Thompson Sampling for Factored Multi-Agent Bandits

Abstract

Multi-agent coordination is prevalent in many real-world applications. However, such coordination is challenging due to its combinatorial nature. An important observation in this regard is that agents in the real world often only directly affect a limited set of neighbouring agents. Leveraging such loose couplings among agents is key to making coordination in multi-agent systems feasible. In this work, we focus on learning to coordinate. Specifically, we consider the multi-agent multi-armed bandit framework, in which fully cooperative loosely-coupled agents must learn to coordinate their decisions to optimize a common objective. We propose multi-agent Thompson sampling (MATS), a new Bayesian exploration-exploitation algorithm that leverages loose couplings. We empirically show that MATS outperforms the state-of-the-art algorithm, MAUCE, on two synthetic benchmarks with Bernoulli-distributed rewards. Our results show that MATS improves significantly upon state-of-the-art coordination methods in terms of performance, demonstrating the value of using MATS in applications with sparse neighbourhood structures.