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arXiv · 2301.10330

Off-Policy Evaluation for Action-Dependent Non-Stationary Environments

Yash Chandak·Shiv Shankar·Nathaniel D. Bastian·Bruno Castro da Silva·Emma Brunskil·Philip S. Thomas
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Abstract

Methods for sequential decision-making are often built upon a foundational assumption that the underlying decision process is stationary. This limits the application of such methods because real-world problems are often subject to changes due to external factors (passive non-stationarity), changes induced by interactions with the system itself (active non-stationarity), or both (hybrid non-stationarity). In this work, we take the first steps towards the fundamental challenge of on-policy and off-policy evaluation amidst structured changes due to active, passive, or hybrid non-stationarity. Towards this goal, we make a higher-order stationarity assumption such that non-stationarity results in changes over time, but the way changes happen is fixed. We propose, OPEN, an algorithm that uses a double application of counterfactual reasoning and a novel importance-weighted instrument-variable regression to obtain both a lower bias and a lower variance estimate of the structure in the changes of a policy's past performances. Finally, we show promising results on how OPEN can be used to predict future performances for several domains inspired by real-world applications that exhibit non-stationarity.

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Yash Chandak, Shiv Shankar, Nathaniel D. Bastian, Bruno Castro da Silva, Emma Brunskil, Philip S. Thomas. 2023-01-24. Off-Policy Evaluation for Action-Dependent Non-Stationary Environments. https://arxiv.org/abs/2301.10330

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