Functional Sequential Treatment Allocation with Covariates

Anders Kock, David Preinerstorfer and Bezirgen Veliyev

Papers from arXiv.org

Abstract: We consider a multi-armed bandit 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 socio-economic functional such as an inequality, welfare or poverty measure. We develop expected regret lower bounds for this problem, and construct a near minimax optimal assignment policy.

Date: 2020-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Published in Econom. Theory 40 (2024) 1211-1252

Downloads: (external link)
http://arxiv.org/pdf/2001.10996 Latest version (application/pdf)

Related works:
Journal Article: FUNCTIONAL SEQUENTIAL TREATMENT ALLOCATION WITH COVARIATES (2024)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2001.10996

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().