{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/subgaussian-and-differentiable-importance","title":"Subgaussian and Differentiable Importance Sampling for Off-Policy Evaluation and Learning","arxiv_id":null,"date":"2021-12-01","proceeding":"NeurIPS 2021 12","authors":["Alberto Maria Metelli","Alessio Russo","Marcello Restelli"],"abstract":"Importance Sampling (IS) is a widely used building block for a large variety of off-policy estimation and learning algorithms. However, empirical and theoretical studies have progressively shown that vanilla IS leads to poor estimations whenever the behavioral and target policies are too dissimilar. In this paper, we analyze the theoretical properties of the IS estimator by deriving a novel anticoncentration bound that formalizes the intuition behind its undesired behavior. Then, we propose a new class of IS transformations, based on the notion of power mean. To the best of our knowledge, the resulting estimator is the first to achieve, under certain conditions, two key properties: (i) it displays a subgaussian concentration rate; (ii) it preserves the differentiability in the target distribution. Finally, we provide numerical simulations on both synthetic examples and contextual bandits, in comparison with off-policy evaluation and learning baselines.","url_abs":"http://proceedings.neurips.cc/paper/2021/hash/4476b929e30dd0c4e8bdbcc82c6ba23a-Abstract.html","url_pdf":"http://proceedings.neurips.cc/paper/2021/file/4476b929e30dd0c4e8bdbcc82c6ba23a-Paper.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"subgaussian-and-differentiable-importance","repo_url":"https://github.com/albertometelli/subgaussian-is","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":0,"framework":"none","reach":null}],"tasks":[{"task_slug":"multi-armed-bandits","task_name":"Multi-Armed Bandits"},{"task_slug":"off-policy-evaluation","task_name":"Off-policy evaluation"}],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}