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Off-Policy Risk Assessment in Contextual Bandits

NeurIPS 2021 · Bandits and online learning › Contextual bandits and Thompson sampling · approach: Causal and structured bandits · 11 citations (OpenAlex)

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Measured effects reported in the paper

What was changedWhereMeasuredEffect
Use the doubly robust CDF estimator instead of IS or WISOPRA CDF estimation · PageBlockssup-norm CDF errorHelped
Use the doubly robust CDF estimator instead of IS or WIS at small sample sizesOPRA CDF estimation · OptDigitssup-norm CDF errorHurt
Use the doubly robust CDF estimator instead of IS or WIS as the model improves with more dataOPRA CDF estimation · OptDigitssup-norm CDF errorHelped
Use the doubly robust estimator instead of IS or WISOPRA risk estimation · OptDigitsmean, CVaR, and variance estimation errorMixed
Use the direct method instead of IS or DROPRA CDF estimation · PageBlockssup-norm CDF errorMixed
Use the direct method instead of IS, WIS, or DROPRA risk estimation · OptDigitsrisk estimate errorHurt
Estimate one CDF and reuse it to evaluate multiple Lipschitz risk functionalsOPRA · Contextual bandit off-policy evaluationrisk-estimation error rate: O(1/√n)Helped

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