Asymptotically Optimal Sequential Design for Rank Aggregation

TL;DR

This paper develops asymptotically optimal sequential procedures for rank aggregation from noisy pairwise comparisons, balancing exploration and exploitation within a Bayesian framework, and introduces new analytical tools for proof.

Contribution

It formulates a Bayesian sequential design framework for rank aggregation and proposes procedures that are proven to be asymptotically optimal, with new analytical techniques developed for the proofs.

Findings

Proposed procedures achieve asymptotic optimality.

New analytical tools for change of measure and large deviations.

A mirror-descent algorithm for computation.

Abstract

A sequential design problem for rank aggregation is commonly encountered in psychology, politics, marketing, sports, etc. In this problem, a decision maker is responsible for ranking $K$ items by sequentially collecting pairwise noisy comparison from judges. The decision maker needs to choose a pair of items for comparison in each step, decide when to stop data collection, and make a final decision after stopping, based on a sequential flow of information. Due to the complex ranking structure, existing sequential analysis methods are not suitable. In this paper, we formulate the problem under a Bayesian decision framework and propose sequential procedures that are asymptotically optimal. These procedures achieve asymptotic optimality by seeking for a balance between exploration (i.e. finding the most indistinguishable pair of items) and exploitation (i.e. comparing the most indistinguishable pair based on the current information). New analytical tools are developed for proving the asymptotic results, combining advanced change of measure techniques for handling the level crossing of likelihood ratios and classic large deviation results for martingales, which are of separate theoretical interest in solving complex sequential design problems. A mirror-descent algorithm is developed for the computation of the proposed sequential procedures.