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Optimal sequential treatment allocation

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  • Anders Bredahl Kock
  • Martin Thyrsgaard

Abstract

In treatment allocation problems the individuals to be treated often arrive sequentially. We study a problem in which the policy maker is not only interested in the expected cumulative welfare but is also concerned about the uncertainty/risk of the treatment outcomes. At the outset, the total number of treatment assignments to be made may even be unknown. A sequential treatment policy which attains the minimax optimal regret is proposed. We also demonstrate that the expected number of suboptimal treatments only grows slowly in the number of treatments. Finally, we study a setting where outcomes are only observed with delay.

Suggested Citation

  • Anders Bredahl Kock & Martin Thyrsgaard, 2017. "Optimal sequential treatment allocation," Papers 1705.09952, arXiv.org, revised Aug 2018.
    • Handle: RePEc:arx:papers:1705.09952
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    References listed on IDEAS

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    Cited by:

    1. Shosei Sakaguchi, 2021. "Estimation of Optimal Dynamic Treatment Assignment Rules under Policy Constraints," Papers 2106.05031, arXiv.org, revised Aug 2024.

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