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Deeply-debiased off-policy interval estimation

Shi, Chengchun, Wan, Runzhe, Chernozhukov, Victor and Song, Rui (2021) Deeply-debiased off-policy interval estimation. In: International Conference on Machine Learning, 2021-07-18 - 2021-07-24. (In Press)

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Abstract

Off-policy evaluation learns a target policy’s value with a historical dataset generated by a different behavior policy. In addition to a point estimate, many applications would benefit significantly from having a confidence interval (CI) that quantifies the uncertainty of the point estimate. In this paper, we propose a novel deeply-debiasing procedure to construct an efficient, robust, and flexible CI on a target policy’s value. Our method is justified by theoretical results and numerical experiments. A Python implementation of the proposed procedure is available at https://github.com/RunzheStat/D2OPE.

Item Type: Conference or Workshop Item (Paper)
Official URL: https://icml.cc/
Additional Information: © 2021 The Authors
Divisions: Statistics
Subjects: H Social Sciences > HA Statistics
Q Science > QA Mathematics > QA75 Electronic computers. Computer science
Date Deposited: 24 Jun 2021 08:03
Last Modified: 24 Jun 2021 23:34
URI: http://eprints.lse.ac.uk/id/eprint/110920

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