Adaptive Experimentation at Scale: Bayesian Algorithms for Flexible Batches
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Standard bandit algorithms that assume continual reallocation of measurement effort are challenging to implement due to delayed feedback and infrastructural/organizational difficulties. Motivated by practical instances involving a handful of reallocation epochs in which outcomes are measured in batches, we develop a new adaptive experimentation framework that can flexibly handle any batch size. Our main observation is that normal approximations, which are universal in statistical inference, can also guide the design of scalable adaptive designs. By deriving an asymptotic sequential experiment, we formulate a dynamic program that can leverage prior information on average rewards. We propose a simple iterative planning method, Residual Horizon Optimization, which selects sampling allocations by optimizing a planning objective with stochastic gradient descent. Our method significantly improves statistical power over standard adaptive policies, even when compared to Bayesian bandit algorithms (e.g., Thompson sampling) that require full distributional knowledge of individual rewards. Overall, we expand the scope of adaptive experimentation to settings which are difficult for standard adaptive policies, including problems with a small number of reallocation epochs, low signal-to-noise ratio, and unknown reward distributions.
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