用深度分位数回归,全面评估策略收益分布。
Distributional Off-Policy Evaluation with Deep Quantile Process Regression

- 基于深度分位数过程回归,估计收益的完整分布。
- 相同样本量下,精度显著优于传统方法。
- 适合关注策略风险与分布特性的研究者。
本文从分布视角研究离线策略评估(OPE)问题,不局限于总回报的期望值,而是旨在估计完整的回报分布。为此,我们提出一种基于分位数的OPE方法,引入深度分位数过程回归技术,构建了新型算法DQPOPE(Deep Quantile Process regression-based Off-Policy Evaluation)。我们对深度分位数过程回归提供了新的理论分析,将现有离散分位数估计扩展至连续分位数函数估计。核心贡献在于首次为基于深度神经网络的分布式OPE提供了严格的样本复杂度分析,实现了理论与算法的紧密结合。实验表明,DQPOPE在相同样本规模下,相比传统方法能更精确、更稳健地估计策略价值,显著提升了分布强化学习的实际可用性与有效性。
原文摘要 · Abstract (English)
This paper investigates the off-policy evaluation (OPE) problem from a distributional perspective. Rather than focusing solely on the expectation of the total return, as in most existing OPE methods, we aim to estimate the entire return distribution. To this end, we introduce a quantile-based approach for OPE using deep quantile process regression, presenting a novel algorithm called Deep Quantile Process regression-based Off-Policy Evaluation (DQPOPE). We provide new theoretical insights into the deep quantile process regression technique, extending existing approaches that estimate discrete quantiles to estimate a continuous quantile function. A key contribution of our work is the rigorous sample complexity analysis for distributional OPE with deep neural networks, bridging theoretical analysis with practical algorithmic implementations. We show that DQPOPE achieves statistical advantages by estimating the full return distribution using the same sample size required to estimate a single policy value using conventional methods. Empirical studies further show that DQPOPE provides significantly more precise and robust policy value estimates than standard methods, thereby enhancing the practical applicability and effectiveness of distributional reinforcement learning approaches.
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