提出更强的自适应实验设计,显著降低误差上限。
Stronger Neyman Regret Guarantees for Adaptive Experimental Design
- 改进算法实现即时对数级误差增长,优于旧方法。
- 在协变量存在时,对任意分组均保持最优效率。
- 适合需要高精度因果推断的研究者使用。
我们研究了在设计基础潜在结果框架下,用于无偏平均处理效应(ATE)估计的自适应、序列化实验设计。目标是开发出具有次线性Neyman后悔率的自适应设计,使其效率趋近于事后最优的非自适应设计。近期工作[Dai等, 2023]提出了ClipOGD,首次在温和条件下实现了期望 ilde{O}( olimits ext{sqrt}{T})的Neyman后悔率。本文中,我们提出具有更优后悔率保证的自适应设计:通过改进ClipOGD,获得了在自然有界性假设下的即时 ilde{O}( olimits ext{log} olimits T) Neyman后悔率;在实验单元具有预处理协变量的情形下,引入并研究了一类基于协变量的上下文“多组”Neyman后悔率保证——对于任意可能重叠的分组,自适应设计的表现优于每组最佳非自适应设计。具体地,我们构建了一种具有 ilde{O}( olimits ext{sqrt}{T})即时多组Neyman后悔率的上下文自适应设计。通过一系列实验验证了所提设计的有效性。
原文摘要 · Abstract (English)
We study the design of adaptive, sequential experiments for unbiased average treatment effect (ATE) estimation in the design-based potential outcomes setting. Our goal is to develop adaptive designs offering sublinear Neyman regret, meaning their efficiency must approach that of the hindsight-optimal nonadaptive design. Recent work [Dai et al, 2023] introduced ClipOGD, the first method achieving $\widetilde{O}(\sqrt{T})$ expected Neyman regret under mild conditions. In this work, we propose adaptive designs with substantially stronger Neyman regret guarantees. In particular, we modify ClipOGD to obtain anytime $\widetilde{O}(\log T)$ Neyman regret under natural boundedness assumptions. Further, in the setting where experimental units have pre-treatment covariates, we introduce and study a class of contextual "multigroup" Neyman regret guarantees: Given any set of possibly overlapping groups based on the covariates, the adaptive design outperforms each group's best non-adaptive designs. In particular, we develop a contextual adaptive design with $\widetilde{O}(\sqrt{T})$ anytime multigroup Neyman regret. We empirically validate the proposed designs through an array of experiments.
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