Pessimistic data integration for policy evaluation

Wu, Xiangkun, Li, Ting, Aminian, Gholamali, Behnamnia, Armin, R. Rabiee, Hamid and Shi, Chengchun ORCID: 0000-0001-7773-2099 (2025) Pessimistic data integration for policy evaluation. In: 39th Conference on Neural Information Processing Systems, 2025-11-30 - 2025-12-07. (In Press)

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Abstract

This paper studies how to integrate historical control data with experimental data to enhance A/B testing, while addressing the distributional shift between historical and experimental datasets. We propose a pessimistic data integration method that combines two causal effect estimators constructed based on experimental and historical datasets. Our main idea is to conceptualize the weight function for this combination as a policy so that existing pessimistic policy learning algorithms are applicable to learn the optimal weight that minimizes the resulting weighted estimator’s mean squared error. Additionally, we conduct comprehensive theoretical and empirical analyses to compare our method against various baseline estimators across five scenarios. Both our theoretical and numerical findings demonstrate that the proposed estimator achieves near-optimal performance across all scenarios.

Item Type:	Conference or Workshop Item (Paper)
Additional Information:	© 2025 The Author(s)
Divisions:	Statistics
Date Deposited:	30 Oct 2025 11:12
Last Modified:	31 Oct 2025 13:36
URI:	http://eprints.lse.ac.uk/id/eprint/130005

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