Regret-weighted Bayes Fusion for Distributed Experimental Design

We study distributed experimental design with multiple candidate experiments, where local sites possess only partial information and transmit design recommendations to a fusion center. Unlike centralized design, in which the experiment that maximizes expected information gain can be selected directly, distributed design requires combining heterogeneous and potentially conflicting local recommendations. Formulating as a multi-class Bayes fusion problem, centralized oracle design is treated as an unknown label and each site is characterized by a local recommendation mechanism. The proposed fusion rule minimizes posterior expected information regret, rather than merely maximizing the number of local votes or the posterior probability (MAP) of the oracle label. This distinction is essential because different incorrect experimental choices may incur different losses in information gain. We show that majority vote is optimal only under restrictive symmetry assumptions and can otherwise be strictly suboptimal. Regret-weighted multi-class Chernoff bounds are derived to identify the pairwise separations governing distributed design performance. Numerical studies identify two operational regimes: MAP is effective when oracle-label accuracy and information regret are aligned, while regret-weighted Bayes fusion reduces information loss when the most probable oracle label is not the lowest-regret decision.