Universal Off-Policy Evaluation

When faced with sequential decision-making problems, it is often useful to be able to predict what would happen if decisions were made using a new policy. Those predictions must often be based on data collected under some previously used decision-making rule. Many previous methods enable such off-policy (or counterfactual) estimation of the expected value of a performance measure called the return. In this paper, we take the first steps towards a 'universal off-policy estimator' (UnO)---one that provides off-policy estimates and high-confidence bounds for any parameter of the return distribution. We use UnO for estimating and simultaneously bounding the mean, variance, quantiles/median, inter-quantile range, CVaR, and the entire cumulative distribution of returns. Finally, we also discuss UnO's applicability in various settings, including fully observable, partially observable (i. e. , with unobserved confounders), Markovian, non-Markovian, stationary, smoothly non-stationary, and discrete distribution shifts.

Authors

• Yash Chandak
• Scott Niekum University of Massachusetts Amherst
• Bruno da Silva University of Massachusetts Amherst
• Erik Learned-Miller
• Emma Brunskill Stanford University
• Philip S. Thomas University of Massachusetts

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