ELEVEN - Tests needed for a Recommendation
A decision maker has to recommend a treatment, knows that any outcome will be in [0; 1] but only has minimal information about the likelihood of outcomes (there is no prior). The decision maker can design a finite number of experiments in which treatments are tested. For the case of two treatments we present a rule for designing experiments and making a recommendation that attains minimax regret and can thus ensure a given maximal error with the minimal number of tests. 11 tests are needed under the so-called binomial average rule to limit the error to 5%. We also consider the setting where there is covariate information to then identify minimax regret behavior and drastically reduce the number of tests needed to attain a given maximal error as compared to the literature (over 200 to 22 given two covariates). We extend the binomial average rule to more than two treatments and use it to derive a bound on minimax regret.
|Date of creation:||2006|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.eui.eu/ECO/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Charles F. Manski, 2003.
"Statistical treatment rules for heterogeneous populations,"
CeMMAP working papers
CWP03/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Charles F. Manski, 2004. "Statistical Treatment Rules for Heterogeneous Populations," Econometrica, Econometric Society, vol. 72(4), pages 1221-1246, 07.
- Schlag, Karl H., 1998.
"Why Imitate, and If So, How?, : A Boundedly Rational Approach to Multi-armed Bandits,"
Journal of Economic Theory,
Elsevier, vol. 78(1), pages 130-156, January.
- Schlag, Karl H., 1994. "Why Imitate, and if so, How? Exploring a Model of Social Evolution," Discussion Paper Serie B 296, University of Bonn, Germany.
- Karl H. Schlag, . "Why Imitate, and if so, How? A Bounded Rational Approach to Multi- Armed Bandits," ELSE working papers 028, ESRC Centre on Economics Learning and Social Evolution.
- Karl H. Schlag, 1995. "Why Imitate, and if so, How? A Bounded Rational Approach to Multi-Armed Bandits," Discussion Paper Serie B 361, University of Bonn, Germany, revised Mar 1996.
- Stoye, Jörg, 2009. "Minimax regret treatment choice with finite samples," Journal of Econometrics, Elsevier, vol. 151(1), pages 70-81, July.
When requesting a correction, please mention this item's handle: RePEc:eui:euiwps:eco2006/2. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Anne Banks)
If references are entirely missing, you can add them using this form.