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arXiv · 1409.3653

On Minimax Optimal Offline Policy Evaluation

Lihong Li·Remi Munos·Csaba Szepesvari
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Abstract

This paper studies the off-policy evaluation problem, where one aims to estimate the value of a target policy based on a sample of observations collected by another policy. We first consider the multi-armed bandit case, establish a minimax risk lower bound, and analyze the risk of two standard estimators. It is shown, and verified in simulation, that one is minimax optimal up to a constant, while another can be arbitrarily worse, despite its empirical success and popularity. The results are applied to related problems in contextual bandits and fixed-horizon Markov decision processes, and are also related to semi-supervised learning.

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Lihong Li, Remi Munos, Csaba Szepesvari. 2014-09-12. On Minimax Optimal Offline Policy Evaluation. https://arxiv.org/abs/1409.3653

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