• Corpus ID: 219636361

Confidence Interval for Off-Policy Evaluation from Dependent Samples via Bandit Algorithm: Approach from Standardized Martingales

@article{Kato2020ConfidenceIF,
  title={Confidence Interval for Off-Policy Evaluation from Dependent Samples via Bandit Algorithm: Approach from Standardized Martingales},
  author={Masahiro Kato},
  journal={ArXiv},
  year={2020},
  volume={abs/2006.06982}
}
This study addresses the problem of off-policy evaluation (OPE) from dependent samples obtained via the bandit algorithm. The goal of OPE is to evaluate a new policy using historical data obtained from behavior policies generated by the bandit algorithm. Because the bandit algorithm updates the policy based on past observations, the samples are not independent and identically distributed (i.i.d.). However, several existing methods for OPE do not take this issue into account and are based on the… 
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