Experimenting on Markov Decision Processes with Local Treatments
<|reference_start|>Experimenting on Markov Decision Processes with Local Treatments: As service systems grow increasingly complex and dynamic, many interventions become localized, available and taking effect only in specific states. This paper investigates experiments with local treatments on a widely-used class of dynamic models, Markov Decision Processes (MDPs). Particularly, we focus on utilizing the local structure to improve the inference efficiency of the average treatment effect. We begin by demonstrating the efficiency of classical inference methods, including model-based estimation and temporal difference learning under a fixed policy, as well as classical A/B testing with general treatments. We then introduce a variance reduction technique that exploits the local treatment structure by sharing information for states unaffected by the treatment policy. Our new estimator effectively overcomes the variance lower bound for general treatments while matching the more stringent lower bound incorporating the local treatment structure. Furthermore, our estimator can optimally achieve a linear reduction with the number of test arms for a major part of the variance. Finally, we explore scenarios with perfect knowledge of the control arm and design estimators that further improve inference efficiency.<|reference_end|>
@article{chen2024experimenting,
    title={Experimenting on Markov Decision Processes with Local Treatments},
    author={Shuze Chen, David Simchi-Levi, Chonghuan Wang},
    journal={arXiv preprint arXiv:2407.19618},
    year={2024},
    archivePrefix={arXiv},
    eprint={2407.19618},
    primaryClass={stat.ME cs.LG econ.EM stat.AP stat.ML}
}