Efficient and Sharp Off-Policy Evaluation in Robust Markov Decision Processes
<|reference_start|>Efficient and Sharp Off-Policy Evaluation in Robust Markov Decision Processes: We study evaluating a policy under best- and worst-case perturbations to a Markov decision process (MDP), given transition observations from the original MDP, whether under the same or different policy. This is an important problem when there is the possibility of a shift between historical and future environments, due to e.g. unmeasured confounding, distributional shift, or an adversarial environment. We propose a perturbation model that can modify transition kernel densities up to a given multiplicative factor or its reciprocal, which extends the classic marginal sensitivity model (MSM) for single time step decision making to infinite-horizon RL. We characterize the sharp bounds on policy value under this model, that is, the tightest possible bounds given by the transition observations from the original MDP, and we study the estimation of these bounds from such transition observations. We develop an estimator with several appealing guarantees: it is semiparametrically efficient, and remains so even when certain necessary nuisance functions such as worst-case Q-functions are estimated at slow nonparametric rates. It is also asymptotically normal, enabling easy statistical inference using Wald confidence intervals. In addition, when certain nuisances are estimated inconsistently we still estimate a valid, albeit possibly not sharp bounds on the policy value. We validate these properties in numeric simulations. The combination of accounting for environment shifts from train to test (robustness), being insensitive to nuisance-function estimation (orthogonality), and accounting for having only finite samples to learn from (inference) together leads to credible and reliable policy evaluation.<|reference_end|>
@article{bennett2024efficient,
    title={Efficient and Sharp Off-Policy Evaluation in Robust Markov Decision
  Processes},
    author={Andrew Bennett, Nathan Kallus, Miruna Oprescu, Wen Sun, Kaiwen Wang},
    journal={arXiv preprint arXiv:2404.00099},
    year={2024},
    archivePrefix={arXiv},
    eprint={2404.00099},
    primaryClass={cs.AI stat.ML}
}