Functional sequential treatment allocation with covariates

Anders Bredahl Kock; David Preinerstorfer; Bezirgen Veliyev

doi:10.1017/S0266466623000051

Functional sequential treatment allocation with covariates

Anders Bredahl Kock, David Preinerstorfer, Bezirgen Veliyev^*

^*Corresponding author for this work

Department of Economics and Business Economics

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

Abstract

We consider a sequential treatment problem with covariates. Given a realization of the covariate vector, instead of targeting the treatment with highest conditional expectation, the decision-maker targets the treatment which maximizes a general functional of the conditional potential outcome distribution, e.g., a conditional quantile, trimmed mean, or a socioeconomic functional such as an inequality, welfare, or poverty measure. We develop expected regret lower bounds for this problem and construct a near minimax optimal sequential assignment policy.

Original language	English
Journal	Econometric Theory
ISSN	0266-4666
DOIs	https://doi.org/10.1017/S0266466623000051
Publication status	Accepted/In press - 2023

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title = "Functional sequential treatment allocation with covariates",

abstract = "We consider a sequential treatment problem with covariates. Given a realization of the covariate vector, instead of targeting the treatment with highest conditional expectation, the decision-maker targets the treatment which maximizes a general functional of the conditional potential outcome distribution, e.g., a conditional quantile, trimmed mean, or a socioeconomic functional such as an inequality, welfare, or poverty measure. We develop expected regret lower bounds for this problem and construct a near minimax optimal sequential assignment policy.",

author = "Kock, {Anders Bredahl} and David Preinerstorfer and Bezirgen Veliyev",

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year = "2023",

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language = "English",

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AU - Kock, Anders Bredahl

AU - Preinerstorfer, David

AU - Veliyev, Bezirgen

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Y1 - 2023

N2 - We consider a sequential treatment problem with covariates. Given a realization of the covariate vector, instead of targeting the treatment with highest conditional expectation, the decision-maker targets the treatment which maximizes a general functional of the conditional potential outcome distribution, e.g., a conditional quantile, trimmed mean, or a socioeconomic functional such as an inequality, welfare, or poverty measure. We develop expected regret lower bounds for this problem and construct a near minimax optimal sequential assignment policy.

AB - We consider a sequential treatment problem with covariates. Given a realization of the covariate vector, instead of targeting the treatment with highest conditional expectation, the decision-maker targets the treatment which maximizes a general functional of the conditional potential outcome distribution, e.g., a conditional quantile, trimmed mean, or a socioeconomic functional such as an inequality, welfare, or poverty measure. We develop expected regret lower bounds for this problem and construct a near minimax optimal sequential assignment policy.

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U2 - 10.1017/S0266466623000051

DO - 10.1017/S0266466623000051

M3 - Journal article

AN - SCOPUS:85150385902

SN - 0266-4666

JO - Econometric Theory

JF - Econometric Theory

ER -

Functional sequential treatment allocation with covariates

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