demo/demo_mab_policy_comparison.R

In robinvanemden/contextual: Simulation and Analysis of Contextual Multi-Armed Bandit Policies

library(contextual)

prob_per_arm       <- c(0.5, 0.3, 0.1)
horizon            <- 150
simulations        <- 2000

bandit             <- BasicBernoulliBandit$new(prob_per_arm)

agents             <- list(Agent$new(EpsilonGreedyPolicy$new(0.1), bandit),
                           Agent$new(ThompsonSamplingPolicy$new(1, 1), bandit),
                           Agent$new(Exp3Policy$new(0.1), bandit),
                           Agent$new(GittinsBrezziLaiPolicy$new(), bandit),
                           Agent$new(UCB1Policy$new(), bandit),
                           Agent$new(UCB2Policy$new(0.1), bandit))

simulation         <- Simulator$new(agents, horizon, simulations)
history            <- simulation$run()

plot(history, type = "cumulative")

summary(history)