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Semi-Parametric Efficient Policy Learning with Continuous Actions
Victor Chernozhukov · Mert Demirer · Greg Lewis · Vasilis Syrgkanis

Wed Dec 11 05:00 PM -- 07:00 PM (PST) @ East Exhibition Hall B + C #232

We consider off-policy evaluation and optimization with continuous action spaces. We focus on observational data where the data collection policy is unknown and needs to be estimated from data. We take a semi-parametric approach where the value function takes a known parametric form in the treatment, but we are agnostic on how it depends on the observed contexts. We propose a doubly robust off-policy estimate for this setting and show that off-policy optimization based on this doubly robust estimate is robust to estimation errors of the policy function or the regression model. We also show that the variance of our off-policy estimate achieves the semi-parametric efficiency bound. Our results also apply if the model does not satisfy our semi-parametric form but rather we measure regret in terms of the best projection of the true value function to this functional space. Our work extends prior approaches of policy optimization from observational data that only considered discrete actions. We provide an experimental evaluation of our method in a synthetic data example motivated by optimal personalized pricing.

Author Information

Victor Chernozhukov (MIT)
Mert Demirer (MIT)
Greg Lewis (Microsoft Research)
Vasilis Syrgkanis (Microsoft Research)

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