FUNCTIONAL SEQUENTIAL TREATMENT ALLOCATION WITH COVARIATES

Anders Bredahl Kock, David Preinerstorfer and Bezirgen Veliyev

Econometric Theory, 2024, vol. 40, issue 6, 1211-1252

Abstract: We consider a sequential treatment problem with covariates. Given a realization of the covariate vector, instead of targeting the treatment with highest conditional expectation, the decision-maker targets the treatment which maximizes a general functional of the conditional potential outcome distribution, e.g., a conditional quantile, trimmed mean, or a socioeconomic functional such as an inequality, welfare, or poverty measure. We develop expected regret lower bounds for this problem and construct a near minimax optimal sequential assignment policy.

Date: 2024
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Working Paper: Functional Sequential Treatment Allocation with Covariates (2020)
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