Statistical Inference for Bandit Data

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Event details

Date 03.12.2021 15:1517:00  
Speaker Kelly Zhang, Harvard University
Location Online
Category Conferences - Seminars
Event Language English

Bandit algorithms are increasingly used in real-world sequential decision-making problems. Associated with this is an increased desire to be able to use the resulting datasets to answer scientific questions like: Did one type of ad lead to more purchases? In which contexts is a mobile health intervention effective? However, classical statistical approaches fail to provide valid confidence intervals when used with data collected with bandit algorithms. Alternative methods have recently been developed for simple models (e.g., comparison of means).
Yet there is a lack of general methods for conducting statistical inference using more complex models on data collected with (contextual) bandit algorithms; for example, current methods cannot be used for valid inference on parameters in a logistic regression model for a binary reward. In this work, we develop theory justifying the use of M-estimators -- which includes estimators based on empirical risk minimization as well as maximum likelihood -- on data collected with adaptive algorithms, including (contextual) bandit algorithms.
Specifically, we show that M-estimators, modified with particular adaptive weights, can be used to construct asymptotically valid confidence regions for a variety of inferential targets.
 

Practical information

  • Informed public
  • Free

Organizer

  • Sofia Olhede

Contact

  • Maroussia Schaffner

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