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A Practical Guide of Off-Policy Evaluation for Bandit Problems

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  • Masahiro Kato
  • Kenshi Abe
  • Kaito Ariu
  • Shota Yasui

Abstract

Off-policy evaluation (OPE) is the problem of estimating the value of a target policy from samples obtained via different policies. Recently, applying OPE methods for bandit problems has garnered attention. For the theoretical guarantees of an estimator of the policy value, the OPE methods require various conditions on the target policy and policy used for generating the samples. However, existing studies did not carefully discuss the practical situation where such conditions hold, and the gap between them remains. This paper aims to show new results for bridging the gap. Based on the properties of the evaluation policy, we categorize OPE situations. Then, among practical applications, we mainly discuss the best policy selection. For the situation, we propose a meta-algorithm based on existing OPE estimators. We investigate the proposed concepts using synthetic and open real-world datasets in experiments.

Suggested Citation

  • Masahiro Kato & Kenshi Abe & Kaito Ariu & Shota Yasui, 2020. "A Practical Guide of Off-Policy Evaluation for Bandit Problems," Papers 2010.12470, arXiv.org.
    • Handle: RePEc:arx:papers:2010.12470
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    References listed on IDEAS

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    1. Jinyong Hahn & Keisuke Hirano & Dean Karlan, 2011. "Adaptive Experimental Design Using the Propensity Score," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(1), pages 96-108, January.
    2. Victor Chernozhukov & Denis Chetverikov & Mert Demirer & Esther Duflo & Christian Hansen & Whitney Newey & James Robins, 2018. "Double/debiased machine learning for treatment and structural parameters," Econometrics Journal, Royal Economic Society, vol. 21(1), pages 1-68, February.
    3. Masahiro Kato, 2020. "Confidence Interval for Off-Policy Evaluation from Dependent Samples via Bandit Algorithm: Approach from Standardized Martingales," Papers 2006.06982, arXiv.org.
    4. Keisuke Hirano & Guido W. Imbens & Geert Ridder, 2003. "Efficient Estimation of Average Treatment Effects Using the Estimated Propensity Score," Econometrica, Econometric Society, vol. 71(4), pages 1161-1189, July.
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