Which experience to collect?
Thompson sampling sends the learner where plausible models disagree, and stops exploring on its own once they agree. Its price is a fresh posterior sample every round. I build the randomness into the model instead: a random index as a second input, trained so that simple noise is pushed forward onto the posterior. A sample is one forward pass; an update is one SGD step that moves every sample at once. The theory rests on a sequential extension of the Johnson–Lindenstrauss lemma to data the agent chose itself.
Regret comparable to exact Thompson sampling with only Θ(d log T) ensemble directions, kept by incremental updates.
Human-level Atari with 15% of DDQN's interaction data (1.5M), as a small addition to DQN.
A martingale extension of the Johnson–Lindenstrauss lemma to sequentially dependent, adaptively chosen data.