This paper proposes a novel approach for constructing effective personalized policies when the observed data lacks counter-factual information, is biased and possesses many features. The approach is applicable in a wide variety of settings from healthcare to advertising to education to finance. These settings have in common that the decision maker can observe, for each previous instance, an array of features of the instance, the action taken in that instance, and the reward realized—but not the rewards of actions that were not taken: the counterfactual information. Learning in such settings is made even more difficult because the observed data is typically biased by the existing policy (that generated the data) and because the array of features that might affect the reward in a particular instance—and hence should be taken into account in deciding on an action in each particular instance—is often vast. The approach presented here estimates propensity scores for the observed data, infers counterfactuals, identifies a (relatively small) number of features that are (most) relevant for each possible action and instance, and prescribes a policy to be followed. Comparison of the proposed algorithm against state-of-art algorithms on actual datasets demonstrates that the proposed algorithm achieves a significant improvement in performance.
The literature on counterfactual inference can be categorized into three groups: direct, inverse propensity re-weighting and doubly robust methods. The direct methods compute counterfactuals by learning a function mapping from feature-action pair to rewards @cite_22 @cite_30 . The inverse propensity re-weighting methods compute unbiased estimates by weighting the instances by their inverse propensity scores @cite_4 @cite_19 . The doubly robust methods compute the counterfactuals by combining direct and inverse propensity score reweighing methods to compute more robust estimates @cite_0 @cite_1 . With respect to this categorization, our techniques might be view as falling into doubly robust methods.
@cite_30 @cite_4 @cite_22 @cite_1 @cite_0 @cite_19
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We develop a learning principle and an efficient algorithm for batch learning from logged bandit feedback. This learning setting is ubiquitous in online systems (e.g., ad placement, web search, recommendation), where an algorithm makes a prediction (e.g., ad ranking) for a given input (e.g., query) and observes bandit feedback (e.g., user clicks on presented ads). We first address the counterfactual nature of the learning problem (, 2013) through propensity scoring. Next, we prove generalization error bounds that account for the variance of the propensity-weighted empirical risk estimator. In analogy to the Structural Risk Minimization principle of Wapnik and Tscherwonenkis (1979), these constructive bounds give rise to the Counterfactual Risk Minimization (CRM) principle. We show how CRM can be used to derive a new learning method--called Policy Optimizer for Exponential Models (POEM)--for learning stochastic linear rules for structured output prediction. We present a decomposition of the POEM objective that enables efficient stochastic gradient optimization. The effectiveness and efficiency of POEM is evaluated on several simulated multi-label classification problems, as well as on a real-world information retrieval problem. The empirical results show that the CRM objective implemented in POEM provides improved robustness and generalization performance compared to the state-of-the-art. A logistic regression model for application in retrospective studies is described and a study of the association of postmenopausal estrogen therapy with the incidence of endometrial cancer is given as an illustration. The method accounts for factors that may confound the association between a dichotomous exposure variable and a disease and allows for a quantitative study of the influence of factors which are related to the strength of the association. We study the problem of off-policy value evaluation in reinforcement learning (RL), where one aims to estimate the value of a new policy based on data collected by a different policy. This problem is often a critical step when applying RL in real-world problems. Despite its importance, existing general methods either have uncontrolled bias or suffer high variance. In this work, we extend the doubly robust estimator for bandits to sequential decision-making problems, which gets the best of both worlds: it is guaranteed to be unbiased and can have a much lower variance than the popular importance sampling estimators. We demonstrate the estimator's accuracy in several benchmark problems, and illustrate its use as a subroutine in safe policy improvement. We also provide theoretical results on the hardness of the problem, and show that our estimator can match the lower bound in certain scenarios. We study decision making in environments where the reward is only partially observed, but can be modeled as a function of an action and an observed context. This setting, known as contextual bandits, encompasses a wide variety of applications including health-care policy and Internet advertising. A central task is evaluation of a new policy given historic data consisting of contexts, actions and received rewards. The key challenge is that the past data typically does not faithfully represent proportions of actions taken by a new policy. Previous approaches rely either on models of rewards or models of the past policy. The former are plagued by a large bias whereas the latter have a large variance. In this work, we leverage the strength and overcome the weaknesses of the two approaches by applying the doubly robust technique to the problems of policy evaluation and optimization. We prove that this approach yields accurate value estimates when we have either a good (but not necessarily consistent) model of rewards or a good (but not necessarily consistent) model of past policy. Extensive empirical comparison demonstrates that the doubly robust approach uniformly improves over existing techniques, achieving both lower variance in value estimation and better policies. As such, we expect the doubly robust approach to become common practice. Online metrics measured through A B tests have become the gold standard for many evaluation questions. But can we get the same results as A B tests without actually fielding a new system? And can we train systems to optimize online metrics without subjecting users to an online learning algorithm? This tutorial summarizes and unifies the emerging body of methods on counterfactual evaluation and learning. These counterfactual techniques provide a well-founded way to evaluate and optimize online metrics by exploiting logs of past user interactions. In particular, the tutorial unifies the causal inference, information retrieval, and machine learning view of this problem, providing the basis for future research in this emerging area of great potential impact. Supplementary material and resources are available online at http: www.cs.cornell.edu adith CfactSIGIR2016.