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Are Multi-Armed Bandits Susceptible to Peeking?

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  • Markus Loecher

    (Berlin School of Economics and Law, Berlin, Germany)

Abstract

A standard method to evaluate new features and changes to e.g. Web sites is A/B testing. A common pitfall in performing A/B testing is the habit of looking at a test while it's running, then stopping early. Due to the implicit multiple testing, the p-value is no longer trustworthy and usually too small. We investigate the claim that Bayesian methods, unlike frequentist tests, are immune to this "peeking" problem. We demonstrate that two regularly used measures, namely posterior probability and value remaining are severely affected by repeated testing. We further show a strong dependence on the prior probability of the parameters of interest. JEL Classification: C4, C6

Suggested Citation

  • Markus Loecher, 2018. "Are Multi-Armed Bandits Susceptible to Peeking?," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 21(1), pages 95-104, May.
    • Handle: RePEc:zag:zirebs:v:21:y:2018:i:1:p:95-104
    DOI: 10.2478/zireb-2018-0004
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    More about this item

    Keywords

    multiple comparisons; A/B testing; Bayesian decision theory;
    All these keywords.

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling

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