Active Sequential Hypothesis Testing with Non-Homogeneous Costs

We study the Non-Homogeneous Sequential Hypothesis Testing (NHSHT), where a single active Decision-Maker (DM) selects actions with heterogeneous positive costs to identify the true hypothesis under an average error constraint $\delta$, while minimizing expected total cost paid. Under standard arguments, we show that the objective decomposes into the product of the mean number of samples and the mean per-action cost induced by the policy. This leads to a key design principle: one should optimize the ratio of expectations (expected information gain per expected cost) rather than the expectation of per-step information-per-cost (“bit-per-buck”), which can be suboptimal. We adapt the Chernoff scheme to NHSHT, preserving its classical $\log 1\mathrm{/}\delta$ scaling. In simulations, the adapted scheme reduces mean cost by up to 50% relative to the classic Chernoff policy and by up to 90% relative to the naive bit-per-buck heuristic.