Towards optimal off-policy evaluation for reinforcement learning with marginalized importance sampling.

Yifei Ma

Abstract: Motivated by the many real-world applications of reinforcement learning (RL) that require safe-policy iterations, we consider the problem of off-policy evaluation (OPE) — the problem of evaluating a new policy using the historical data obtained by different behavior policies — under the model of nonstationary episodic Markov Decision Processes (MDP) with a long horizon and a large action space. Existing importance sampling (IS) methods often suffer from large variance that depends exponentially on the RL horizon H. To solve this problem, we consider a marginalized importance sampling (MIS) estimator that recursively estimates the state marginal distribution for the target policy at every step. MIS achieves a mean-squared error of ... The result matches the Cramer-Rao lower bound in Jiang and Li [2016] up to a multiplicative factor of H. To the best of our knowledge, this is the first OPE estimation error bound with a polynomial dependence on H. Besides theory, we show empirical superiority of our method in time-varying, partially observable, and long-horizon RL environments.