Valid Post-Contextual Bandit Inference

Ramon van den Akker, Bas J. M. Werker and Bo Zhou

Papers from arXiv.org

Abstract: Contextual multi-armed bandits (CMAB) are increasingly used as adaptively sampled experiments, after which researchers test hypotheses about treatment effects. We derive the H\'ajek-Le Cam limit experiment for multi-armed contextual bandits under equal-arms (weak-signal) asymptotics. It is Locally Asymptotically Quadratic, but not a (mixed) Gaussian shift experiment. Girsanov's theorem gives it a structural representation in stochastic differential equations. Together with a general weak convergence result, this yields the asymptotic null distribution and local asymptotic power of often-used test statistics. Two kinds of nuisance parameters threaten size control: the common reward level of the arms of interest and the rewards of the arms not of interest. The first threat is removed by translation-invariant sampling. We propose Regularized Translation-Invariant (RTI) versions of Thompson, tempered-greedy, tempered-(Lin)UCB, and exploration sampling. The second threat calls for appropriate pivots. The structural representation of the limit experiment is key to overcome the inferential challenges arising from adaptive sampling. Simulations corroborate the theory.

Date: 2025-05, Revised 2026-10
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-exp
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