Statistics Colloquium: Iavor Bojinov (Harvard University)

Date: 

Monday, September 28, 2020, 10:30am to 11:30am

Location: 

Zoom - please contact emilie_campanelli@fas.harvard.edu for more information

Title:

Design and Analysis of Switchback Experiments

Abstract:

In switchback experiments, a firm sequentially exposes an experimental unit to a random treatment, measures its response, and repeats the procedure for several periods to determine which treatment leads to the best outcome. Although practitioners have widely adopted this experimental design technique, the development of its theoretical properties and the derivation of optimal design procedures have been, to the best of our knowledge, elusive. In this paper, we establish the necessary results to ensure that practitioners can apply this powerful class of experiments with minimal assumptions. Our main result is the derivation of the optimal design of switchback experiments under a range of different assumptions on the order of the carryover effect - that is, the length of time a treatment persists in impacting the outcome. We cast the optimal experimental design problem as a minimax discrete robust optimization problem, identify the worst-case adversarial strategy, establish structural results for the optimal design, and finally solve the reduced problem via a continuous relaxation. For switchback experiments conducted under the optimal design, we provide two approaches for performing inference after running the experiment. The first provides exact randomization based $p$-values and the second uses a new finite population central limit theorem to conduct conservative hypothesis tests and build confidence intervals. We further provide theoretical results for our inferential approaches when the order of the carryover effect is misspecified. For firms that possess the capability to run multiple switchback experiments, we also provide a data-driven procedure to identify the likely order of carryover effect. To study the empirical properties of our results, we conduct extensive simulations. We conclude the paper by providing some practical suggestions.

Arxiv link: https://arxiv.org/abs/2009.00148