Doubly Robust Off-policy Value Evaluation for Reinforcement Learning


Nan Jiang, Lihong Li ;
Proceedings of The 33rd International Conference on Machine Learning, PMLR 48:652-661, 2016.


We study the problem of off-policy value evaluation in reinforcement learning (RL), where one aims to estimate the value of a new policy based on data collected by a different policy. This problem is often a critical step when applying RL to real-world problems. Despite its importance, existing general methods either have uncontrolled bias or suffer high variance. In this work, we extend the doubly robust estimator for bandits to sequential decision-making problems, which gets the best of both worlds: it is guaranteed to be unbiased and can have a much lower variance than the popular importance sampling estimators. We demonstrate the estimator’s accuracy in several benchmark problems, and illustrate its use as a subroutine in safe policy improvement. We also provide theoretical results on the inherent hardness of the problem, and show that our estimator can match the lower bound in certain scenarios.

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