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Faster Rates for Policy Learning. (arXiv:1704.06431v1 [math.ST])
来源于:arXiv
This article improves the existing proven rates of regret decay in optimal
policy estimation. We give a margin-free result showing that the regret decay
for estimating a within-class optimal policy is second-order for empirical risk
minimizers over Donsker classes, with regret decaying at a faster rate than the
standard error of an efficient estimator of the value of an optimal policy. We
also give a result from the classification literature that shows that faster
regret decay is possible via plug-in estimation provided a margin condition
holds. Four examples are considered. In these examples, the regret is expressed
in terms of either the mean value or the median value; the number of possible
actions is either two or finitely many; and the sampling scheme is either
independent and identically distributed or sequential, where the latter
represents a contextual bandit sampling scheme. 查看全文>>