2026
BFTS: Thompson Sampling with Bayesian Additive Regression Trees
ICML 2026spotlight
We propose Bayesian Forest Thompson Sampling (BFTS), which performs Thompson sampling using arm-wise Bayesian Additive Regression Trees (BART) to model each action's mean reward and generate MCMC-based posterior draws for decision-making. We derive an information-theoretic Bayesian regret bound of o…