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Adaptive Experimentation at Scale
Ethan Che · Hongseok Namkoong

In typical experimentation paradigms, reallocating measurement effort incurs high operational costs due to delayed feedback, and infrastructural and organizational difficulties. Challenges in reallocation lead practitioners to employ a few reallocation epochs in which outcomes are measured in large batches. Standard adaptive experimentation methods, however, do not scale to these regimes as they are tailored to perform well as the number of reallocation epochs grows. We develop a new adaptive experimentation framework that can flexibly handle any batch size and learns near-optimal designs when reallocation opportunities are few. By deriving an asymptotic sequential experiment based on normal approximations, we formulate a Bayesian dynamic program that can leverage prior information based on previous experiments. We propose policy gradient-based lookahead policies and find that despite relying on approximations, our methods greatly improve statistical power over uniform allocation and standard adaptive policies.

Author Information

Ethan Che (Columbia Business School)
Hongseok Namkoong (Columbia University)

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