Fix Thompson sampling posterior covariance draws - #1
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ThompsonSampling drew
R = mean + cov_scale .* sigma * XwithX ~ N(0,I), wheresigma = model.sigmais the posterior covariance Σ. This samples from N(mean, cov_scale^2 * Σ^2) instead of the intended N(mean, cov_scale^2 * Σ).Factor the covariance once with
L = chol(sigma,'lower')soL*L' = Σ, and drawR = mean + cov_scale .* (L * X)to sample with the intended covariance.