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A comparative study of counterfactual estimators

Abstract

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.

Dates and versions

hal-03089513 , version 1 (28-12-2020)

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Thomas Nedelec, Nicolas Le Roux, Vianney Perchet. A comparative study of counterfactual estimators. NeurIPS Workshop: What if, what next., Dec 2017, Long Beach, United States. ⟨hal-03089513⟩
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