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A comparative study of counterfactual estimators

Abstract · Apr 3, 2017 19:16 ·

stat-ml cs-lg

Arxiv Abstract

  • Thomas Nedelec
  • Nicolas Le Roux
  • Vianney Perchet

We provide a comparative study of several widely used off-policy estimators (Empirical Average, Basic Importance Sampling and Normalized Importance Sampling), detailing the different regimes where they are individually suboptimal. We then exhibit properties optimal estimators should possess. In the case where examples have been gathered using multiple policies, we show that fused estimators dominate basic ones but can still be improved.

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