Toward Minimax Off-policy Value Estimation

@inproceedings{Li2015TowardMO,
  title={Toward Minimax Off-policy Value Estimation},
  author={Lihong Li and R{\'e}mi Munos and Csaba Szepesv{\'a}ri},
  booktitle={AISTATS},
  year={2015}
}
This paper studies the off-policy evaluation problem, where one aims to estimate the value of a target policy based on a sample of observations collected by another policy. We first consider the single-state, or multi-armed bandit case, establish a finite-time minimax risk lower bound, and analyze the risk of three standard estimators. For the so-called regression estimator, we show that while it is asymptotically optimal, for small sample sizes it may perform suboptimally compared to an ideal… CONTINUE READING
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