Algorithms for Adaptive Experiments that Trade-off Statistical Analysis with Reward: Combining Uniform Random Assignment and Reward Maximization

no code implementations • 15 Dec 2021 • Tong Li, Jacob Nogas, Haochen Song, Harsh Kumar, Audrey Durand, Anna Rafferty, Nina Deliu, Sofia S. Villar, Joseph J. Williams

TS-PostDiff takes a Bayesian approach to mixing TS and Uniform Random (UR): the probability a participant is assigned using UR allocation is the posterior probability that the difference between two arms is 'small' (below a certain threshold), allowing for more UR exploration when there is little or no reward to be gained.

Thompson Sampling