arXiv:2506.02881stat.MEcs.LG2025-06NeurIPS被引 3

提出模拟乐观法,提升自适应实验的推断精度与效率

Simulation-Based Inference for Adaptive Experiments

  • 用乐观模拟生成额外实验轨迹,改进统计推断
  • 置信区间宽度减少最高50%,尤其对非重点组效果显著
  • 适用于多种常见自适应实验设计,适合做实验评估的研究者

多臂老虎机实验设计正逐步取代传统随机试验,因其能改善参与者结果、更快识别最优选项,并提高关键参数估计精度。现有推断方法或依赖受限设计下的渐近正态性,或依赖效力不足的鞅浓度不等式,实际功效较弱。为此,我们提出基于模拟的假设检验与置信区间构造方法。该方法通过正向偏差的辅助变量生成更多实验轨迹,称为‘模拟乐观’。利用这些模拟轨迹,刻画可能非正态的样本均值检验统计量分布以实现推断。理论保证包括:(i) 渐近类型 I 误差控制,(ii) 置信区间的收敛性,(iii) 在多种常见老虎机设计下估计器的渐近强一致性。实验结果显示,该方法在达到预期覆盖概率的同时,置信区间宽度减少最高达50%,对设计未重点聚焦的臂改善尤为显著。

原文摘要 · Abstract (English)

Multi-arm bandit experimental designs are increasingly being adopted over standard randomized trials due to their potential to improve outcomes for study participants, enable faster identification of the best-performing options, and/or enhance the precision of estimating key parameters. Current approaches for inference after adaptive sampling either rely on asymptotic normality under restricted experiment designs or underpowered martingale concentration inequalities that lead to weak power in practice. To bypass these limitations, we propose a simulation-based approach for conducting hypothesis tests and constructing confidence intervals for arm specific means and their differences. Our simulation-based approach uses positively biased nuisances to generate additional trajectories of the experiment, which we call \textit{simulation with optimism}. Using these simulations, we characterize the distribution potentially non-normal sample mean test statistic to conduct inference. We provide guarantees for (i) asymptotic type I error control, (ii) convergence of our confidence intervals, and (iii) asymptotic strong consistency of our estimator over a wide variety of common bandit designs. Our empirical results show that our approach achieves the desired coverage while reducing confidence interval widths by up to 50%, with drastic improvements for arms not targeted by the design.

自适应实验推断方法多臂老虎机模拟推断

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