NeurIPS 2020

Learning Robust Decision Policies from Observational Data

Review 1

Summary and Contributions: This manuscript explores the learning of policies from observational data that minimized an alternative cost function. Unlike most work that minimizes the expected cost, the authors focus on the tail of the cost at for every context. This tail is estimated using a result from conformal prediction. Finally, a demonstration of the algorithm is presented on simulations and real data.

Strengths: + Learning from observational data is an important area and looking at the tails is definitely a novel and interesting direction, relevant to the community. + Exploiting the result from conformal prediction is novel and sound. + The problem is clearly presented.

Weaknesses: There are many algorithmic points that I did not find addressed in this submission and would give supplemental insight, in addition to the application of the conformal prediction result. I appreciated the guarantee that the confidence interval is valid. However, is there any room to discuss optimality (an equivalent of power for hypothesis testing?) ? When would such a method break and produce a useless interval? What is the price (in terms of “power”) of using as predictor the locally weighted average of cost in Eq. (11)? Also, this predictor could be better motivated. Would it be useful to add some derivations in Appendix? Having a look at Algorithm 1, it is not clear to me what is the exact time complexity of this algorithm. This should be clearly discussed. Even with the approximation in (11), I am not sure whether that would scale to large datasets. Section 3.2 just explains how to use density estimation to form the probabilities used in (8). One natural question (treated in doubly robust estimation in its own way) is how is this confidence interval estimation robust to errors in the estimation of the propensity weights. The experiments have the merit of showing that the robust policy acts differently than the mean-optimal policy AND that the proposed algorithm controls the tail adequately. However, I think that more effort must be done to add reasonable baselines. For example, a generative model that would ignore the logging policy and model the tail seems minimal. And then, some similar model trained with importance sampling to correct for the logging? The linear policy is definitely too weak. Relationship to previous work must be discussed, there should be at least some similar discussions in the reinforcement learning community that must be brought up here. I have found one instance here [1]. That example is very applied, but it shows there *is* some related work, trying to estimate the noise in the reward distribution and to exploit the uncertainty in some way. [1]

Correctness: To my knowledge, what is presented in the paper seems reasonable.

Clarity: Some notations in the manuscript may be improved, P^pi and P^x are not defined. This is especially confusing at the beginning of the paper.

Relation to Prior Work: See my comment earlier, the paper could be better contextualized.

Reproducibility: Yes

Additional Feedback: After author feedback ----- I appreciate that the authors answered my questions and added supplementary baselines. I maintain my score and recommend acceptance of this manuscript.

Review 2

Summary and Contributions: This paper proposes a way to use conformal inference ideas to learn the optimal policy to maximize the reward at a chosen quantile. Doing so can improve robustness of policy learning to outlier rewards.

Strengths: The paper provides a strong technical presentation of policy learning and a certain notion of robustness to outlier observations. The proposed method delivers on providing guarantees with respect to this notion of robustness, and the paper presents a good evaluation on simulation and real data.

Weaknesses: The mathematical results seem to be a bit heuristic. In this setting, one would expect a requirement that p(x|z) >= \epsilon > 0, or something of the sort. That is, there must be "overlap" between the features z of people assigned policy x=0 and the features z of people assigned policy x=1. This never seems to be explicitly assumed. Similarly, there is no discussion of unobserved confounders. Importantly, these results all depend on a notion of counterfactuals, because the policy is being changed. If the policy in the observed data depends on some variable u that also affects y, but is unobserved, then when we deploy a policy that only depends on z, the performance may not be as we expect. Edit: Thanks to the authors for addressing these concerns, and pointing out the discussion of overlap for the main results. I still don't quite understand what happens when the estimate of p(x | z) = 0. I suppose perhaps in this case, one just chooses the best among the observed actions? I would appreciate more precision in describing the algorithm, and how these potentially infinite values are handled. I would also be interested to see if there was proof that the proposed method chooses a policy with better empirical overlap in the "Infant Health and Development Program" than baseline methods that don't optimize the tail costs. This would make the method very compelling and practical.

Correctness: The claims are all true, though implicitly depend on the unconfoundedness assumption. Perhaps the intention of saying that the distribution p(y, x, z) factorizes as p(z) p(x | z) p(y | x, z) was to implicitly say this, but it doesn't quite achieve that. For example, p(y | x, z) is well-defined even if there is a variable u correlated (and causal) for y and x, but in this case would not be what we need to know when deploying a new policy \pi(z) (that does not depend on u). I see two possible solutions: (1) is less mathematically precise, but more familiar to RL audiences, which is to say in words that you are assuming unconfoundedness, and therefore you assume that p(y | x, z) is generative. (2) is to be explicit, using potential outcomes notation to write y(x) as the reward that would've happened if action x was taken, and then use explicitly the unconfoundedness assumption to imply that p(y(x) | x, z) = p(y_observed | x, z). For references on this, see [1] Murphy, Susan A. "Optimal dynamic treatment regimes." Journal of the Royal Statistical Society: Series B (Statistical Methodology) 65.2 (2003): 331-355. [2] Namkoong, Hongseok, et al. "Off-policy Policy Evaluation For Sequential Decisions Under Unobserved Confounding." arXiv preprint arXiv:2003.05623 (2020). Murphy (2003) is a classical reference on this topic, but Namkoong et al. (2020) translates this into contemporary RL notation and has a discussion of why the unconfoundedness assumption is necessary in observational RL.

Clarity: Yes

Relation to Prior Work: Yes

Reproducibility: Yes

Additional Feedback: Updates: With the author feedback, my more careful reading of the discussion on overlap, and indication from the authors that they will try to be more explicit in their use of assumptions, I will increase my overall score for the submission. I hope the authors take my responses in the "weaknesses" section into consideration, and I think this has the potential to be an impactful paper.

Review 3

Summary and Contributions: The paper presents an approach for learning policies aimed at reducing the tails of the cost distribution. It also provides a statistically valid bound on the cost of each decision, which is an essential requirement in safety-critical decision-making areas like healthcare. Results on synthetic and real-world data demonstrate that the approach can learn robust policies even under feature overlap between decisions.

Strengths: 1. The paper is well-written and easy to follow. 2. The proposed approach for learning a robust policy is able to reduce the tail of the cost distribution rather than E[y] under the policy and provides a statistical bound on the cost of each decision. 3. The approach is valid under feature overlap as well as supported in Figure 2.

Weaknesses: 1. The divergence between a sample and the data is calculated by considering the residual. However, this approach may fail when the sample is shifted from the data distribution. In such settings, is there a way to adopt the method to account for the shift as well? 2. Since dimensionality reduction is performed in the real world experimental setting, it is not clear how the approach depends on the number of covariates. Is the proposed method better than a mean conditional policy for high-dimensional data as well? Adding some discussion on this can help situate the work in critical decision-making applications like healthcare, where we often find high-dimensional data. 3. What are the assumptions about the data-generating process? Are the statistical claims valid under confounding as well? 4. Though not the focus of the paper, it would be helpful to have some discussion around the fairness of the decisions and how $\alpha$ relates to unfairness?

Correctness: The experimental results are reasonable to establish the benefits of the proposed approach.

Clarity: The paper is well written as easy to follow.

Relation to Prior Work: I'd like to suggest some specifics for the related work as it seems incomplete, making it difficult to weigh the merits. Discussion concerning the following points will be helpful. 1. Observational data is often biased and it is crucial to discuss the relation specifically with respect to selection bias [1]. 2. Another issue is with respect to confounding. There are recent approaches in policy learning that also account for unobserved confounding [2]. 3. Since the ultimate goal is to make the decision based on the policy learned, it is especially important to consider whether the decisions are unfair [3]. [1] Atan, Onur, William R. Zame, and Mihaela van der Schaar. "Learning optimal policies from observational data." arXiv preprint arXiv:1802.08679 (2018). [2] Kallus, Nathan, and Angela Zhou. "Confounding-robust policy improvement." Advances in neural information processing systems. 2018. [3] Nabi, Razieh, Daniel Malinsky, and Ilya Shpitser. "Learning optimal fair policies." Proceedings of machine learning research 97 (2019): 4674.

Reproducibility: No

Additional Feedback: Updates upon feedback: After reading the author's response and other reviews my evaluation remains unchanged. This is interesting work which would strongly benefit from more focus on the relevant baselines and optimality. In particular, more discussion of these (including robustness to propensity weights, demerits of the linear policy) would lead to a stronger version of this paper. --------------------------------------------------------------------------------------- I have a few suggestions that can be taken into account. Some of them are mentioned above as well. 1. Having a simple example without feature overlap can help motivate the approach, and then following with example explained in Figure 1. 2. While the problem is exciting, and it's necessary to assess solutions for the same, a clear motivation for the proposed approach is missing.

Review 4

Summary and Contributions: This paper develops a robust method for learning policies

Strengths: The study is well-grounded in theory. It provides background on the method and has a real-world example.

Weaknesses: I think the greatest weakness is that the authors do not provide some form of comparison with other methods in their applications, or how they distinguish from previous methods. As far as I understand the applications "prove" the statistical validity but nothing more. This makes it difficult for me to judge the broader impact of this method.

Correctness: I was unable to verify all formula and proofs, but the terminology seems to be consistent.

Clarity: The paper is well written, there are only some typos (e.g. line 3 "may be").

Relation to Prior Work: There is no comparison to previous methods which makes it difficult .

Reproducibility: No

Additional Feedback: