The paper derives the semiparametric efficiency bound for off-policy evaluation in MDPs and introduces a doubly robust, cross-fitted estimator (DRL) that achieves it.
Non-Parametric Inference Adaptive to Intrinsic Dimension
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abstract
We consider non-parametric estimation and inference of conditional moment models in high dimensions. We show that even when the dimension $D$ of the conditioning variable is larger than the sample size $n$, estimation and inference is feasible as long as the distribution of the conditioning variable has small intrinsic dimension $d$, as measured by locally low doubling measures. Our estimation is based on a sub-sampled ensemble of the $k$-nearest neighbors ($k$-NN) $Z$-estimator. We show that if the intrinsic dimension of the covariate distribution is equal to $d$, then the finite sample estimation error of our estimator is of order $n^{-1/(d+2)}$ and our estimate is $n^{1/(d+2)}$-asymptotically normal, irrespective of $D$. The sub-sampling size required for achieving these results depends on the unknown intrinsic dimension $d$. We propose an adaptive data-driven approach for choosing this parameter and prove that it achieves the desired rates. We discuss extensions and applications to heterogeneous treatment effect estimation.
fields
cs.LG 1years
2019 1verdicts
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Double Reinforcement Learning for Efficient Off-Policy Evaluation in Markov Decision Processes
The paper derives the semiparametric efficiency bound for off-policy evaluation in MDPs and introduces a doubly robust, cross-fitted estimator (DRL) that achieves it.