pith:X3WYPJSN
A Regret Perspective on Online Multiple Testing
Deterministic online FDR control forces linear regret from early threshold depletion, but a history-decoupled non-negative perturbation reduces it to order sqrt(T) without adding false negatives.
arxiv:2605.13916 v1 · 2026-05-13 · stat.ML · cs.AI · cs.LG
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Claims
We prove the Duality of Regret Conservation: purely deterministic procedures ensuring strict FDR control inevitably incur an Ω(T) linear regret penalty, as threshold depletion during signal-sparse cold starts forces massive false negatives. Tailored for exogenous testing streams, we propose Decoupled-OMT (DOMT) ... yields an order-optimal Ω(√T) regret reduction in bursty environments.
The analysis assumes exogenous testing streams (decisions do not affect future data generation) and stationarity for the asymptotic safety guarantee; the finite-sample bounds during cold starts rely on the perturbation being strictly non-negative and history-decoupled without introducing additional false negatives.
The paper proves that deterministic FDR-controlling procedures incur linear regret in online multiple testing and introduces DOMT, a perturbation-based meta-wrapper that reduces regret to order-optimal sublinear levels while preserving safety.
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| First computed | 2026-05-17T23:39:18.751066Z |
|---|---|
| Builder | pith-number-builder-2026-05-17-v1 |
| Signature | Pith Ed25519
(pith-v1-2026-05) · public key |
| Schema | pith-number/v1.0 |
Canonical hash
beed87a64dd4af9bab1921a00990e49b668240606aba23dac39f90d2cca89664
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Canonical record JSON
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