ECONOMETRICS: Dr Jiaying Gu (University of Toronto)

Empirical Bayes for Compound Adaptive Experiment 

We investigate Empirical Bayes 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, without requiring any prior knowledge of the sampling rule, even when it differs across experiments. By contrast, naively estimating the working score from the marginal distribution of Zi, 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.