Empirical Bayes for compound adaptive experiments

2026-09-15

AI Summary

研究通过使用Empirical Bayies方法中的g-modeling策略有效解决了在复合自适应实验中估计未知均值的问题，即使数据非外生收集也能保证有效性。

Abstract

We investigate Empirical Bayes (EB) methods in the context of compound adaptive experiments, where the arm distribution in each experiment follows a normal distribution with an unknown mean that we seek to estimate. There are two main EB strategies: $g$-modeling, which estimates the prior by maximizing the marginal likelihood, and $f$-modeling, which derives posterior means directly from the empirical distribution of the observations. We show that $g$-modeling continues to be a valid EB procedure even when it incorrectly assumes that data are collected exogenously; its validity does not depend on the particular sampling algorithm or on whether sample sizes are endogenous. In practice, one can apply standard $g$-modeling techniques by acting as though the data were exogenously sampled. We extend regret guarantees from exogenous sampling to adaptively generated data. By contrast, naively applying the Tweedie formula based on the marginal density of the observed data, as in standard $f$-modeling, can produce biased rules under adaptive sampling. We corroborate the robustness of $g$-modeling through simulations with widely used adaptive algorithms and demonstrate its applicability using a real-world dataset consisting of multiple sequential experiments.

Problem

• Empirical Bayes
• compound adaptive experiments
• normal distribution
• unknown mean
• adaptive sampling

Innovation

• Empirical Bayes
• compound adaptive experiments
• g-modeling
• exogenous sampling
• regret guarantees