07. Off-Policy Evaluation

Off-policy evaluation (OPE) is the problem of estimating how a new decision policy would perform using data collected under an older policy.

This is one of the most industry-relevant uses of causal inference. Many companies have logs from recommenders, marketing systems, pricing engines, support-routing tools, ranking systems, sales playbooks, and human decision processes. A new policy may look promising, but deploying it directly can be expensive or risky. OPE asks:

Can we estimate the value of the new policy before exposing customers, users, patients, sellers, or accounts to it?

The answer is “sometimes.” OPE can be very powerful when the logging policy is known, stochastic, and has enough overlap with the target policy. It can be dangerously misleading when those conditions fail.

Learning Goals

By the end of this notebook, you should be able to:

  • Define logging policies, target policies, contextual bandit feedback, and policy value.
  • Explain why naive offline evaluation is biased under partial feedback.
  • Implement direct method, inverse propensity scoring, self-normalized IPS, clipped IPS, and doubly robust OPE.
  • Diagnose support and overlap problems through importance weights.
  • Compare estimator bias and variance against simulation truth.
  • Explain why logged propensities are a production requirement for reliable OPE.
  • Translate OPE results into a cautious industry recommendation.
import warnings

import graphviz
import matplotlib.pyplot as plt
import numpy as np
import pandas as pd
import seaborn as sns
from IPython.display import display
from sklearn.base import clone
from sklearn.ensemble import HistGradientBoostingClassifier, HistGradientBoostingRegressor
from sklearn.metrics import log_loss, mean_squared_error
from sklearn.model_selection import KFold, train_test_split

warnings.filterwarnings("ignore")

sns.set_theme(style="whitegrid", context="notebook")
pd.set_option("display.float_format", "{:.3f}".format)
ACTION_LABELS = {
    0: "No action",
    1: "Email education",
    2: "Discount offer",
    3: "Human success call",
}
N_ACTIONS = len(ACTION_LABELS)


def sigmoid(x):
    return 1 / (1 + np.exp(-x))


def row_softmax(utilities):
    shifted = utilities - utilities.max(axis=1, keepdims=True)
    exp_u = np.exp(shifted)
    return exp_u / exp_u.sum(axis=1, keepdims=True)


def one_hot(actions, n_actions=N_ACTIONS):
    mat = np.zeros((len(actions), n_actions))
    mat[np.arange(len(actions)), np.asarray(actions, dtype=int)] = 1.0
    return mat


def make_dag(edges, title=None, node_colors=None, rankdir="LR"):
    graph = graphviz.Digraph(format="svg")
    graph.attr(rankdir=rankdir, bgcolor="white", pad="0.2")
    graph.attr("node", shape="box", style="rounded,filled", color="#334155", fontname="Helvetica")
    graph.attr("edge", color="#475569", arrowsize="0.8")

    node_colors = node_colors or {}
    nodes = sorted({node for edge in edges for node in edge[:2]})
    for node in nodes:
        graph.node(node, fillcolor=node_colors.get(node, "#eef2ff"))

    for edge in edges:
        if len(edge) == 2:
            graph.edge(edge[0], edge[1])
        else:
            graph.edge(edge[0], edge[1], label=edge[2])

    if title:
        graph.attr(label=title, labelloc="t", fontsize="18", fontname="Helvetica-Bold")
    return graph


def effective_sample_size(weights):
    weights = np.asarray(weights)
    if np.sum(weights**2) == 0:
        return 0.0
    return (np.sum(weights) ** 2) / np.sum(weights**2)

1. The OPE Problem

A logged decision dataset contains triples:

\[ (X_i, A_i, R_i) \]

where:

  • \(X_i\) is the context available at decision time.
  • \(A_i\) is the action chosen by the logging policy.
  • \(R_i\) is the observed reward for the chosen action.

The key difficulty is partial feedback. We observe the reward for the action actually taken, but not the rewards that would have occurred under the other actions.

Let the historical logging policy be:

\[ \mu(a \mid x) \]

and let the new target policy be:

\[ \pi(a \mid x) \]

The policy value is:

\[ V(\pi) = E\left[\sum_a \pi(a \mid X)Y(a)\right] \]

OPE estimates \(V(\pi)\) using data collected under \(\mu\), without deploying \(\pi\).

make_dag(
    edges=[
        ("ContextX", "LoggingPolicy"),
        ("LoggingPolicy", "LoggedAction"),
        ("ContextX", "PotentialRewards"),
        ("LoggedAction", "ObservedReward"),
        ("PotentialRewards", "ObservedReward"),
        ("ContextX", "TargetPolicy"),
        ("TargetPolicy", "CounterfactualAction"),
        ("LoggedData", "OPEEstimator"),
        ("TargetPolicy", "OPEEstimator"),
        ("OPEEstimator", "EstimatedPolicyValue"),
    ],
    title="Off-policy evaluation estimates a target policy from logged decisions",
    node_colors={
        "ContextX": "#dbeafe",
        "LoggingPolicy": "#fef3c7",
        "LoggedAction": "#fee2e2",
        "PotentialRewards": "#dcfce7",
        "ObservedReward": "#f1f5f9",
        "TargetPolicy": "#ede9fe",
        "CounterfactualAction": "#cffafe",
        "LoggedData": "#e0f2fe",
        "OPEEstimator": "#fce7f3",
        "EstimatedPolicyValue": "#ecfccb",
    },
)

Dudik et al. (2014) present doubly robust policy evaluation and optimization for contextual bandits. Horvitz and Thompson (1952) is the classical origin of inverse-probability weighting. Modern OPE work studies the bias-variance tradeoff among direct modeling, importance weighting, self-normalization, clipping, and doubly robust estimators (Su et al., 2019; Zhan et al., 2021; Saito & Joachims, 2022).

2. Identification Conditions

For the basic contextual bandit OPE estimators in this notebook, the important conditions are:

  1. Consistency: the observed reward equals the potential reward for the action actually taken.
  2. Conditional exchangeability: after conditioning on logged context \(X\), action assignment is as good as random according to the logging policy.
  3. Positivity or overlap: if the target policy may choose action \(a\) at context \(x\), then the logging policy must have nonzero probability of choosing that action:

\[ \pi(a \mid x) > 0 \Rightarrow \mu(a \mid x) > 0 \]

  1. Correct logging probabilities: the analyst must know or accurately estimate \(\mu(A_i \mid X_i)\).

OPE is not a shortcut around identification. It is a way to use randomized or conditionally randomized historical logs efficiently.

3. Running Example: Offline Evaluation of Account Interventions

Imagine a SaaS company deciding among four account-level interventions:

  • No action.
  • Send educational lifecycle email.
  • Offer a limited discount.
  • Assign a human customer-success call.

The company has historical logs from a stochastic decision policy. That policy used account context and deliberately kept some exploration, so every action had at least some chance of being chosen. Now the team wants to evaluate new targeting policies offline before running a live experiment.

In this simulation, we observe the true potential reward functions only because we created the data. Real OPE projects do not have that luxury; simulation truth is used here to check estimator behavior.

def simulate_account_intervention_logs(n=12000, seed=5707):
    rng = np.random.default_rng(seed)

    churn_risk = rng.beta(2.1, 2.4, n)
    product_health = rng.beta(2.5, 2.0, n)
    email_engagement = rng.beta(1.7, 2.4, n)
    price_sensitivity = rng.beta(2.0, 2.6, n)
    usage_depth = rng.normal(0, 1, n)
    log_mrr = rng.normal(4.45, 0.65, n)
    mrr_z = (log_mrr - log_mrr.mean()) / log_mrr.std()
    enterprise = rng.binomial(1, sigmoid(-0.35 + 0.9 * mrr_z + 0.45 * churn_risk), n)
    strategic = rng.binomial(1, sigmoid(-1.4 + 1.0 * enterprise + 0.55 * mrr_z), n)
    onboarding_gap = rng.beta(1.8, 3.0, n)
    support_load = rng.poisson(np.clip(0.3 + 3.2 * churn_risk - 0.8 * product_health + 0.7 * enterprise, 0.05, None))
    region_west = rng.binomial(1, 0.32, n)
    region_emea = rng.binomial(1, 0.27, n) * (1 - region_west)

    baseline = (
        58
        + 11.0 * mrr_z
        + 18.0 * product_health
        - 24.0 * churn_risk
        + 5.5 * enterprise
        + 3.0 * strategic
        + 3.2 * usage_depth
        - 1.6 * support_load
        - 7.0 * onboarding_gap
        + 2.4 * region_west
        - 1.4 * region_emea
        + 3.0 * np.sin(usage_depth)
    )

    effect_no_action = np.zeros(n)
    effect_email = (
        1.5
        + 10.0 * onboarding_gap
        + 8.0 * email_engagement * (1 - product_health)
        + 3.5 * (usage_depth < -0.5)
        - 2.2 * enterprise
        - 1.0 * np.maximum(support_load - 4, 0)
    )
    effect_discount = (
        -1.0
        + 19.0 * price_sensitivity
        + 8.0 * churn_risk
        - 6.0 * product_health
        - 4.5 * enterprise
        - 2.0 * strategic
    )
    effect_call = (
        -7.0
        + 23.0 * enterprise * churn_risk
        + 9.0 * strategic
        + 12.0 * onboarding_gap
        + 4.0 * (support_load <= 3)
        - 6.0 * (product_health > 0.72)
        + 2.0 * region_emea
    )

    mu = np.column_stack(
        [
            baseline + effect_no_action,
            baseline + effect_email,
            baseline + effect_discount,
            baseline + effect_call,
        ]
    )

    logging_utilities = np.column_stack(
        [
            0.45 + 0.75 * product_health - 0.80 * churn_risk,
            0.10 + 1.35 * onboarding_gap + 0.75 * email_engagement - 0.30 * enterprise,
            -0.15 + 1.55 * price_sensitivity + 0.85 * churn_risk - 0.40 * strategic,
            -0.75 + 1.15 * enterprise + 0.85 * strategic + 1.15 * churn_risk + 0.18 * support_load,
        ]
    )
    logging_probs = row_softmax(logging_utilities)
    exploration = 0.08
    logging_probs = (1 - exploration) * logging_probs + exploration / N_ACTIONS

    actions = np.array([rng.choice(N_ACTIONS, p=probs) for probs in logging_probs])
    reward = mu[np.arange(n), actions] + rng.normal(0, 7.0, n)

    df = pd.DataFrame(
        {
            "account_id": np.arange(1, n + 1),
            "churn_risk": churn_risk,
            "product_health": product_health,
            "email_engagement": email_engagement,
            "price_sensitivity": price_sensitivity,
            "usage_depth": usage_depth,
            "log_mrr": log_mrr,
            "mrr_z": mrr_z,
            "enterprise": enterprise,
            "strategic": strategic,
            "onboarding_gap": onboarding_gap,
            "support_load": support_load,
            "region_west": region_west,
            "region_emea": region_emea,
            "action": actions,
            "action_label": [ACTION_LABELS[a] for a in actions],
            "reward": reward,
            "logging_prob_chosen": logging_probs[np.arange(n), actions],
        }
    )
    for action_id, label in ACTION_LABELS.items():
        safe_label = label.lower().replace(" ", "_")
        df[f"mu_{action_id}"] = mu[:, action_id]
        df[f"logging_prob_{action_id}"] = logging_probs[:, action_id]
        df[f"incremental_vs_no_action_{safe_label}"] = mu[:, action_id] - mu[:, 0]

    return df


df = simulate_account_intervention_logs()
df.head()
account_id churn_risk product_health email_engagement price_sensitivity usage_depth log_mrr mrr_z enterprise strategic ... incremental_vs_no_action_no_action mu_1 logging_prob_1 incremental_vs_no_action_email_education mu_2 logging_prob_2 incremental_vs_no_action_discount_offer mu_3 logging_prob_3 incremental_vs_no_action_human_success_call
0 1 0.420 0.692 0.537 0.129 -0.286 5.600 1.785 0 0 ... 0.000 81.913 0.420 8.268 74.307 0.194 0.662 77.178 0.147 3.533
1 2 0.390 0.796 0.509 0.294 0.424 4.775 0.512 0 0 ... 0.000 72.310 0.282 3.645 71.603 0.276 2.938 61.241 0.140 -7.424
2 3 0.780 0.325 0.352 0.485 -0.314 4.385 -0.090 0 0 ... 0.000 37.010 0.193 3.767 45.753 0.375 12.509 27.883 0.305 -5.360
3 4 0.313 0.369 0.850 0.663 0.553 4.939 0.765 1 1 ... 0.000 76.399 0.210 8.984 72.796 0.145 5.381 89.090 0.529 21.675
4 5 0.009 0.611 0.781 0.194 -1.266 3.769 -1.039 0 0 ... 0.000 61.331 0.423 10.964 49.460 0.167 -0.906 51.606 0.080 1.240

5 rows × 30 columns

feature_cols = [
    "churn_risk",
    "product_health",
    "email_engagement",
    "price_sensitivity",
    "usage_depth",
    "mrr_z",
    "enterprise",
    "strategic",
    "onboarding_gap",
    "support_load",
    "region_west",
    "region_emea",
]
mu_cols = [f"mu_{a}" for a in range(N_ACTIONS)]
logging_prob_cols = [f"logging_prob_{a}" for a in range(N_ACTIONS)]

summary = pd.DataFrame(
    {
        "quantity": [
            "Logged decisions",
            "Average observed reward",
            "Average chosen-action propensity",
            "Minimum chosen-action propensity",
            "Action with highest average true reward",
            "Average value under logging policy",
        ],
        "value": [
            len(df),
            df["reward"].mean(),
            df["logging_prob_chosen"].mean(),
            df["logging_prob_chosen"].min(),
            ACTION_LABELS[np.argmax(df[mu_cols].mean().to_numpy())],
            np.mean((df[logging_prob_cols].to_numpy() * df[mu_cols].to_numpy()).sum(axis=1)),
        ],
    }
)
display(summary)
quantity value
0 Logged decisions 12000
1 Average observed reward 62.761
2 Average chosen-action propensity 0.316
3 Minimum chosen-action propensity 0.045
4 Action with highest average true reward Human success call
5 Average value under logging policy 62.824 
fig, axes = plt.subplots(1, 3, figsize=(15, 4.2))

sns.countplot(data=df, x="action_label", order=list(ACTION_LABELS.values()), color="#2563eb", ax=axes[0])
axes[0].set_title("Logged action distribution")
axes[0].set_xlabel("")
axes[0].tick_params(axis="x", rotation=35)

sns.histplot(df["logging_prob_chosen"], bins=35, kde=True, color="#0f766e", ax=axes[1])
axes[1].set_title("Chosen-action propensities")
axes[1].set_xlabel("Logging probability for chosen action")

true_action_means = df[mu_cols].mean().rename(index={f"mu_{a}": ACTION_LABELS[a] for a in range(N_ACTIONS)})
axes[2].bar(true_action_means.index, true_action_means.values, color="#7c3aed", alpha=0.82)
axes[2].set_title("Average true reward by action")
axes[2].set_ylabel("Expected reward")
axes[2].tick_params(axis="x", rotation=35)

plt.tight_layout()
plt.show()

This setup is a contextual bandit:

  • The system sees context.
  • It chooses one action.
  • It observes only that action’s reward.
  • The rewards for the unchosen actions are missing.

The logging policy is stochastic and stores propensities. That is the feature that makes reliable OPE possible. If the logs only stored the chosen action and reward, we would have a much weaker evaluation problem.

4. Candidate Target Policies

We will evaluate several target policies:

  • Logging policy: the policy that generated the data.
  • Uniform random policy: a sanity-check policy.
  • Business rule: a transparent hand-built rule.
  • Model argmax policy: a deterministic policy that chooses the action with the highest predicted reward.
  • Conservative model policy: mostly follows the model argmax but keeps 15% uniform exploration.
  • Aggressive call-heavy policy: a riskier policy that uses many human calls.

The model-based policies are learned on a policy-design split. Their values are evaluated on a separate evaluation split.

design_idx, eval_idx = train_test_split(
    df.index,
    test_size=0.45,
    random_state=5710,
    stratify=df["action"],
)
design = df.loc[design_idx].copy()
eval_logs = df.loc[eval_idx].copy()


def fit_action_reward_models(frame, feature_cols):
    models = {}
    base_model = HistGradientBoostingRegressor(
        max_iter=180,
        learning_rate=0.045,
        min_samples_leaf=45,
        l2_regularization=0.03,
        random_state=5711,
    )
    for action_id in range(N_ACTIONS):
        action_frame = frame[frame["action"] == action_id]
        model = clone(base_model)
        model.fit(action_frame[feature_cols], action_frame["reward"])
        models[action_id] = model
    return models


def predict_action_rewards(models, frame, feature_cols):
    preds = np.zeros((len(frame), N_ACTIONS))
    for action_id, model in models.items():
        preds[:, action_id] = model.predict(frame[feature_cols])
    return preds


policy_design_models = fit_action_reward_models(design, feature_cols)
eval_pred_rewards_for_policy = predict_action_rewards(policy_design_models, eval_logs, feature_cols)
model_argmax_actions = eval_pred_rewards_for_policy.argmax(axis=1)


def business_rule_actions(frame):
    action = np.zeros(len(frame), dtype=int)
    call = (frame["enterprise"].to_numpy() == 1) & (frame["churn_risk"].to_numpy() > 0.58)
    discount = (~call) & (frame["price_sensitivity"].to_numpy() > 0.67) & (frame["churn_risk"].to_numpy() > 0.42)
    email = (~call) & (~discount) & (
        (frame["onboarding_gap"].to_numpy() > 0.55) | (frame["email_engagement"].to_numpy() > 0.65)
    )
    action[email] = 1
    action[discount] = 2
    action[call] = 3
    return action


def aggressive_call_actions(frame):
    action = np.ones(len(frame), dtype=int)
    discount = frame["price_sensitivity"].to_numpy() > 0.55
    call = (frame["enterprise"].to_numpy() == 1) | (frame["churn_risk"].to_numpy() > 0.48)
    action[discount] = 2
    action[call] = 3
    return action


def conservative_probs(actions, epsilon=0.15):
    return (1 - epsilon) * one_hot(actions) + epsilon / N_ACTIONS


target_policies = {
    "Logging policy": eval_logs[logging_prob_cols].to_numpy(),
    "Uniform random": np.ones((len(eval_logs), N_ACTIONS)) / N_ACTIONS,
    "Business rule": one_hot(business_rule_actions(eval_logs)),
    "Model argmax": one_hot(model_argmax_actions),
    "Conservative model": conservative_probs(model_argmax_actions, epsilon=0.15),
    "Aggressive call-heavy": one_hot(aggressive_call_actions(eval_logs)),
}

policy_action_mix = []
for policy_name, probs in target_policies.items():
    action_rates = probs.mean(axis=0)
    row = {"policy": policy_name}
    for action_id, label in ACTION_LABELS.items():
        row[label] = action_rates[action_id]
    policy_action_mix.append(row)

display(pd.DataFrame(policy_action_mix))
policy No action Email education Discount offer Human success call
0 Logging policy 0.189 0.248 0.253 0.310
1 Uniform random 0.250 0.250 0.250 0.250
2 Business rule 0.503 0.276 0.065 0.156
3 Model argmax 0.008 0.291 0.242 0.459
4 Conservative model 0.044 0.285 0.244 0.427
5 Aggressive call-heavy 0.000 0.204 0.092 0.704

The action mix is an immediate deployment diagnostic. A policy that shifts heavily toward an expensive or operationally scarce action may have a high estimated reward but still be infeasible.

It is also an OPE diagnostic. The more different the target policy is from the logging policy, the harder offline evaluation becomes.

5. Ground Truth Value in Simulation

In real life, policy value is unknown. Here we can compute it because the simulation contains all potential reward means:

\[ V(\pi) = \frac{1}{n} \sum_i \sum_a \pi(a \mid X_i)\mu_a(X_i) \]

where \(\mu_a(X_i)=E[Y_i(a)\mid X_i]\).

This simulation truth lets us separate two questions:

  • What does each OPE estimator say?
  • How close is that estimate to the value we know from the data-generating process?
def true_policy_value(frame, target_probs):
    return np.mean(np.sum(target_probs * frame[mu_cols].to_numpy(), axis=1))


truth_table = pd.DataFrame(
    [
        {
            "policy": name,
            "true_value": true_policy_value(eval_logs, probs),
            "true_gain_vs_logging": true_policy_value(eval_logs, probs)
            - true_policy_value(eval_logs, target_policies["Logging policy"]),
        }
        for name, probs in target_policies.items()
    ]
).sort_values("true_value", ascending=False)

display(truth_table)
policy true_value true_gain_vs_logging
3 Model argmax 67.325 4.533
4 Conservative model 66.276 3.484
5 Aggressive call-heavy 65.291 2.499
0 Logging policy 62.792 0.000
2 Business rule 61.850 -0.942
1 Uniform random 60.333 -2.459

6. Why Naive Offline Evaluation Fails

A naive matched-outcome estimate keeps only rows where the logged action matches the target policy action and averages their observed rewards.

For deterministic target policies:

\[ \hat{V}_{matched} = \frac{\sum_i 1\{A_i = \pi(X_i)\}R_i} {\sum_i 1\{A_i = \pi(X_i)\}} \]

This can be badly biased when the logging policy is context-dependent. The matched rows are not a random sample of all contexts. They are the contexts where the logging policy happened to take the same action as the target policy.

Proper OPE accounts for the probability of the observed action under the logging policy.

def deterministic_actions_from_probs(probs):
    is_deterministic = np.all((np.isclose(probs, 0) | np.isclose(probs, 1)), axis=1)
    if not np.all(is_deterministic):
        return None
    return probs.argmax(axis=1)


naive_rows = []
for policy_name, probs in target_policies.items():
    target_actions = deterministic_actions_from_probs(probs)
    if target_actions is None:
        continue
    matched = eval_logs["action"].to_numpy() == target_actions
    naive_rows.append(
        {
            "policy": policy_name,
            "matched_share": matched.mean(),
            "naive_matched_reward": eval_logs.loc[matched, "reward"].mean(),
            "true_value": true_policy_value(eval_logs, probs),
            "naive_bias": eval_logs.loc[matched, "reward"].mean() - true_policy_value(eval_logs, probs),
        }
    )

display(pd.DataFrame(naive_rows).sort_values("naive_bias"))
policy matched_share naive_matched_reward true_value naive_bias
0 Business rule 0.323 63.967 61.850 2.117
1 Model argmax 0.402 69.657 67.325 2.332
2 Aggressive call-heavy 0.377 69.453 65.291 4.162

The matched-outcome estimator is tempting because it feels like “look at cases where we did the same thing.” But if the old system took that action only for certain kinds of accounts, the matched subset does not represent the population the new policy would touch.

7. OPE Estimators

Let \(p_i = \mu(A_i \mid X_i)\) be the logged propensity of the action actually taken.

Let \(q_i = \pi(A_i \mid X_i)\) be the target policy probability of that same action.

The importance weight is:

\[ w_i = \frac{q_i}{p_i} \]

Inverse propensity scoring estimates:

\[ \hat{V}_{IPS} = \frac{1}{n}\sum_i w_iR_i \]

Self-normalized IPS estimates:

\[ \hat{V}_{SNIPS} = \frac{\sum_i w_iR_i}{\sum_i w_i} \]

The direct method estimates a reward model \(\hat{\mu}_a(x)\) and plugs it in:

\[ \hat{V}_{DM} = \frac{1}{n}\sum_i\sum_a \pi(a \mid X_i)\hat{\mu}_a(X_i) \]

The doubly robust estimator combines both:

\[ \hat{V}_{DR} = \frac{1}{n}\sum_i \left[ \sum_a \pi(a \mid X_i)\hat{\mu}_a(X_i) + \frac{\pi(A_i \mid X_i)}{\mu(A_i \mid X_i)} \{R_i-\hat{\mu}_{A_i}(X_i)\} \right] \]

DR is attractive because the reward model supplies baseline predictions while the weighted residual corrects the model using logged outcomes.

def crossfit_reward_matrix(frame, feature_cols, n_splits=5, seed=5712):
    n = len(frame)
    mu_hat = np.zeros((n, N_ACTIONS))
    fold_id = np.zeros(n, dtype=int)
    base_model = HistGradientBoostingRegressor(
        max_iter=180,
        learning_rate=0.045,
        min_samples_leaf=40,
        l2_regularization=0.025,
        random_state=seed,
    )

    kfold = KFold(n_splits=n_splits, shuffle=True, random_state=seed)
    for fold, (train_idx, test_idx) in enumerate(kfold.split(frame), start=1):
        train = frame.iloc[train_idx]
        test = frame.iloc[test_idx]
        for action_id in range(N_ACTIONS):
            action_train = train[train["action"] == action_id]
            model = clone(base_model)
            model.fit(action_train[feature_cols], action_train["reward"])
            mu_hat[test_idx, action_id] = model.predict(test[feature_cols])
        fold_id[test_idx] = fold
    return mu_hat, fold_id


mu_hat_eval, fold_id_eval = crossfit_reward_matrix(eval_logs, feature_cols)
eval_logs = eval_logs.copy()
eval_logs["fold"] = fold_id_eval

chosen_actions = eval_logs["action"].to_numpy()
chosen_mu_hat = mu_hat_eval[np.arange(len(eval_logs)), chosen_actions]
reward_rmse_chosen = np.sqrt(mean_squared_error(eval_logs["reward"], chosen_mu_hat))
potential_rmse = np.sqrt(mean_squared_error(eval_logs[mu_cols].to_numpy().ravel(), mu_hat_eval.ravel()))

pd.DataFrame(
    {
        "diagnostic": [
            "Out-of-fold reward RMSE on observed actions",
            "Out-of-fold reward RMSE against all simulated potential means",
        ],
        "value": [reward_rmse_chosen, potential_rmse],
    }
)
diagnostic value
0 Out-of-fold reward RMSE on observed actions 7.897
1 Out-of-fold reward RMSE against all simulated ... 3.663 
def evaluate_ope_estimators(frame, target_probs, mu_hat, logging_probs=None, clip=12.0):
    if logging_probs is None:
        logging_probs = frame[logging_prob_cols].to_numpy()
    action = frame["action"].to_numpy()
    reward = frame["reward"].to_numpy()
    n = len(frame)

    p_chosen = logging_probs[np.arange(n), action]
    q_chosen = target_probs[np.arange(n), action]
    weights = q_chosen / np.clip(p_chosen, 1e-6, None)
    clipped_weights = np.minimum(weights, clip)

    dm_row = np.sum(target_probs * mu_hat, axis=1)
    residual = reward - mu_hat[np.arange(n), action]

    ips_contrib = weights * reward
    clipped_ips_contrib = clipped_weights * reward
    dr_contrib = dm_row + weights * residual
    clipped_dr_contrib = dm_row + clipped_weights * residual

    estimators = {
        "Direct method": dm_row,
        "IPS": ips_contrib,
        "Clipped IPS": clipped_ips_contrib,
        "Doubly robust": dr_contrib,
        "Clipped DR": clipped_dr_contrib,
    }

    rows = []
    for name, contrib in estimators.items():
        rows.append(
            {
                "estimator": name,
                "estimate": np.mean(contrib),
                "std_error": np.std(contrib, ddof=1) / np.sqrt(n),
            }
        )

    if weights.sum() > 0:
        snips_estimate = np.sum(weights * reward) / np.sum(weights)
        snips_if = weights * (reward - snips_estimate) / np.mean(weights)
        rows.append(
            {
                "estimator": "SNIPS",
                "estimate": snips_estimate,
                "std_error": np.std(snips_if, ddof=1) / np.sqrt(n),
            }
        )

    return pd.DataFrame(rows), weights


all_ope_rows = []
weight_rows = []
for policy_name, probs in target_policies.items():
    estimates, weights = evaluate_ope_estimators(eval_logs, probs, mu_hat_eval, clip=12.0)
    truth = true_policy_value(eval_logs, probs)
    estimates["policy"] = policy_name
    estimates["true_value"] = truth
    estimates["bias_vs_truth"] = estimates["estimate"] - truth
    estimates["ci_low"] = estimates["estimate"] - 1.96 * estimates["std_error"]
    estimates["ci_high"] = estimates["estimate"] + 1.96 * estimates["std_error"]
    all_ope_rows.append(estimates)

    weight_rows.append(
        {
            "policy": policy_name,
            "mean_weight": weights.mean(),
            "max_weight": weights.max(),
            "share_zero_weight": np.mean(weights == 0),
            "share_weight_gt_10": np.mean(weights > 10),
            "effective_sample_size": effective_sample_size(weights),
            "ess_fraction": effective_sample_size(weights) / len(weights),
        }
    )

ope_results = pd.concat(all_ope_rows, ignore_index=True)
weight_diagnostics = pd.DataFrame(weight_rows).sort_values("ess_fraction")

display(weight_diagnostics)
policy mean_weight max_weight share_zero_weight share_weight_gt_10 effective_sample_size ess_fraction
2 Business rule 1.048 13.851 0.677 0.001 1416.516 0.262
5 Aggressive call-heavy 1.013 10.549 0.623 0.000 1668.987 0.309
3 Model argmax 1.012 8.882 0.598 0.000 1939.358 0.359
4 Conservative model 1.009 7.882 0.000 0.000 2420.539 0.448
1 Uniform random 0.991 4.620 0.000 0.000 4238.381 0.785
0 Logging policy 1.000 1.000 0.000 0.000 5400.000 1.000

The effective sample size is a practical OPE warning light:

\[ ESS = \frac{(\sum_i w_i)^2}{\sum_i w_i^2} \]

A low ESS means the estimate is driven by a small number of heavily weighted observations. In that situation, the point estimate may be unstable even if the dataset is large.

display(
    ope_results[
        ["policy", "estimator", "estimate", "std_error", "ci_low", "ci_high", "true_value", "bias_vs_truth"]
    ].sort_values(["policy", "estimator"])
)
policy estimator estimate std_error ci_low ci_high true_value bias_vs_truth
34 Aggressive call-heavy Clipped DR 65.115 0.327 64.475 65.756 65.291 -0.176
32 Aggressive call-heavy Clipped IPS 65.728 1.283 63.213 68.242 65.291 0.436
30 Aggressive call-heavy Direct method 65.303 0.259 64.796 65.810 65.291 0.012
33 Aggressive call-heavy Doubly robust 65.115 0.327 64.475 65.756 65.291 -0.176
31 Aggressive call-heavy IPS 65.728 1.283 63.213 68.242 65.291 0.436
35 Aggressive call-heavy SNIPS 64.860 0.533 63.815 65.904 65.291 -0.432
16 Business rule Clipped DR 61.910 0.314 61.296 62.525 61.850 0.060
14 Business rule Clipped IPS 63.968 1.473 61.082 66.855 61.850 2.118
12 Business rule Direct method 61.787 0.223 61.349 62.224 61.850 -0.064
15 Business rule Doubly robust 61.912 0.314 61.297 62.526 61.850 0.061
13 Business rule IPS 63.992 1.475 61.101 66.883 61.850 2.141
17 Business rule SNIPS 61.081 0.478 60.145 62.018 61.850 -0.769
28 Conservative model Clipped DR 66.319 0.272 65.786 66.853 66.276 0.043
26 Conservative model Clipped IPS 67.100 1.056 65.030 69.170 66.276 0.823
24 Conservative model Direct method 66.332 0.223 65.895 66.769 66.276 0.056
27 Conservative model Doubly robust 66.319 0.272 65.786 66.853 66.276 0.043
25 Conservative model IPS 67.100 1.056 65.030 69.170 66.276 0.823
29 Conservative model SNIPS 66.505 0.357 65.806 67.205 66.276 0.229
4 Logging policy Clipped DR 62.780 0.244 62.301 63.259 62.792 -0.012
2 Logging policy Clipped IPS 62.813 0.254 62.315 63.311 62.792 0.021
0 Logging policy Direct method 62.849 0.215 62.428 63.270 62.792 0.057
3 Logging policy Doubly robust 62.780 0.244 62.301 63.259 62.792 -0.012
1 Logging policy IPS 62.813 0.254 62.315 63.311 62.792 0.021
5 Logging policy SNIPS 62.813 0.254 62.315 63.311 62.792 0.021
22 Model argmax Clipped DR 67.384 0.286 66.825 67.944 67.325 0.059
20 Model argmax Clipped IPS 68.387 1.260 65.917 70.857 67.325 1.062
18 Model argmax Direct method 67.382 0.228 66.935 67.828 67.325 0.056
21 Model argmax Doubly robust 67.384 0.286 66.825 67.944 67.325 0.059
19 Model argmax IPS 68.387 1.260 65.917 70.857 67.325 1.062
23 Model argmax SNIPS 67.566 0.400 66.782 68.349 67.325 0.240
10 Uniform random Clipped DR 60.284 0.243 59.808 60.760 60.333 -0.049
8 Uniform random Clipped IPS 59.805 0.459 58.904 60.705 60.333 -0.529
6 Uniform random Direct method 60.384 0.204 59.984 60.783 60.333 0.050
9 Uniform random Doubly robust 60.284 0.243 59.808 60.760 60.333 -0.049
7 Uniform random IPS 59.805 0.459 58.904 60.705 60.333 -0.529
11 Uniform random SNIPS 60.368 0.271 59.836 60.900 60.333 0.035 
fig, axes = plt.subplots(1, 2, figsize=(15, 5.2))

selected_estimators = ["Direct method", "IPS", "SNIPS", "Doubly robust", "Clipped DR"]
plot_results = ope_results[ope_results["estimator"].isin(selected_estimators)].copy()

sns.scatterplot(
    data=plot_results,
    x="true_value",
    y="estimate",
    hue="estimator",
    style="policy",
    s=85,
    ax=axes[0],
)
min_value = min(plot_results["true_value"].min(), plot_results["estimate"].min()) - 2
max_value = max(plot_results["true_value"].max(), plot_results["estimate"].max()) + 2
axes[0].plot([min_value, max_value], [min_value, max_value], color="#111827", linestyle="--")
axes[0].set_title("OPE estimates versus simulation truth")
axes[0].set_xlabel("True policy value")
axes[0].set_ylabel("Estimated policy value")

bias_plot = plot_results.copy()
bias_plot["policy_estimator"] = bias_plot["policy"] + " | " + bias_plot["estimator"]
sns.barplot(
    data=bias_plot,
    y="policy",
    x="bias_vs_truth",
    hue="estimator",
    ax=axes[1],
)
axes[1].axvline(0, color="#111827", linewidth=1.1)
axes[1].set_title("Estimator bias in the simulation")
axes[1].set_xlabel("Estimate minus true value")
axes[1].set_ylabel("")

plt.tight_layout()
plt.show()

The comparison shows the central OPE tradeoff:

  • Direct method can have low variance but can be biased when the reward model is wrong.
  • IPS is less model-dependent but can have high variance when target and logging policies disagree.
  • SNIPS often stabilizes IPS but introduces small finite-sample bias.
  • DR often performs well because it combines a reward model with propensity correction.
  • Clipping reduces variance but adds bias.

No estimator dominates in every problem. The best estimator depends on overlap, reward-model quality, action-space size, and how far the target policy moves from the logging policy.

8. Inspecting Importance Weights

Importance weights are the mechanical heart of IPS and DR:

\[ w_i = \frac{\pi(A_i \mid X_i)}{\mu(A_i \mid X_i)} \]

Large weights mean the target policy puts much more probability on the logged action than the logging policy did. Zero weights mean the logged action would not be chosen by the target policy.

Weight diagnostics are not optional. They tell us whether the logged data are informative for the proposed target policy.

weight_plot_rows = []
for policy_name, probs in target_policies.items():
    _, weights = evaluate_ope_estimators(eval_logs, probs, mu_hat_eval, clip=12.0)
    if policy_name in ["Business rule", "Model argmax", "Conservative model", "Aggressive call-heavy"]:
        sample_weights = pd.DataFrame({"policy": policy_name, "weight": weights})
        weight_plot_rows.append(sample_weights)

weight_plot = pd.concat(weight_plot_rows, ignore_index=True)

fig, axes = plt.subplots(1, 2, figsize=(14, 4.8))

sns.histplot(
    data=weight_plot,
    x="weight",
    hue="policy",
    bins=45,
    common_norm=False,
    stat="density",
    alpha=0.38,
    ax=axes[0],
)
axes[0].set_xlim(0, 25)
axes[0].set_title("Importance-weight distributions")
axes[0].set_xlabel("Importance weight")

sns.barplot(
    data=weight_diagnostics,
    y="policy",
    x="ess_fraction",
    color="#2563eb",
    ax=axes[1],
)
axes[1].set_title("Effective sample size fraction")
axes[1].set_xlabel("ESS / n")
axes[1].set_ylabel("")

plt.tight_layout()
plt.show()

The aggressive policy is the kind of policy that often makes OPE uncomfortable. It may be operationally attractive, but if historical logs rarely used the same actions in similar contexts, then the estimate depends on a thin slice of the data.

An OPE readout should not simply rank policies by point estimate. It should also report whether each estimate is supported by the logs.

9. Clipping Sensitivity

Clipping caps the largest importance weights:

\[ w_i^{clip} = \min(w_i, c) \]

This reduces variance but changes the estimand. A large shift in the estimate across clipping thresholds is a warning that the evaluation is weight-sensitive.

clip_rows = []
clip_grid = [2, 4, 6, 8, 12, 20, 40]
for policy_name in ["Model argmax", "Conservative model", "Aggressive call-heavy"]:
    probs = target_policies[policy_name]
    truth = true_policy_value(eval_logs, probs)
    for clip_value in clip_grid:
        estimates, _ = evaluate_ope_estimators(eval_logs, probs, mu_hat_eval, clip=clip_value)
        subset = estimates[estimates["estimator"].isin(["Clipped IPS", "Clipped DR"])].copy()
        subset["clip"] = clip_value
        subset["policy"] = policy_name
        subset["true_value"] = truth
        clip_rows.append(subset)

clip_df = pd.concat(clip_rows, ignore_index=True)

fig, axes = plt.subplots(1, 2, figsize=(14, 4.8))
for ax, estimator in zip(axes, ["Clipped IPS", "Clipped DR"]):
    sns.lineplot(
        data=clip_df[clip_df["estimator"] == estimator],
        x="clip",
        y="estimate",
        hue="policy",
        marker="o",
        ax=ax,
    )
    for policy_name in ["Model argmax", "Conservative model", "Aggressive call-heavy"]:
        truth = true_policy_value(eval_logs, target_policies[policy_name])
        ax.axhline(truth, color="#64748b", linestyle=":", linewidth=1)
    ax.set_title(f"{estimator} sensitivity to clipping")
    ax.set_xlabel("Weight cap")
    ax.set_ylabel("Estimated policy value")

plt.tight_layout()
plt.show()

Stable estimates across a reasonable clipping range are reassuring. Large movement is not automatically fatal, but it means the offline estimate should be treated as exploratory rather than launch-ready.

10. Known Versus Estimated Logging Propensities

Production OPE works best when the logging system records the exact action probabilities used at decision time.

If propensities are not logged, analysts may estimate them from historical data. That can be useful, but it adds another nuisance model and another source of bias. Worse, if the old policy was deterministic, the missing support cannot be repaired by estimating propensities after the fact.

Here we estimate the logging policy from the evaluation logs and compare OPE for one target policy using known versus estimated propensities.

def crossfit_logging_propensities(frame, feature_cols, n_splits=5, seed=5713):
    n = len(frame)
    prop_hat = np.zeros((n, N_ACTIONS))
    base_model = HistGradientBoostingClassifier(
        max_iter=180,
        learning_rate=0.045,
        min_samples_leaf=45,
        l2_regularization=0.03,
        random_state=seed,
    )
    kfold = KFold(n_splits=n_splits, shuffle=True, random_state=seed)
    for train_idx, test_idx in kfold.split(frame):
        train = frame.iloc[train_idx]
        test = frame.iloc[test_idx]
        model = clone(base_model)
        model.fit(train[feature_cols], train["action"])
        pred = model.predict_proba(test[feature_cols])
        full_pred = np.zeros((len(test), N_ACTIONS))
        for col_idx, action_id in enumerate(model.classes_):
            full_pred[:, int(action_id)] = pred[:, col_idx]
        prop_hat[test_idx, :] = np.clip(full_pred, 0.02, 0.98)
        prop_hat[test_idx, :] = prop_hat[test_idx, :] / prop_hat[test_idx, :].sum(axis=1, keepdims=True)
    return prop_hat


estimated_logging_probs = crossfit_logging_propensities(eval_logs, feature_cols)
known_logging_probs = eval_logs[logging_prob_cols].to_numpy()

propensity_compare = pd.DataFrame(
    {
        "diagnostic": [
            "Mean absolute propensity error",
            "Log loss using known logging probabilities",
            "Log loss using estimated logging probabilities",
        ],
        "value": [
            np.mean(np.abs(estimated_logging_probs - known_logging_probs)),
            log_loss(eval_logs["action"], known_logging_probs, labels=list(range(N_ACTIONS))),
            log_loss(eval_logs["action"], estimated_logging_probs, labels=list(range(N_ACTIONS))),
        ],
    }
)
display(propensity_compare)
diagnostic value
0 Mean absolute propensity error 0.091
1 Log loss using known logging probabilities 1.258
2 Log loss using estimated logging probabilities 1.384 
comparison_policy = "Conservative model"
known_estimates, known_weights = evaluate_ope_estimators(
    eval_logs,
    target_policies[comparison_policy],
    mu_hat_eval,
    logging_probs=known_logging_probs,
    clip=12.0,
)
estimated_estimates, estimated_weights = evaluate_ope_estimators(
    eval_logs,
    target_policies[comparison_policy],
    mu_hat_eval,
    logging_probs=estimated_logging_probs,
    clip=12.0,
)

known_estimates["propensity_source"] = "Known logged propensity"
estimated_estimates["propensity_source"] = "Estimated propensity model"
propensity_source_comparison = pd.concat([known_estimates, estimated_estimates], ignore_index=True)
propensity_source_comparison["true_value"] = true_policy_value(eval_logs, target_policies[comparison_policy])
propensity_source_comparison["bias_vs_truth"] = (
    propensity_source_comparison["estimate"] - propensity_source_comparison["true_value"]
)

display(
    propensity_source_comparison[
        ["propensity_source", "estimator", "estimate", "std_error", "true_value", "bias_vs_truth"]
    ]
)
propensity_source estimator estimate std_error true_value bias_vs_truth
0 Known logged propensity Direct method 66.332 0.223 66.276 0.056
1 Known logged propensity IPS 67.100 1.056 66.276 0.823
2 Known logged propensity Clipped IPS 67.100 1.056 66.276 0.823
3 Known logged propensity Doubly robust 66.319 0.272 66.276 0.043
4 Known logged propensity Clipped DR 66.319 0.272 66.276 0.043
5 Known logged propensity SNIPS 66.505 0.357 66.276 0.229
6 Estimated propensity model Direct method 66.332 0.223 66.276 0.056
7 Estimated propensity model IPS 80.279 1.547 66.276 14.003
8 Estimated propensity model Clipped IPS 79.725 1.486 66.276 13.449
9 Estimated propensity model Doubly robust 66.228 0.321 66.276 -0.048
10 Estimated propensity model Clipped DR 66.187 0.310 66.276 -0.089
11 Estimated propensity model SNIPS 65.662 0.414 66.276 -0.615

The estimated propensity model is not terrible in this simulation, but it is still inferior to having the true logged propensities. In real systems, logging propensities is a design requirement, not a reporting nicety.

11. Policy Contrast: Is the New Policy Better Than the Current One?

Often the real business question is not “what is the absolute value of policy \(\pi\)?” but:

Is the proposed policy better than the current policy?

For a target policy \(\pi\) and current policy \(\mu\), estimate:

\[ \Delta = V(\pi)-V(\mu) \]

The direct way is to estimate both values and subtract them. The uncertainty can be large because the two estimates are correlated. For a practical first pass, we can compute per-row DR contributions for both policies and take their difference.

def dr_contribution(frame, target_probs, mu_hat, logging_probs=None):
    if logging_probs is None:
        logging_probs = frame[logging_prob_cols].to_numpy()
    action = frame["action"].to_numpy()
    reward = frame["reward"].to_numpy()
    n = len(frame)
    p_chosen = logging_probs[np.arange(n), action]
    q_chosen = target_probs[np.arange(n), action]
    weights = q_chosen / np.clip(p_chosen, 1e-6, None)
    dm_row = np.sum(target_probs * mu_hat, axis=1)
    residual = reward - mu_hat[np.arange(n), action]
    return dm_row + weights * residual


contrast_rows = []
logging_contrib = dr_contribution(eval_logs, target_policies["Logging policy"], mu_hat_eval)
for policy_name in ["Business rule", "Model argmax", "Conservative model", "Aggressive call-heavy"]:
    target_contrib = dr_contribution(eval_logs, target_policies[policy_name], mu_hat_eval)
    contrast = target_contrib - logging_contrib
    contrast_rows.append(
        {
            "policy": policy_name,
            "dr_gain_vs_logging": contrast.mean(),
            "std_error": contrast.std(ddof=1) / np.sqrt(len(contrast)),
            "ci_low": contrast.mean() - 1.96 * contrast.std(ddof=1) / np.sqrt(len(contrast)),
            "ci_high": contrast.mean() + 1.96 * contrast.std(ddof=1) / np.sqrt(len(contrast)),
            "true_gain_vs_logging": true_policy_value(eval_logs, target_policies[policy_name])
            - true_policy_value(eval_logs, target_policies["Logging policy"]),
        }
    )

contrast_table = pd.DataFrame(contrast_rows).sort_values("dr_gain_vs_logging", ascending=False)
display(contrast_table)
policy dr_gain_vs_logging std_error ci_low ci_high true_gain_vs_logging
1 Model argmax 4.605 0.144 4.322 4.887 4.533
2 Conservative model 3.539 0.119 3.306 3.772 3.484
3 Aggressive call-heavy 2.335 0.176 1.991 2.680 2.499
0 Business rule -0.868 0.206 -1.272 -0.465 -0.942 
fig, ax = plt.subplots(figsize=(9, 4.8))
plot_contrast = contrast_table.sort_values("dr_gain_vs_logging")
ax.barh(plot_contrast["policy"], plot_contrast["dr_gain_vs_logging"], color="#2563eb", alpha=0.82)
ax.errorbar(
    x=plot_contrast["dr_gain_vs_logging"],
    y=np.arange(len(plot_contrast)),
    xerr=[
        plot_contrast["dr_gain_vs_logging"] - plot_contrast["ci_low"],
        plot_contrast["ci_high"] - plot_contrast["dr_gain_vs_logging"],
    ],
    fmt="none",
    ecolor="#111827",
    capsize=3,
)
ax.scatter(plot_contrast["true_gain_vs_logging"], np.arange(len(plot_contrast)), color="#dc2626", label="Simulation truth", zorder=5)
ax.axvline(0, color="#111827", linewidth=1.1)
ax.set_title("DR-estimated gain versus logging policy")
ax.set_xlabel("Policy value gain")
ax.legend()
plt.tight_layout()
plt.show()

This is the kind of table that belongs in an executive readout. It compares proposed policies to the current baseline, shows uncertainty, and keeps the support diagnostics nearby.

The important move is to avoid treating the highest point estimate as a deployment command. A policy with a slightly lower estimate but much better support may be the better next experiment.

12. Stress Test: What If the Target Policy Is Too Far Away?

OPE is strongest when the target policy is close enough to the logging policy that the logs contain relevant evidence.

If a proposed policy takes actions that the logging policy almost never took for similar contexts, then:

  • IPS weights become extreme.
  • SNIPS may look stable while estimating a support-limited quantity.
  • Direct method relies heavily on extrapolation.
  • DR inherits both reward-model risk and weight instability.

In practice, the right next step may be a small randomized exploration pilot, not a full launch.

support_summary = weight_diagnostics.merge(
    truth_table[["policy", "true_gain_vs_logging"]],
    on="policy",
    how="left",
)
support_summary["ope_risk_level"] = pd.cut(
    support_summary["ess_fraction"],
    bins=[-0.01, 0.10, 0.30, 0.60, 1.01],
    labels=["High", "Elevated", "Moderate", "Low"],
)

display(
    support_summary[
        [
            "policy",
            "true_gain_vs_logging",
            "ess_fraction",
            "max_weight",
            "share_weight_gt_10",
            "share_zero_weight",
            "ope_risk_level",
        ]
    ].sort_values("ess_fraction")
)
policy true_gain_vs_logging ess_fraction max_weight share_weight_gt_10 share_zero_weight ope_risk_level
0 Business rule -0.942 0.262 13.851 0.001 0.677 Elevated
1 Aggressive call-heavy 2.499 0.309 10.549 0.000 0.623 Moderate
2 Model argmax 4.533 0.359 8.882 0.000 0.598 Moderate
3 Conservative model 3.484 0.448 7.882 0.000 0.000 Moderate
4 Uniform random -2.459 0.785 4.620 0.000 0.000 Low
5 Logging policy 0.000 1.000 1.000 0.000 0.000 Low

13. Industry Readout Template

A professional OPE readout should be explicit about both value and reliability:

  1. Decision: which target policy is being considered?
  2. Logged data: time window, eligible population, action set, reward definition, and logging policy.
  3. Identification: why historical action assignment can be treated as randomized conditional on context.
  4. Propensities: whether exact propensities were logged or estimated after the fact.
  5. Estimators: direct method, IPS/SNIPS, DR, and clipped variants.
  6. Main result: estimated value and gain versus current policy.
  7. Support diagnostics: ESS, max weights, zero-weight share, and action mix shift.
  8. Sensitivity: clipping thresholds, reward-model choices, and target-policy stochasticity.
  9. Recommendation: launch, reject, revise policy, or run an exploration pilot.

Good OPE is not just an estimator. It is a decision-control process for changing deployed systems safely.

recommended_policy = contrast_table.iloc[0]["policy"]
recommended_support = support_summary[support_summary["policy"] == recommended_policy].iloc[0]
recommended_contrast = contrast_table[contrast_table["policy"] == recommended_policy].iloc[0]

readout = pd.DataFrame(
    {
        "item": [
            "Top DR-estimated policy",
            "Estimated gain vs logging",
            "Approximate 95% CI",
            "Simulation true gain vs logging",
            "ESS fraction",
            "Maximum importance weight",
            "OPE risk level",
            "Recommended next step",
        ],
        "value": [
            recommended_policy,
            f"{recommended_contrast['dr_gain_vs_logging']:.2f}",
            f"[{recommended_contrast['ci_low']:.2f}, {recommended_contrast['ci_high']:.2f}]",
            f"{recommended_contrast['true_gain_vs_logging']:.2f}",
            f"{recommended_support['ess_fraction']:.2%}",
            f"{recommended_support['max_weight']:.1f}",
            str(recommended_support["ope_risk_level"]),
            "Use OPE as a screening result, then validate with a randomized pilot.",
        ],
    }
)
display(readout)
item value
0 Top DR-estimated policy Model argmax
1 Estimated gain vs logging 4.60
2 Approximate 95% CI [4.32, 4.89]
3 Simulation true gain vs logging 4.53
4 ESS fraction 35.91%
5 Maximum importance weight 8.9
6 OPE risk level Moderate
7 Recommended next step Use OPE as a screening result, then validate w...

Key Takeaways

  • OPE estimates the value of a target policy using data logged under another policy.
  • Partial feedback is the central problem: only the chosen action’s reward is observed.
  • IPS corrects the action-distribution mismatch with importance weights.
  • SNIPS often reduces variance but can introduce finite-sample bias.
  • Direct method depends heavily on reward-model quality.
  • Doubly robust estimation combines reward modeling with importance-weighted residual correction.
  • Weight diagnostics are central. Low ESS and large weights mean the logged data provide weak support.
  • Exact logged propensities are a production requirement for reliable OPE.
  • Clipping, shrinkage, and stochastic target policies can improve stability, but they change the bias-variance tradeoff.
  • OPE should usually screen policies for experimentation, not replace final validation for high-stakes decisions.

References

Dudik, M., Erhan, D., Langford, J., & Li, L. (2014). Doubly robust policy evaluation and optimization. Statistical Science, 29(4), 485-511. https://doi.org/10.1214/14-sts500

Horvitz, D. G., & Thompson, D. J. (1952). A generalization of sampling without replacement from a finite universe. Journal of the American Statistical Association, 47(260), 663-685. https://doi.org/10.1080/01621459.1952.10483446

Saito, Y., & Joachims, T. (2022). Off-policy evaluation for large action spaces via embeddings. arXiv. https://doi.org/10.48550/arxiv.2202.06317

Su, Y., Dimakopoulou, M., Krishnamurthy, A., & Dudik, M. (2019). Doubly robust off-policy evaluation with shrinkage. arXiv. https://doi.org/10.48550/arxiv.1907.09623

Zhan, R., Hadad, V., Hirshberg, D. A., & Athey, S. (2021). Off-policy evaluation via adaptive weighting with data from contextual bandits. arXiv. https://doi.org/10.48550/arxiv.2106.02029