Deep Jump Q-Evaluation for Offline Policy Evaluation in Continuous Action Space
Authors: Hengrui Cai, Chengchun Shi, Rui Song, Wenbin Lu
Keywords: Continuous action space, Deep learning, Multi-scale change point detection, Off-policy evaluation
Abstract: We consider off-policy evaluation (OPE) in continuous action domains, such as dynamic pricing and personalized dose finding. In OPE, one aims to learn the value under a new policy using historical data generated by a different behavior policy. Most existing works on OPE focus on discrete action domains. To handle continuous action space, we develop a brand-new deep jump Q-evaluation method for OPE. The key ingredient of our method lies in adaptively discretizing the action space using deep jump Q-learning. This allows us to apply existing OPE methods in discrete domains to handle continuous actions. Our method is further justified by theoretical results, synthetic and real datasets.