Adaptive Variance Inflation in Thompson Sampling: Efficiency, Safety, Robustness, and Beyond
Feng Zhu, David Simchi-Levi
Thompson Sampling (TS) has emerged as a powerful algorithm for sequential decision-making, with strong empirical success and theoretical guarantees. However, it has been shown that its behavior under stringent safety and robustness criteria --- such as safety of cumulative regret distribution and robustness to model mis-specification --- can sometimes perform poorly. In this work, we try to address these aspects through the lens of adaptive variance inflation for Gaussian Thompson Sampling. Our one-line change introduces a time- and arm-dependent inflation factor into the sampling variance, and yields several compelling benefits. The resulting policy achieves provably worst-case optimal expected regret and worst-case optimal fast-decaying regret tail bounds, even in the presence of heavy-tailed (sub-exponential) noise or mis-specified environments. The policy is also robust to mis-specified noise variances. Beyond cumulative regret, we further demonstrate that our method ensures strong post-experiment guarantees: simple regret and estimation error per arm exhibit fast-decaying tail probabilities, contributing to more reliable and robust downstream decisions. Finally, we extend our policy to incorporate settings with unknown arm-specific variances and empirically validate the consistent performance of our approach across a range of environments.