Theorem. Uniform proxy error gives two-epsilon selection regret [ftip-007H]

Under the conditions of Definition [ftip-007G], choose

\[ y^\star \in \operatorname *{arg\,max}_{y\in \mathcal Y_0}U(y), \qquad \widehat y\in \operatorname *{arg\,max}_{y\in \mathcal Y_0}\widehat U(y). \]

Then the utility regret of selecting by the proxy satisfies

\[ 0\leq U(y^\star )-U(\widehat y)\leq 2\varepsilon . \]

This finite statement follows from the displayed hypotheses.