Factored DRO: Factored Distributionally Robust Policies for Contextual Bandits
Anonymous Author(s)
AfﬁliationAddress email
Abstract
While there has been extensive work on learning from ofﬂine data for contextualmulti-armed bandit settings, existing methods typically assume there is no environment shift: that the learned policy will operate in the same environmental processas that of data collection.
However, this assumption may limit the use of thesemethods for many practical situations where there may be distribution shifts.
In thiswork we propose Factored Distributionally Robust Optimization (Factored-DRO),which is able to separately handle distribution shifts in the context distributionand shifts in the reward generating process.
Prior work that either ignores potential shifts in the context, or considers them jointly, can lead to performancethat is too conservative, especially under certain forms of reward feedback.
Our
Factored-DRO objective mitigates this by considering the shifts separately, and ourproposed estimators are consistent and converge asymptotically.
We also introducea practical algorithm and demonstrate promising empirical results in environmentsbased on real-world datasets, such as voting outcomes and scene classiﬁcation.
Introduction
In many real-world applications we often have access to historical data about past decisions andtheir associated outcomes.
This data can be leveraged for off-policy learning to optimize for adecision making rule, called a policy, that is more effective for the given application than thatused for data collection.
Off-policy learning from historical data for contextual multi-armed banditsettings has been well studied, due in part to the myriad potential applications from personalizedrecommendation
[Strehl et al., 2010] to optimizing medical treatment [Kim et al., 2011].
Priormethods often focus on the stationary setting, where the learned policy will be deployed in a settingwith the same underlying data generation process that produces the observed contexts, and rewardsupon intervention [Precup, 2000, Liu et al., 2018, Kallus and Uehara, 2020a,b, Liu et al., 2020].
However, in many settings, this assumption is not true and the distributions may shift.
As a motivating example, consider the problem of increasing political participation during electionsusing various interventions to encourage voting.
In the past, different strategies have been implemented, ranging from reminding people of their own voting history, to reminding them of the votinghistory of their neighborhood, etc.
[Gerber et al., 2008].
Leveraging this historical data, an importantquestion is: what strategy should be used during the next election to maximize political participation ?
Addressing this question requires careful consideration of two potential sources of distribution shift:
(a) How much has the population demographic in the area changed since the past data was collected?
(e
g. the percentage of single person households may have changed due to industrial developments).
and b) How much has the effectiveness of each strategy on each demographic group changed?
(e.g
as technology develops, the effectiveness of mail-based interventions may change).
Such challengesare ubiquitous in real-world problems.
For example, in automated healthcare, data from patientsof one locality may be used to develop treatments for other localities where the effectiveness of treatments may differ [Finlayson et al., 2021].
Similarly, online recommendation systems need toaccount for both the changing interests and the demographic shifts of its user base [Koh et al., 2021].
Developing a general procedure for addressing these challenges can provide a reliable solution forsuch applications with high stakes in terms of societal behavior, public health, and monetary assets.
Without considering potential shifts, there is a high risk of using suboptimal strategies, however itis often difﬁcult to predict exactly the shifts that will occur.
Distributionally robust optimizationformulations such as ours attempt to address this uncertainty over potential shifts by learning policiesthat attain good performance on all potential distributions within a user-deﬁned set of distributions
tobe considered (denoted the uncertainty set ).
Prior methods [Si et al., 2020, Mo et al., 2021, Kalluset al., 2022] that aim to provide robustness against distribution shifts do not separate the differentsources of shifts, and consider them in a joint formulation.
These methods may be disadvantageousas they lack the ﬂexibility to separate the sources.
Consequently, some of these methods mayproduce degenerate results under binary reward feedback, an issue theoretically proven to occur inthe DRO literature in supervised learning [Hu et al., 2018].
Due to this, methods that better usestructure to mitigate this issue have been an active area of research in the supervised learning DROliterature [Sagawa et al., 2019, Duchi et al., 2019].
We leverage this insight that better usage ofstructure is important, as well as the insight that it is common to have expert opinion about the amountof distribution shift that may occur between the two sources, to obtain better results.
In this work we address such challenges under the framework of contextual bandits.
We propose our
Factored Distributionally Robust Optimization (FDRO) algorithm that uses past data to search for apolicy that has the best worst-case performance, when the context (e.g., population demographic)or/and the reward model (e.g., inﬂuence of strategies on voting behavior) can be different from theones during data collection.
Towards this goal, we make three primary contributions: (I) A factored distributionally robust optimization formulation for contextual bandits that provides end-users the ﬂexibility to separately specify different amounts of potential shifts in the two main sources of uncertainty: the context distribution and the reward distribution.
Our factored formulation can overcome some failure cases of non-factored prior methods Si et al.
(II)
We establish theoretically that the proposed estimators provide asymptotically consistent evaluation of any policy’s worst-case performance under distribution shifts.
Additionally, the estimators provide asymptotic convergence to a policy with the best worst-case performance.
(III) Building on the theoretical insights, we develop a practical algorithm, FDRO, that uses approximations based on moment generating functions.
We show that FDRO provides promising empirical results on several domains based on real-world challenges
Related Works
Both off-policy learning for bandits and reinforcement learning, as well as distributionally robustoptimization (DRO) for supervised learning and stochastic optimization have rich histories of research.
To brieﬂy summarize, methods for off-policy evaluation/learning predominantly assume that thedeployment environment for the learned policy will be the same as the environment the historicaldata was collected in [Precup, 2000, Jiang and Li, 2016, Thomas and Brunskill, 2016a,b, Gelada and
Bellemare, 2019, Liu et al., 2018, Imani et al., 2018, Yang et al., 2020, Jiang and Huang, 2020, Kallusand Uehara, 2020a,b, Liu et al., 2020].
In contrast, DRO methods for tackling distributional shiftshave predominantly focused on settings like supervised learning and do not consider decision makingaspects present in (contextual) bandits [Bertsimas and Sim, 2004, Hu and Hong, 2013, Namkoongand Duchi, 2016, Shapiro, 2017, Duchi et al., 2016, Duchi and Namkoong, 2018, Hashimoto et al.
,2018, Duchi et al., 2019, Sagawa et al., 2019, Oren et al., 2019, Michel et al., 2022].
In addition to the prior work already previously mentioned in Section 1, there have been a few recentpapers investigating DRO for use in bandits and reinforcement learning.
Some works use DRO toaccount for the mismatch between the true distributions (of the context and rewards) and the observedempirical distributions [Swaminathan and Joachims, 2015a,b, Faury et al., 2020, Sakhi et al., 2020].
These methods account for the potential errors of ﬁnite-data estimation, and, under inﬁnite data, theyconverge to the best training distribution policy.
However we are concerned with the setting when thetest distribution may be different, and the best training-distribution policy may not be optimal.
There has also been other work that consider settings when different forms of information are availablea priori.
For example, knowledge about the distribution of covariates during evaluation [Kato et al.,
2020], bounds on the ratio of train-eval covariate distribution [Hatt et al., 2021, Giguere et al.
, 2021],bounds on train-eval performance differences [Chandak et al., 2021], causal directed acyclic graph[Subbaswamy et al., 2019, Singh et al., 2021], or when there is data through time that can be used tomodel potential non-stationarity
[Thomas et al., 2017, Chandak et al., 2020, Xie et al., 2020, Qin and
Russo, 2021].
While relevant, they look at complementary problems.
Preliminaries
In this work, we consider the batch setting where the goals is to learn from an existing dataset D .
Weconsider a setting with discrete actions, where A denotes the set of k discrete actions, A .
Let X ⇢ R ddenote the set of contexts, X .
A policy ⇡ denotes a mapping from a context X to a distributionover actions.
For a given context X and action A we observe a stochastic reward R .
We assume thedataset, D consists of n independently collected datapoints , each a (context, action, reward) triplet:
D =
{ X i , A i , R i } ni =1 .
For this dataset, we assume the actions are selected with some data collection 103 policy ⇡ 0 where A i ⇠ ⇡ 0 ( ·| X i ) .
We assume there is an underlying context distribution P x 0 , and for 104 each context-action pair there is an underlying reward distribution P r 0 | X,A .
We additionally assume 105 the observed contexts, X i are independent and identially distributed (i.i.d.) draws from P x 0 , and theobserved rewards are i.i.d.
draws from P r 0 |
X i ,A i .
We consider using D to learn a policy ⇡ that will achieve the highest worst-case-reward when thedeployment environment may be shifted from the one of data collection.
Given a ﬁxed policy, thereare two ways the environment can shift and change the distribution of future outcomes.
First thecontext distribution can shift so the inputs we see are different.
Second the reward generation modelcan shift, changing the reward distribution of each (context, action) pair.
We assume the exact shift isnot known, so we would like to learn a policy that would do well on all environments within a userspeciﬁed set of distributions of the context distribution P x and reward distributions P R | X,A .
Formally,given D we aim to ﬁnd the policy that optimizes the following distributionally robust objective:
[Equation]
In (1), the uncertainty sets P r 0 | X,A and P x 0 describes the set of possible distributions P r and P x , andthe optimization set P r 0 | X,A is conditioned on random variables X ⇠ P x and A ⇠ ⇡ ( ·| X ) .
We term 117 our objective Factored-DRO as we have two layers of distributionally robust optimization, ﬁrst overreward shifts P R | X,A , and another over context shifts P x .
For theoretical analysis, we make the following assumptions common in prior literature [Si et al.
,2020, Swaminathan and Joachims, 2015a, Kallus and Uehara, 2020a].
Assumption 1.
Assumptions on ⇡ 0 and the reward distribution
(i)
Unconfounded: Rewards are independent with A conditioned on X: ( R X,A 1 , R X,A 2 ... ) ??
A | X
(ii) Bounded reward support: 0  R  R M for all rewards for a ﬁnite R M
(iii) Coverage/Sufﬁcient exploration: ⇡
( A | X )  ✏ ⇡ for all ( X, A ) 2 X ⇥
A for some ✏ ⇡ >
(iv) Positive density of rewards: Let f 0 ,R | X,A be the pdf (continuous case) or p R | X,A be the pmf
(discrete case) of the reward distribution P R | X,A .
Then assume f 0 ,R | X,A  ✏ r (continous) or
127 p
R | X,A  ✏ r (discrete) on the support of of R for
all ( X, A ) 2 X ⇥
A for some ✏ r > 0 .
We make an additional assumption, which we do not require in our practical algorithm:
Assumption 2.
Discrete contexts with sufﬁcient mass: The context set
X is a ﬁnite discrete set andthe probability mass of each context is lower bounded with P x 0 ( x = X )  ✏ X for some ✏ X >
Note about model misspeciﬁcation: Context shifts are an issue when we have model misspeciﬁcation and cannot model the best action for each context.
In these cases, the learned model encodesthe biases of the population distribution.
Model misspeciﬁcation can occur when the model isunder-speciﬁed, for example, to reduce variance (bias-variance tradeoff), for interpretability, or dueto unobserved variables.
Misspeciﬁcation also occurs when the model is over-speciﬁed, where itmay overﬁt and not generalize (ex. neural networks [Sagawa et al., 2019]).
The real world is oftencomplex and difﬁcult to model correctly, so throughout this work we assume the misspeciﬁed setting.
Prior Work with Joint Shifts: Recently Si et al.
[2020] proposed an algorithm for solving a
DRO formulation for contextual bandits that does not separate the context and reward shift.
Theyconsider the optimization problem: ⇡ ⇤ = argmax ⇡ inf P 2 P P 0 E P [ R ] , where P encapsulates the jointdistribution of contexts and rewards and P P
= { P : D kl ( P || P 0 )
  } .
Degenerate Outcomes with binary rewards under the joint objective: Unfortunately, the jointformulation may have a key limitation in the common setting of binary reward outcomes (ex, clickedor not-clicked[Chu et al., 2011], voted or did-not-votedGerber et al.
[2008], etc).
In supervisedlearning (SL), similar DRO formulations have been theoretically proven to fail with certain lossfunctions.
Hu et al.
[2018] prove that when features are continous, and 0-1 classiﬁcation loss is used,the DRO objective is equivalent to the standard, non-robust optimization of the loss function on thetraining distribution.
Intuitively, DRO can be seen as changing the weights of the datapoints basedon the incurred loss, and increasing the radius parameters increases the weights on datapoints withlarger incurred losses.
However, under 0-1 loss, DRO upweights all missclassiﬁed examples equally,which does not change the decision boundary.
Consequently, in SL, methods that can mitigate thisissue by using structure, such as Duchi et al.
[2019] or Sagawa et al.
[2019], have been proposed.
The same issue holds in the binary reward case for the joint formulation and we observe this issueempirically (see Section 6).
1 Intuitively, the lower reward points for each context action pair are allupweighted equally so the learned policy is equivalent to that optimized for the training distribution.
Our method which trades-off needing to set an additional hyperparameter with better structure usageto separate out the shifts mitigates this issue.
Factored DRO for Policy Evaluation and Learning
In our work, we consider uncertainty sets deﬁned on the KL radius from the data collectiondistributions.
Due to the joint decomposition, we require the user to specify two KL-radiushyperparameters,  c and  x , for rewards and contexts respectively as opposed to a single hyperparameter required in prior work.
The uncertainty sets deﬁned in Equation 1 are deﬁned as
P r 0 | X,A
= { P r : D kl ( P r , P r 0 |
X
,A ) <
c } and P x 0 =
{ P x : D kl ( P x , P x 0 ) <
x } .
We can decompose our DRO objective from Equation 1 into two steps, ﬁrst a policy evaluation stepwhich given a policy evaluates the worst case reward policy reward.
Notice the policy evaluation stepitself can be separated into two steps: a step considering the potential reward generation shift ( Q X,A )and a step over potential context shift to arrive at the desired value ( V ( ⇡ ) ):
[Equation]
where Q X,
A
[Equation]
Second, we have a policy optimization step over the worst case policy rewards:
[Equation]
In this section, we present our estimators for policy evaluation and learning and asymptotic convergence guarantees.
We give all result from prior work used and all full proofs in the appendix.4.1 Policy Evaluation: We start by discussing the policy evaluation step.
Equation 2 as written is adifﬁcult constrained optimization over probability distribution space.
Fortunately, there exists priorwork (such as Hu and Hong [2013]) that uses methods from convex optimization to transform theproblem to an equivalent but simpler convex optimization over a single scalar.
They use convexityof the original objective and strong duality to derive an equivalent dual objective.
We arrive at thefollowing equivalent problem by applying this duality procedure twice, once for each layer.
Theorem 1 (Strong Duality) .
The optimization problem in equation 2 is equivalent to solving:
[Equation]
Proof Sketch This follows from applying Theorem 1 of Hu and Hong [2013] twice.
We will use this easier to optimize dual form to derive estimators for policy evaluation.
We willﬁrst consider the potential shift of the reward distribution of each (context, action) pair and calculateestimates of Q X,A of Equation 5.
We will then use these values to perform the second DRO layerover context shifts to estimate V ( ⇡ ) (Equation 4).4.1.1 First DRO, Reward Shift:
For theoretical analysis, we consider the setting when the contextand action sets are both ﬁnite and discrete (Assumptions 1.2 and 2).
Therefore we have a ﬁnitenumber of unique ( X, A ) pairs, each which occurs with a non-zero probability.
For a given ( X, A )pair, let R X,A correspond to the set of the observed reward R i every time ( X, A ) is observed in D :
R X,A
= { R i : ( X i , A
i , R i ) 2 D
if X i
=
X,
A i = A } .
Additionally, let m xa =
p 0 ( x, a ) n denote 188 the expected number of datapoints in each ( X, A ) bin and recall that  c denotes the user speciﬁed KL-radius of the ambiguity set.
For every unique ( X, A ) we propose the following estimator forworst case context-action reward for Q X,A in equation 5:
[Equation]
Note that the objective inside the minimization in equation 6 is convex in ↵ c for ↵ c > 0 , thereforemany optimization methods (ex. gradient descent, bisection search) are able to achieve the globaloptimum when ↵ c 6 = 0 .
We give the gradients and a proof of convexity in the appendix.
Additionally,note the ˆ Q X,
A ’s only depend on D and do not depend on ⇡ , therefore they only need to be computedonce and can be used throughout the rest of the policy evaluation and optimization procedure.4.1.2 Second DRO, Context Shift:
With the ˆ Q X,A values estimated above for each ( X, A ) pair wecan complete the policy evaluation.
Let  x denote the user-speciﬁed KL-radius for context distributionshift, then with the computed ˆ Q X,A for each ( X, A ) pair, we can complete the policy evaluationestimation and estimate V ( ⇡ ) from equation 2.
[Equation]
We can show that when  c > 0 and ↵ ⇤ c > 0 policy evaluation converges at rate O ( p log( n ) /n ) :
Theorem 2 (Convergence of policy evaluation) .
With probability of at least 1   and for n ( p 0 ( x,a )) 2 2log( |X|A| /  ) , for any ⇡ :
[Equation]
c =
[Equation]
and p 0 ( x, a ) = min ( x,a ) p 0 ( x, a ) , and ↵ c is the minimum value for ↵ c (see appendix).
Note that the objective inside the minimization in equation 7 is also convex and easy to optimize for↵ x > 0 .4.
Policy Learning: We now consider the optimization over policy of equation 3.
Deﬁne theoptimal value as ⇡ ⇤ = argmax ⇡ V ( ⇡ ) , with optimal robust value V ⇤
= V ( ⇡ ⇤ ) .
We deﬁne theempirical optimal as well as ˆ ⇡
⇤ = argmax ⇡
ˆ V ( ⇡ ) with ˆ V ⇤ =
V (ˆ ⇡ ⇤ ) .
We additionally deﬁne theset of ✏ -optimal policies ⇧ ⇤ ✏ = { ⇡ : V ( ⇡ )  V ⇤  ✏ } .
We then have the following statement of the 210 convergence of optimal policy and value:
Theorem 3 (Convergence of Policy Learning) .
With probability of at least 1   and n ( p 0 ( x,a )) 2 2log( |X|A| /  ) :
[Equation]
Equivalently this says
[Equation]
While this policy optimization is generally non-convex, for many policy classes we can use gradientascent with multiple restarts.
To perform policy optimization, we perform alternating steps of theevaluation step in Section 4.1.2 and this policy optimization.
Practical Algorithm with Function Approximation
Our estimator for solving for the worst case reward shift value, ˆ Q X,A for each context actionpair in our ﬁrst DRO step (section 4) relies on having a sufﬁcient number of datapoints per each( X, A ) to approximate E R ⇠ P R | X,A [exp(  R/ ↵ c )]
= 1 /m xa
P j exp(  R j / ↵ c ) .
However, in manysettings contexts may not be discrete, and, in these cases, each continuous context may only beobserved once.
One approach can be to discretize the context space, however selecting the correctdiscretization is challenging.
Too coarse a discretization introduces looseness and leads to overlyconservative results, but too ﬁne a discretization may not leave enough items in each bin to accuratelyestimate E R ⇠ P R | X,A [exp(
R/ ↵ c )] .
To handle continuous and/or large contexts spaces, instead of 226 binning we use function approximation that may not have the same convergence guarantees but aswe show in Section 6 it can be quite accurate and lead to better results than the baseline methods.
We develop an empirically stable method for estimating E R ⇠ P R | X,A [exp(  R/ ↵ c )] using a Taylor 229 series approximation.
The key feature of our method is that it does not require ﬁtting the exponentialdependence on R and 1 / ↵ c .
In the appendix, we discuss other methods attempted, such as predicting
E R ⇠ P R | X,A [exp(  R/ ↵ c )] directly, which resulted in unstable predictions due to the exponential.
Approximating [Equation] (  R/ ↵
[Equation]
We can use the Taylor series expansion,
P 1 i =
[Equation]
[Equation] i [Equation]
E [(  R ) i ] , to estimate an order m approximation.
We do this by ﬁtting a multi-outputfunction approximator, F to approximate the ﬁrst m moments.
We train F such that the j th outputpredicts (  R i ) j from ( X i , A i ) .
When trained on all the data, F [ j ] should model the j th moment
E P R | Xi,A
[(  R ) j ] .
Let D X represent the sequence of contexts in the dataset, then for every context
X i 2 D X and every a 2 A and any ↵ c , we use our approximators F j to estimate the desired value:
[Equation]
This approximation achieves better regularity as we are no longer ﬁtting the dependence on ↵ c .
Practically, we ﬁnd order m = 5 can often be quite accurate.
Additionally, note that while the contextis high dimenstional, the Taylor expansion is only for the scalar ↵ c .
Complete Algorithm:
With our estimator ˆ E P R | Xi,A [exp(  R/ ↵ c )] we proceed with our method byﬁrst calculating n ⇥ k values of ˆ Q X i ,a for each context in the dataset and each action in the action set.
To do this, we iterate through ( X i , a ) 2 ( D X ⇥ A ) and solve the following convex problem in ↵ c :
[Equation]
We then carry out the procedure detailed in Section 4 onwards with these ˆ Q X i ,a .
Algorithm 1 in
Appendix provides our full algorithm for policy evaluation and optimization, that considers both thediscrete binned case (Section 4) and the function approximation case just discussed.
Experiments
We test and analyze our algorithm empirically in three settings, including two derived from real data.
For all experiments, we use the practical algorithm discussed in Section 5.
While our method worksfor any policy that can be optimized, we consider learning the parameters ✓ of a stochastic softmaxlinear contextual bandit policy of the form:
[Equation]
where  ( X, A [Equation] =
[ X, OneHot ( A )] (13)
Simulated
Voting
Scene
[Table]
Note for voting, we do not have coarse as we use a shift between cities.
We use random projection to project the feature space of Scene to avoid ill- behavior
This policy ⇡ ✓ is differentiable so we optimize ✓ using gradient descent.
For the function approximators F discussed in section 5, we use exponential-kernel linear regression models.
We compare against three baselines: (i) baseline-IS : The standard non-robust method for maximizingthe reward calculated using importance sampling policy evaluation on the training data and doesnot consider the shift, (ii) baseline-POEM
[Swaminathan and Joachims, 2015a]
POEM improvesthe baseline-IS method by adding variance regularization to account for ﬁnite sample error, and (iii)baseline-DRO [Si et al., 2020] as mentioned throughout the text, considers the shift over the joint(context, reward) distribution as opposed to separating them.
6.1 Evaluation Domains
We ﬁrst provide a brief overview of our evaluation settings and provide full descriptions in theappendix.
In one setting, the voting dataset setting, we consider the case when data from one cityis used to train a policy deployed in some of the other cities.
In the two other settings, to constructexample shifts we cluster the datapoints by one of the context covariates into what we denote as
Coarse Groups (cg).
We then consider settings where the training distribution may consist of adifferent composition of cgs than the deployment/testing distribution.
For each environment we givedetails in Table 1, such as the average reward on the training set of each (cg, action) pair.
Simulated Setting:
Our simulated setting has 4 cgs.
To mimic potential misspeciﬁcation that mayoccur when using real data, unknown to the designer, cg 1 and 3 ( cg 1 , 3 ) are identical, as are cgs 2 and4 ( cg 2 , 4 ).
Each context is composed of the cg and 4 other values sampled from uniform distributions.
For each of the 4 actions and cg, each (cg, action) pair has a set of true reward parameters  ⇤ .
Thelinear combination of  ⇤ and the contexts determine the Bernoulli parameter of the observed reward.
Scene Setting: We additionally test in a setting derived from the multiclass-supervised learning
Scene classiﬁcation dataset from the LibSVM [Chang and Lin, 2011] repository.
We use a slightlymodiﬁed version of the supervised to bandit conversion method from prior literature [Swaminathanand Joachims, 2015a, Agarwal et al., 2014].
In this method we assume we do not observe the correctlabel directly.
Instead each label is an action and selecting the correct action/label gives positivereward, while the wrong action/label gives negative reward.
We use the true label to create cgs andconsider the case where we do not have access to the coarse group at test time so it cannot be used inlearning the policy.
This illustrates a more challenging and realistic case where there is shift in theunobserved context features.
To create a context distribution shift between train and test, we sampleddifferent proportions of datapoints from each group to put in the train distribution.
Voting Setting:
The voting dataset by Gerber et al.
[2008] contains data collected from a randomizedcontrolled trial-style study testing various actions (1 control and 4 treatments) to increase voter turnout.
We consider a potential real shift in the dataset by using data from one city to train a policy deployedin some of the other cities.
To illustrate the worst case that could happen, we chose the training cityand the deployment cities such that there is a large context differences between the cities (details inappendix).
We consider the recorded binary voting outcome as our reward.
Because the non-controlactions require additional effort of printing and mailing a letter compared to the control (do nothing),we slightly lower the non-control action rewards by 0.09 to simulate this effort cost.
6.2 Results and Discussion
We use the training dataset to optimize the policies and evaluate on the test dataset.
For the votingdataset we use importance sampling to evaluate the policies.
For Simulated and Scene, we have thetrue rewards for all action and use them for evaluation.
All the robust algorithms have robustnessparameters.
FDRO has two, the reward distribution uncertainty set radius,  c , the context distributionradius,  x .
We expect many of our settings predominantly have context shifts.
We leverage thisinformation to set our FDRO parameter for reward shift to  c = 0 .
In Figure 1f and the appendixwe give performance at different values of  c and show performance is similar for a range of values.
We show our main results in the top row of Figure 1 where we consider the effect of  x .
Baseline-DROhas a single parameter for the KL-radius over the joint context-reward distribution ambiguity set, .
Baseline-POEM also has a single parameter, the variance regularization strength,  .
Faury et
al.[
] prove that POEM can be equivalently viewed from a DRO formulation.
So for comparisonwhen reporting the results, we ﬁrst translate  to the corresponding DRO-radius  = n  2 .
Wedemonstrate in all three settings, FDRO is able to outperform all the baselines.
In Figure 1a, we consider the case of testing an algorithm ﬁt with a ﬁxed  x in different populations.
We plot the performance gain of each algorithm over baseline-IS as the test population is increasinglydifferent.
We made this environment especially challenging for FDRO by ﬁxing  x for FDRO whilesolving for the best  for each different test population for baseline-DRO and baseline-POEM.
Wesee that as expected when the test context distribution is nearly identical to the training contextdistribution, the robust policy learned by FDRO does not perform as well (negative reward difference).
However as the test distribution differs, we see FDRO starts performing much better than the nonrobust policy.
Also as predicted, setting with binary rewards, empirically, the joint formulation ofbaseline-DRO suffers from the same issues of degeneration to learning the optimal train-distributionpolicy in the supervised DRO literature [Hu et al., 2018].
We additionally see that even with theadvantage of using the best parameter per test population, baseline-POEM still does not perform as well.
In Figures 1b and c. We consider ﬁxed training and test distributions and plot performance atdifferent values of  /  x for the voting and scene settings.
We see that with increasing  x , FDRO canlearn robust policies that perform well on the test set.
Baseline-DRO suffers from the same issuepreviously discussed.
The performance of baseline-POEM decreases on both distributions.
As thevariance regularization weight increases, POEM is incentivized to learn low variance policies, suchas choosing low variance but low reward actions, or reducing the variance from importance samplingby choosing a policy close to the data-collection policy, which may be suboptimal.
Figure 1c shows areal-world shift between cities, we can see if we would like to use data from one city to train a policyto deploy in other cities, it is important to consider distribution shift.
Additionally for the case weconsider with binary rewards it may be necessary to use FDRO with decomposition.
Discussion: Continuous Rewards and Reward Shift We focus on the common bandit setting ofbinary rewards in the main result, however we also show results for a continuous rewards setting in asimulations environment with Gaussian-distributioned rewards.
In Figure 1d, we see that baselineDRO is able to learn good polices, however FDRO with extra structure information was able to learna better policy, with better train performance at the same test performance.
Additionally, we explorereward shifts.
We create a new simple environment (described in the appendix) where we can easilycreate a test environment with shifted rewards.
We ﬁx  x and sweep  c for FDRO
and we see in
Figure 1d, both FDRO and baseline-DRO are able to handle this this case well.
Discussion: When to use FDRO vs. baseline-DRO (equivalence of solutions)
One question is if theparameters can be set such that baseline-DRO and FDRO choose the same solution, and if not whenone is beneﬁcial over the other.
To examine this question we can look at the KL-divergence chain ruledecomposition:
[Equation]
E p 0 ( x ) [ D kl ( p [-
-]0 ( R | X ) || p ( R | X ))] .
Recall D kl ( p 0 ( R, X ) || p
( R, X ))
=
, D kl ( p 0 ( X ) || p ( X ))
=
x , D kl ( p 0 ( R | X ) || p ( R | X ))
=
c .
Wecan see, when  c is the same for each context, we have  =  x +  c .
When  of baseline-DRO is setto  x +  c baseline-DRO and FDRO consider distributions the same KL distance away, with FDROplacing additional constraints on the set of distributions searched.
From the decomposition, we cansee, with additional stipulations (details in appendix), we can set a family of  x and  c values for FDRO to achieve the same solution of baseline-DRO for each  .
However, for a given  x and  c it isnot possible to ﬁnd a  for baseline-DRO that achieves the same solution.
Baseline-DRO has lessconstraints and can, for example, place the shift “budget” (  x +  c ) all in the rewards or all in thecontexts if that is the worst case.
This may cause the degenerate performance in the binary rewardscase for baseline-DRO where reward shift dominates.
FDRO can set limits on how much rewardshift is considered and ensures context shift is considered, allows us to overcome this.
This exampleinforms us that generally, if the algorithm designer would like to ensure a certain amount of rewardand context shift are considered, then it may be beneﬁcial to use FDRO and invest the additionaleffort to decompose  between  x and  c .
Discussion: Setting the  parameters and potential negative societal impacts One limitationcommon to all DRO methods is that choosing the uncertainty set (  ) may be difﬁcult [Rahimianand Mehrotra, 2019].
Accounting for too large a shift may result in overly conservative policies.
However, empirically we see, our method often works for many values of  .
For example in Figure 1a,while we may incur a small penalty if the distribution does not shift, we can learn a policy thathas much larger gains if the distribution does shift.
Additionally in Figure 1f we show robustnessto  c .
Additionally, common other approaches is to use other similar datasets or sources to derivereasonable shifts.
Another approach could be to utilize a human in the loop examination approach byexamining the worst case distribution which we can can be easily calculated for KL uncertainty sets.
We demonstrate examining the worst case shift and discuss this further in the appendix.
While DROmethods and FDRO are robust to shifts, if the shift is not as large as predicted, the policy learnedusing FDRO may be overly conservative which can potentially cause negative impact in terms oflower than necessary performance.
To mitigate this risk,  should be carefully set.
Conclusion
In this work we consider the batch learning of contextual bandit policies when the deploymentdistribution may shift from that of data collection.
We propose a distributionally robust optimizationformulation that separates the reward and context shift.
We demonstrated that our proposed estimatorsconverge asymptotically and then developed a practical algorithm FDRO that is able to overcomesome failure cases of prior methods and learn better performing robust policies.