CoinDICE: Off-Policy Confidence Interval Estimation

Part of Advances in Neural Information Processing Systems 33 pre-proceedings (NeurIPS 2020)

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Authors

Bo Dai, Ofir Nachum, Yinlam Chow, Lihong Li, Csaba Szepesvari, Dale Schuurmans

Abstract

<p>We study high-confidence behavior-agnostic off-policy evaluation in reinforcement learning, where the goal is to estimate a confidence interval on a target policy's value, given only access to a static experience dataset collected by unknown behavior policies. Starting from a function space embedding of the linear program formulation of the Q-function, we obtain an optimization problem with generalized estimating equation constraints. By applying the generalized empirical likelihood method to the resulting Lagrangian, we propose CoinDICE, a novel and efficient algorithm for computing confidence intervals. Theoretically, we prove the obtained confidence intervals are valid, in both asymptotic and finite-sample regimes. Empirically, we show in a variety of benchmarks that the confidence interval estimates are tighter and more accurate than existing methods.</p>