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Asymptotically optimal sequential design for rank aggregation

Chen, Xi, Chen, Yunxiao ORCID: 0000-0002-7215-2324 and Li, Xiaoou (2021) Asymptotically optimal sequential design for rank aggregation. Mathematics of Operations Research. ISSN 0364-765X (In Press)

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Abstract

A sequential design problem for rank aggregation is commonly encountered in psychology, politics, marketing, sports, etc. In this problem, a decision-maker is responsible for ranking K items by sequentially collecting noisy pairwise comparisons from judges. The decision-maker needs to choose a pair of items for comparison in each step, decide when to stop data collection, and make a final decision after stopping, based on a sequential flow of information. Due to the complex ranking structure, existing sequential analysis methods are not suitable. In this paper, we formulate the problem under a Bayesian decision framework and propose sequential procedures that are asymptotically optimal. These procedures achieve asymptotic optimality by seeking a balance between exploration (i.e., finding the most indistinguishable pair of items) and exploitation (i.e., comparing the most indistinguishable pair based on the current information). New analytical tools are developed for proving the asymptotic results, combining advanced change of measure techniques for handling the level crossing of likelihood ratios and classic large deviation results for martingales, which are of separate theoretical interest in solving complex sequential design problems. A mirror-descent algorithm is developed for the computation of the proposed sequential procedures.

Item Type: Article
Divisions: Statistics
Date Deposited: 21 Jun 2021 09:00
Last Modified: 16 Sep 2021 23:11
URI: http://eprints.lse.ac.uk/id/eprint/110880

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