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Balancing covariates in randomized experiments using the Gram-Schmidt walk

11/08/2019
by   Christopher Harshaw, et al.
0

The paper introduces a class of experimental designs that allows experimenters to control the robustness and efficiency of their experiments. The designs build on a recently introduced algorithm in discrepancy theory, the Gram-Schmidt walk. We provide a tight analysis of this algorithm, allowing us to prove important properties of the designs it produces. These designs aim to simultaneously balance all linear functions of the covariates, and the variance of an estimator of the average treatment effect is shown to be bounded by a quantity that is proportional to the loss function of a ridge regression of the potential outcomes on the covariates. No regression is actually conducted, and one may see the procedure as regression adjustment by design. The class of designs is parameterized so to give experimenters control over the worse case performance of the treatment effect estimator. Greater covariate balance is attained by allowing for a less robust design in terms of worst case variance. We argue that the trade-off between robustness and efficiency is an inherent aspect of experimental design. Finally, we provide non-asymptotic tail bounds for the treatment effect estimator under the class of designs we describe.

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