Pricing problems with Thompson sampling

• Main Author: Lee, Samuel Wai Leong
• Other Authors: Yan Zhenzhen
• Format: Final Year Project
• Language: English
• Published: 2019
• Subjects: DRNTU::Science::Mathematics::Statistics
• Online Access: http://hdl.handle.net/10356/77144
• Institution: Nanyang Technological University

In 1933, William R. Thompson proposed an algorithm known as Thompson sampling in order to maximise culmulative payo in a multi-armed bandit (MAB) problem. MAB problems have been fre- quently used to model real-life decision making scenarios. This pa- per explores the extension of Thompson sampl...