We study high-confidence behavior-agnostic off-policy evaluation in reinforcement learning, where the goal is to estimate a confidence interval on a target policy's value, given only access to a static experience dataset collected by unknown behavior policies. Starting from a function space embedding of the linear program formulation of the Q-function, we obtain an optimization problem with generalized estimating equation constraints. By applying the generalized empirical likelihood method to the resulting Lagrangian, we propose CoinDICE, a novel and efficient algorithm for computing confidence intervals. Theoretically, we prove the obtained confidence intervals are valid, in both asymptotic and finite-sample regimes. Empirically, we show in a variety of benchmarks that the confidence interval estimates are tighter and more accurate than existing methods.
@article{arxiv.2010.11652,
title = {CoinDICE: Off-Policy Confidence Interval Estimation},
author = {Bo Dai and Ofir Nachum and Yinlam Chow and Lihong Li and Csaba Szepesvári and Dale Schuurmans},
journal= {arXiv preprint arXiv:2010.11652},
year = {2020}
}