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Feature: Make Hyperparameter tuning method flexible #131

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Merged
merged 9 commits into from
Sep 6, 2021
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@usaito usaito commented Sep 3, 2021

new feature

  • The original implementation (Feature: Implementing Automatic Hyperparameter Tuning #116) follows the automatic hyperparameter tuning procedure proposed in Su et al.(2020).
  • I found that the original procedure favors the bias of the estimator, and thus tends to select a large value as a hyperparameter value.
  • This is because only the bias term is replaced by its bias upper bound. The variance term is estimated by the sample variance, not its upper bound.
  • Thus, I added an option not to use the bias upper bound in the hyperparameter tuning process. What we have to do is just to set use_bias_upper_bound=False when initializing the estimators with hyperparameter tuning. This alternative procedure works as follows:

texclip20210903192215

texclip20210903192430

where \hat{Bias} is the direct bias estimation. This will often lead to a better empirical performance.

reference
Yi Su, Maria Dimakopoulou, Akshay Krishnamurthy, and Miroslav Dudik.
"Doubly Robust Off-Policy Evaluation with Shrinkage.", 2020.

fix

  • changed the name of the hyperparameter of Switch-DR from tau to lambda. Now, the name of the hyperparameter is consistent across OPE estimators.

@usaito usaito changed the title Fix Hyperparameter tuning method Feture: Make Hyperparameter tuning method flexible Sep 3, 2021
@usaito usaito changed the title Feture: Make Hyperparameter tuning method flexible Feature: Make Hyperparameter tuning method flexible Sep 3, 2021
@usaito usaito merged commit 7b3f5c4 into master Sep 6, 2021
@usaito usaito deleted the fix-tuning branch September 6, 2021 00:19
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