Rethinking Langevin Thompson Sampling from A Stochastic Approximation Perspective
Weixin Wang, Haoyang Zheng, Guang Lin, Wei Deng, Pan Xu, in NeurIPS 2025 Workshop on Dynamics at the Frontiers of Optimization, Sampling, and Games (DynaFront), 2025.
Abstract: This paper revisits Langevin Thompson sampling through the lens of stochastic approximation, studying the algorithmic and statistical behavior of posterior sampling methods for sequential decision-making.