Weak Signal Asymptotics for Sequentially Randomized Experiments
Abstract
We use the lens of weak signal asymptotics to study a class of sequentially randomized experiments, including those that arise in solving multi-armed bandit problems. In an experiment with time steps, we let the mean reward gaps between actions scale to the order so as to preserve the difficulty of the learning task as grows. In this regime, we show that the sample paths of a class of sequentially randomized experiments -- adapted to this scaling regime and with arm selection probabilities that vary continuously with state -- converge weakly to a diffusion limit, given as the solution to a stochastic differential equation. The diffusion limit enables us to derive refined, instance-specific characterization of stochastic dynamics, and to obtain several insights on the regret and belief evolution of a number of sequential experiments including Thompson sampling (but not UCB, which does not satisfy our continuity assumption). We show that all sequential experiments whose randomization probabilities have a Lipschitz-continuous dependence on the observed data suffer from sub-optimal regret performance when the reward gaps are relatively large. Conversely, we find that a version of Thompson sampling with an asymptotically uninformative prior variance achieves near-optimal instance-specific regret scaling, including with large reward gaps, but these good regret properties come at the cost of highly unstable posterior beliefs.
Cite
@article{arxiv.2101.09855,
title = {Weak Signal Asymptotics for Sequentially Randomized Experiments},
author = {Xu Kuang and Stefan Wager},
journal= {arXiv preprint arXiv:2101.09855},
year = {2023}
}
Comments
Forthcoming in Management Science. An earlier draft of this paper was circulated under the title "Diffusion Asymptotics for Sequential Experiments.'' Xu Kuang published under a different full name in earlier versions of this manuscript. Please use X. Kuang and S. Wager when citing this paper