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Adaptive Experimental Design for Policy Learning

Author

Listed:
  • Masahiro Kato
  • Kyohei Okumura
  • Takuya Ishihara
  • Toru Kitagawa

Abstract

This study investigates the contextual best arm identification (BAI) problem, aiming to design an adaptive experiment to identify the best treatment arm conditioned on contextual information (covariates). We consider a decision-maker who assigns treatment arms to experimental units during an experiment and recommends the estimated best treatment arm based on the contexts at the end of the experiment. The decision-maker uses a policy for recommendations, which is a function that provides the estimated best treatment arm given the contexts. In our evaluation, we focus on the worst-case expected regret, a relative measure between the expected outcomes of an optimal policy and our proposed policy. We derive a lower bound for the expected simple regret and then propose a strategy called Adaptive Sampling-Policy Learning (PLAS). We prove that this strategy is minimax rate-optimal in the sense that its leading factor in the regret upper bound matches the lower bound as the number of experimental units increases.

Suggested Citation

  • Masahiro Kato & Kyohei Okumura & Takuya Ishihara & Toru Kitagawa, 2024. "Adaptive Experimental Design for Policy Learning," Papers 2401.03756, arXiv.org, revised Jun 2025.
  • Handle: RePEc:arx:papers:2401.03756
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    References listed on IDEAS

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    1. Karlan, Dean & Wood, Daniel H., 2017. "The effect of effectiveness: Donor response to aid effectiveness in a direct mail fundraising experiment," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 66(C), pages 1-8.
    2. Maximilian Kasy & Anja Sautmann, 2021. "Adaptive Treatment Assignment in Experiments for Policy Choice," Econometrica, Econometric Society, vol. 89(1), pages 113-132, January.
    3. Heejung Bang & James M. Robins, 2005. "Doubly Robust Estimation in Missing Data and Causal Inference Models," Biometrics, The International Biometric Society, vol. 61(4), pages 962-973, December.
    4. Kaito Ariu & Masahiro Kato & Junpei Komiyama & Kenichiro McAlinn & Chao Qin, 2021. "Policy Choice and Best Arm Identification: Asymptotic Analysis of Exploration Sampling," Papers 2109.08229, arXiv.org, revised Nov 2021.
    5. Ruohan Zhan & Zhimei Ren & Susan Athey & Zhengyuan Zhou, 2024. "Policy Learning with Adaptively Collected Data," Management Science, INFORMS, vol. 70(8), pages 5270-5297, August.
    6. Manski, Charles F., 2000. "Identification problems and decisions under ambiguity: Empirical analysis of treatment response and normative analysis of treatment choice," Journal of Econometrics, Elsevier, vol. 95(2), pages 415-442, April.
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