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State Relevance for Off-Policy Evaluation
Simon Shen · Yecheng Jason Ma · Omer Gottesman · Finale Doshi-Velez

Wed Jul 21 06:45 AM -- 06:50 AM (PDT) @
in Reinforcement Learning 12 »

Importance sampling-based estimators for off-policy evaluation (OPE) are valued for their simplicity, unbiasedness, and reliance on relatively few assumptions. However, the variance of these estimators is often high, especially when trajectories are of different lengths. In this work, we introduce Omitting-States-Irrelevant-to-Return Importance Sampling (OSIRIS), an estimator which reduces variance by strategically omitting likelihood ratios associated with certain states. We formalize the conditions under which OSIRIS is unbiased and has lower variance than ordinary importance sampling, and we demonstrate these properties empirically.

Keywords: Reinforcement Learning and Planning

Author Information

Simon Shen (Harvard University)
Yecheng Jason Ma (University of Pennsylvania)
Omer Gottesman (Harvard University)
Finale Doshi-Velez (Harvard University)
Finale Doshi-Velez

Finale Doshi-Velez is a Gordon McKay Professor in Computer Science at the Harvard Paulson School of Engineering and Applied Sciences. She completed her MSc from the University of Cambridge as a Marshall Scholar, her PhD from MIT, and her postdoc at Harvard Medical School. Her interests lie at the intersection of machine learning, healthcare, and interpretability. Selected Additional Shinies: BECA recipient, AFOSR YIP and NSF CAREER recipient; Sloan Fellow; IEEE AI Top 10 to Watch

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