Statistics Seminar with Anders Bredahl Kock, University of Oxford

The Center for Statistics is proud to announce the upcoming seminar with Anders Bredahl Kock, University of Oxford.

Anders Bredahl Kock will present:

Functional Sequential Treatment Allocation

ABSTRACT
Consider a setting in which a policy maker assigns subjects to treatments, observing each outcome before the next subject arrives. Initially, it is unknown which treatment is best, but the sequential nature of the problem permits learning about the effectiveness of the treatments. While the multi-armed-bandit literature has shed much light on the situation when the policy maker compares the effectiveness of the treatments through their mean, economic decision making often requires targeting purpose specific characteristics of the outcome distribution, such as its inherent degree of inequality, welfare or poverty. In the present paper we introduce and study sequential learning algorithms when the distributional characteristic of interest is a general functional of the outcome distribution. In particular, it turns out that intuitively reasonable approaches, such as first conducting an experiment on an initial group of subjects followed by rolling out the inferred best treatment to the population, are dominated by the policies we develop and of which we show that they are optimal.

Location:
Solbjerg Plads 3,
2000 Frederiksberg
Room: SPs03