Policy Learning with Confidence

2025/02/15 by Victor Chernozhukov, Chernozhukov, Victor, Sokbae Lee +5
Economics, Econometrics and Finance · #Econometrics (econ.EM) #Economic Policies and Impacts #FOS: Computer and information sciences #FOS: Economics and business #Methodology (stat.ME)

paper · pdf · doi:10.48550/arxiv.2502.10653

openalex publication_date 2025/02/15 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

This paper introduces a rule for policy selection in the presence of estimation uncertainty, explicitly accounting for estimation risk. The rule belongs to the class of risk-aware rules on the efficient decision frontier, characterized as policies offering maximal estimated welfare for a given level of estimation risk. Among this class, the proposed rule is chosen to provide a reporting guarantee, ensuring that the welfare delivered exceeds a threshold with a pre-specified confidence level. We apply this approach to the allocation of a limited budget among social programs using estimates of their marginal value of public funds and associated standard errors.

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