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Estimation Considerations in Contextual Bandits

Contextual bandit algorithms seek to learn a personalized treatment assignment policy, balancing exploration against exploitation. Although a number of algorithms have been proposed, there is little guidance available for applied researchers to select among various approaches. Motivated by the econometrics and statistics literatures on causal effects estimation, we study a new consideration to the exploration vs. exploitation framework, which is that the way exploration is conducted in the present may contribute to the bias and variance in the potential outcome model estimation in subsequent stages of learning. We leverage parametric and non-parametric statistical estimation methods and causal effect estimation methods in order to propose new contextual bandit designs. Through a variety of simulations, we show how alternative design choices impact the learning performance and provide insights on why we observe these effects.