Near-Optimal A-B Testing
研究了存在大量协变量时如何在线分配测试对象以最大化处理效应估计精度，提出一个易处理的算法，并证明优化分配相比随机分配能大幅提升统计效率。
We consider the problem of A-B testing when the impact of the treatment is marred by a large number of covariates. Randomization can be highly inefficient in such settings, and thus we consider the problem of optimally allocating test subjects to either treatment with a view to maximizing the precision of our estimate of the treatment effect. Our main contribution is a tractable algorithm for this problem in the online setting, where subjects arrive, and must be assigned, sequentially, with covariates drawn from an elliptical distribution with finite second moment. We further characterize the gain in precision afforded by optimized allocations relative to randomized allocations, and show that this gain grows large as the number of covariates grows. Our dynamic optimization framework admits several generalizations that incorporate important operational constraints such as the consideration of selection bias, budgets on allocations, and endogenous stopping times. In a set of numerical experiments, we demonstrate that our method simultaneously offers better statistical efficiency and less selection bias than state-of-the-art competing biased coin designs. This paper was accepted by Noah Gans, stochastic models and simulation.