Efficiently Breaking the Curse of Horizon: Double Reinforcement Learning in Infinite-Horizon Processes

09/12/2019 ∙ by Nathan Kallus, et al. ∙ 0

Off-policy evaluation (OPE) in reinforcement learning is notoriously difficult in long- and infinite-horizon settings due to diminishing overlap between behavior and target policies. In this paper, we study the role of Markovian, time-invariant, and ergodic structure in efficient OPE. We first derive the efficiency limits for OPE when one assumes each of these structures. This precisely characterizes the curse of horizon: in time-variant processes, OPE is only feasible in the near-on-policy setting, where behavior and target policies are sufficiently similar. But, in ergodic time-invariant Markov decision processes, our bounds show that truly-off-policy evaluation is feasible, even with only just one dependent trajectory, and provide the limits of how well we could hope to do. We develop a new estimator based on Double Reinforcement Learning (DRL) that leverages this structure for OPE. Our DRL estimator simultaneously uses estimated stationary density ratios and q-functions and remains efficient when both are estimated at slow, nonparametric rates and remains consistent when either is estimated consistently. We investigate these properties and the performance benefits of leveraging the problem structure for more efficient OPE.

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