Efficient Adaptive Experimental Design for Average Treatment Effect Estimation
This work addresses the problem of reducing sample size and improving efficiency in causal inference experiments for researchers and practitioners, representing a strong specific gain rather than a broad paradigm shift.
The paper tackles efficient estimation of average treatment effects in adaptive experiments by proposing a design that minimizes the semiparametric efficiency bound, resulting in an estimator achieving this bound and enabling anytime valid confidence intervals for early stopping.
We study how to efficiently estimate average treatment effects (ATEs) using adaptive experiments. In adaptive experiments, experimenters sequentially assign treatments to experimental units while updating treatment assignment probabilities based on past data. We start by defining the efficient treatment-assignment probability, which minimizes the semiparametric efficiency bound for ATE estimation. Our proposed experimental design estimates and uses the efficient treatment-assignment probability to assign treatments. At the end of the proposed design, the experimenter estimates the ATE using a newly proposed Adaptive Augmented Inverse Probability Weighting (A2IPW) estimator. We show that the asymptotic variance of the A2IPW estimator using data from the proposed design achieves the minimized semiparametric efficiency bound. We also analyze the estimator's finite-sample properties and develop nonparametric and nonasymptotic confidence intervals that are valid at any round of the proposed design. These anytime valid confidence intervals allow us to conduct rate-optimal sequential hypothesis testing, allowing for early stopping and reducing necessary sample size.