Off-policy evaluation in doubly inhomogeneous environments

Bian, Zeyu, Shi, Chengchun, Qi, Zhengling and Wang, Lan (2024) Off-policy evaluation in doubly inhomogeneous environments. Journal of the American Statistical Association. ISSN 0162-1459 (In Press)

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Abstract

This work aims to study off-policy evaluation (OPE) under scenarios where two key reinforcement learning (RL) assumptions – temporal stationarity and individual homogeneity are both violated. To handle the “double inhomogeneities”, we propose a class of latent factor models for the reward and transition functions, under which we develop a general OPE framework that consists of both model-based and model-free approaches. To our knowledge, this is the first paper that develops statistically sound OPE methods in offline RL with double inhomogeneities. It contributes to a deeper understanding of OPE in environments, where standard RL assumptions are not met, and provides several practical approaches in these settings. We establish the theoretical properties of the proposed value estimators and empirically show that our approach outperforms state-of-the-art methods. Finally, we illustrate our method on a data set from the Medical Information Mart for Intensive Care. An R implementation of the proposed procedure is available at https://github.com/ZeyuBian/2FEOPE.

Item Type:	Article
Additional Information:	© 2024 The Author(s)
Divisions:	Statistics
Date Deposited:	21 Aug 2024 09:24
Last Modified:	14 Sep 2024 10:14
URI:	http://eprints.lse.ac.uk/id/eprint/124630

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