README.md

Example Experiment with Synthetic Bandit Data

Description

We use synthetic bandit datasets to evaluate OPE estimators. Specifically, we evaluate the estimation performance of well-known estimators using the ground-truth policy value of an evaluation policy calculable with synthetic data.

Evaluating Off-Policy Estimators

In the following, we evaluate the estimation performance of

• Direct Method (DM)
• Inverse Probability Weighting (IPW)
• Self-Normalized Inverse Probability Weighting (SNIPW)
• Doubly Robust (DR)
• Self-Normalized Doubly Robust (SNDR)
• Switch Doubly Robust (Switch-DR)
• Doubly Robust with Optimistic Shrinkage (DRos)

For Switch-DR and DRos, we tune the built-in hyperparameters using SLOPE, a data-driven hyperparameter tuning method for OPE estimators. See our documentation for the details about these estimators.

Files

• ./evaluate_off_policy_estimators.py implements the evaluation of OPE estimators using synthetic bandit data.
• ./conf/hyperparams.yaml defines hyperparameters of some ML methods used to define regression model and IPWLearner.

Scripts

# run evaluation of OPE estimators with synthetic bandit data
python evaluate_off_policy_estimators.py\
    --n_runs $n_runs\
    --n_rounds $n_rounds\
    --n_actions $n_actions\
    --dim_context $dim_context\
    --beta $beta\
    --base_model_for_evaluation_policy $base_model_for_evaluation_policy\
    --base_model_for_reg_model $base_model_for_reg_model\
    --n_jobs $n_jobs\
    --random_state $random_state

• $n_runs specifies the number of simulation runs in the experiment to estimate standard deviations of the performance of OPE estimators.
• $n_rounds and $n_actions specify the sample size and the number of actions of the synthetic bandit data, respectively.
• $dim_context specifies the dimension of context vectors.
• $beta specifies the inverse temperature parameter to control the behavior policy.
• $base_model_for_evaluation_policy specifies the base ML model for defining evaluation policy and should be one of "logistic_regression", "random_forest", or "lightgbm".
• $base_model_for_reg_model specifies the base ML model for defining regression model and should be one of "logistic_regression", "random_forest", or "lightgbm".
• $n_jobs is the maximum number of concurrently running jobs.

For example, the following command compares the estimation performance (relative estimation error; relative-ee) of the OPE estimators using synthetic bandit data with 10,000 samples, 30 actions, five dimensional context vectors.

python evaluate_off_policy_estimators.py\
    --n_runs 20\
    --n_rounds 10000\
    --n_actions 30\
    --dim_context 5\
    --beta -3\
    --base_model_for_evaluation_policy logistic_regression\
    --base_model_for_reg_model logistic_regression\
    --n_jobs -1\
    --random_state 12345

# relative-ee of OPE estimators and their standard deviations (lower means accurate).
# =============================================
# random_state=12345
# ---------------------------------------------
#                mean       std
# dm         0.074390  0.024525
# ipw        0.009481  0.006899
# snipw      0.006665  0.004541
# dr         0.006175  0.004245
# sndr       0.006118  0.003997
# switch-dr  0.006175  0.004245
# dr-os      0.021951  0.013337
# =============================================

The above result can change with different situations. You can try the evaluation of OPE with other experimental settings easily.

References

• Yi Su, Pavithra Srinath, Akshay Krishnamurthy. Adaptive Estimator Selection for Off-Policy Evaluation, ICML2020.
• Yi Su, Maria Dimakopoulou, Akshay Krishnamurthy, Miroslav Dudík. Doubly Robust Off-policy Evaluation with Shrinkage, ICML2020.
• George Tucker and Jonathan Lee. Improved Estimator Selection for Off-Policy Evaluation, Workshop on Reinforcement Learning Theory at ICML2021.
• Yu-Xiang Wang, Alekh Agarwal, Miroslav Dudik. Optimal and Adaptive Off-policy Evaluation in Contextual Bandits, ICML2017.
• Miroslav Dudik, John Langford, Lihong Li. Doubly Robust Policy Evaluation and Learning. ICML2011.
• Yuta Saito, Shunsuke Aihara, Megumi Matsutani, Yusuke Narita. Open Bandit Dataset and Pipeline: Towards Realistic and Reproducible Off-Policy Evaluation. NeurIPS2021 Track on Datasets and Benchmarks.