Policy Choice and Best Arm Identification: Asymptotic Analysis of Exploration Sampling

Abstract: We consider the "policy choice" problem -- otherwise known as best arm identification in the bandit literature -- proposed by Kasy and Sautmann (2021) for adaptive experimental design. Theorem 1 of Kasy and Sautmann (2021) provides three asymptotic results that give theoretical guarantees for exploration sampling developed for this setting. We first show that the proof of Theorem 1 (1) has technical issues, and the proof and statement of Theorem 1 (2) are incorrect. We then show, through a counterexample, that Theorem 1 (3) is false. For the former two, we correct the statements and provide rigorous proofs. For Theorem 1 (3), we propose an alternative objective function, which we call posterior weighted policy regret, and derive the asymptotic optimality of exploration sampling.