Kolmogorov-Smirnov Test-Based Actively-Adaptive Thompson Sampling for Non-Stationary Bandits

Gourab Ghatak, Hardhik Mohanty, Aniq Ur Rahman

We consider the non-stationary multi-armed bandit (MAB) framework and propose a Kolmogorov-Smirnov (KS) test based Thompson Sampling (TS) algorithm named TS-KS, that actively detec…