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arXiv · 2309.01120

Double Clipping: Less-Biased Variance Reduction in Off-Policy Evaluation

Jan Malte Lichtenberg·Alexander Buchholz·Giuseppe Di Benedetto·Matteo Ruffini·Ben London
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Abstract

"Clipping" (a.k.a. importance weight truncation) is a widely used variance-reduction technique for counterfactual off-policy estimators. Like other variance-reduction techniques, clipping reduces variance at the cost of increased bias. However, unlike other techniques, the bias introduced by clipping is always a downward bias (assuming non-negative rewards), yielding a lower bound on the true expected reward. In this work we propose a simple extension, called $\textit{double clipping}$, which aims to compensate this downward bias and thus reduce the overall bias, while maintaining the variance reduction properties of the original estimator.

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Jan Malte Lichtenberg, Alexander Buchholz, Giuseppe Di Benedetto, Matteo Ruffini, Ben London. 2023-09-03. Double Clipping: Less-Biased Variance Reduction in Off-Policy Evaluation. https://arxiv.org/abs/2309.01120

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