers both to select which adverts to show you and to perform website optimisation. I will demonstrate that such behaviour 'solves' the exploration-exploitation dilemma in a contextual bandit setting, which is the framework used by most current applications. Furthermore I will demonstrate its usage as a component of a lightweight recommender system that has recently been deployed at copify.com.


There will be tea and coffee after the seminar in the Mathematics Common Room (5212).

This seminar is a part of Maxwell Institute seminar series.

-- 
Dr Ioannis Papastathopoulos
Chancellor's Fellow
School of Mathematics
The University of Edinburgh
James Clerk Maxwell Building
Peter Guthrie Tait Road
Edinburgh, EH9 3FD