A Fine-grained Analysis of Fitted Q-evaluation: Beyond Parametric Models
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| Format: | Preprint |
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2024
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| _version_ | 1866914835030081536 |
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| author | Wang, Jiayi Qi, Zhengling Wong, Raymond K. W. |
| author_facet | Wang, Jiayi Qi, Zhengling Wong, Raymond K. W. |
| contents | In this paper, we delve into the statistical analysis of the fitted Q-evaluation (FQE) method, which focuses on estimating the value of a target policy using offline data generated by some behavior policy. We provide a comprehensive theoretical understanding of FQE estimators under both parameteric and nonparametric models on the $Q$-function. Specifically, we address three key questions related to FQE that remain largely unexplored in the current literature: (1) Is the optimal convergence rate for estimating the policy value regarding the sample size $n$ ($n^{-1/2}$) achievable for FQE under a non-parametric model with a fixed horizon ($T$)? (2) How does the error bound depend on the horizon $T$? (3) What is the role of the probability ratio function in improving the convergence of FQE estimators? Specifically, we show that under the completeness assumption of $Q$-functions, which is mild in the non-parametric setting, the estimation errors for policy value using both parametric and non-parametric FQE estimators can achieve an optimal rate in terms of $n$. The corresponding error bounds in terms of both $n$ and $T$ are also established. With an additional realizability assumption on ratio functions, the rate of estimation errors can be improved from $T^{1.5}/\sqrt{n}$ to $T/\sqrt{n}$, which matches the sharpest known bound in the current literature under the tabular setting. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2406_10438 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | A Fine-grained Analysis of Fitted Q-evaluation: Beyond Parametric Models Wang, Jiayi Qi, Zhengling Wong, Raymond K. W. Statistics Theory In this paper, we delve into the statistical analysis of the fitted Q-evaluation (FQE) method, which focuses on estimating the value of a target policy using offline data generated by some behavior policy. We provide a comprehensive theoretical understanding of FQE estimators under both parameteric and nonparametric models on the $Q$-function. Specifically, we address three key questions related to FQE that remain largely unexplored in the current literature: (1) Is the optimal convergence rate for estimating the policy value regarding the sample size $n$ ($n^{-1/2}$) achievable for FQE under a non-parametric model with a fixed horizon ($T$)? (2) How does the error bound depend on the horizon $T$? (3) What is the role of the probability ratio function in improving the convergence of FQE estimators? Specifically, we show that under the completeness assumption of $Q$-functions, which is mild in the non-parametric setting, the estimation errors for policy value using both parametric and non-parametric FQE estimators can achieve an optimal rate in terms of $n$. The corresponding error bounds in terms of both $n$ and $T$ are also established. With an additional realizability assumption on ratio functions, the rate of estimation errors can be improved from $T^{1.5}/\sqrt{n}$ to $T/\sqrt{n}$, which matches the sharpest known bound in the current literature under the tabular setting. |
| title | A Fine-grained Analysis of Fitted Q-evaluation: Beyond Parametric Models |
| topic | Statistics Theory |
| url | https://arxiv.org/abs/2406.10438 |