Experimenting in Equilibrium
Stefan Wager and
Papers from arXiv.org
Classical approaches to experimental design assume that intervening on one unit does not affect other units. Recently, however, there has been considerable interest in settings where this non-interference assumption does not hold, e.g., when running experiments on supply-side incentives on a ride-sharing platform or subsidies in an energy marketplace. In this paper, we introduce a new approach to experimental design in large-scale stochastic systems with considerable cross-unit interference, under an assumption that the interference is structured enough that it can be captured using mean-field asymptotics. Our approach enables us to accurately estimate the effect of small changes to system parameters by combining unobstrusive randomization with light-weight modeling, all while remaining in equilibrium. We can then use these estimates to optimize the system by gradient descent. Concretely, we focus on the problem of a platform that seeks to optimize supply-side payments p in a centralized marketplace where different suppliers interact via their effects on the overall supply-demand equilibrium, and show that our approach enables the platform to optimize p based on perturbations whose magnitude can get vanishingly small in large systems.
New Economics Papers: this item is included in nep-exp
Date: 2019-03, Revised 2019-08
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1903.02124
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