Confidence Intervals for Policy Evaluation in Adaptive Experiments

Dec 14, 2019

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Adaptive experiments can result in considerable cost savings in multi-armed trials by enabling analysts to quickly focus on the most promising alternatives. Most existing work on adaptive experiments (which include multi-armed bandits) has focused maximizing the speed at which the analyst can identify the optimal arm and/or minimizing the number of draws from sub-optimal arms. In many scientific settings, however, it is not only of interest to identify the optimal arm, but also to perform a statistical analysis of the data collected from the experiment. Naive approaches to statistical inference with adaptive inference fail because many commonly used statistics (such as sample means or inverse propensity weighting) do not have an asymptotically Gaussian limiting distribution centered on the estimate, and so confidence intervals constructed from these statistics do not have correct coverage. But, as shown in this paper, carefully designed data-adaptive weighting schemes can be used to restore a relevant central limit theorem, enabling hypothesis testing.

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Neural Information Processing Systems (NeurIPS) is a multi-track machine learning and computational neuroscience conference that includes invited talks, demonstrations, symposia and oral and poster presentations of refereed papers. Following the conference, there are workshops which provide a less formal setting.

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