IEDA Seminar - Causal Reinforcement Learning: An Instrumental Variable Approach

10:30am - 11:30am
online via Zoom

In the standard data analysis framework, data is first collected--once for all, and then data analysis is carried out. Moreover, the data generation process is typically assumed to be exogenous. This approach is natural when the data analyst has no impact on how the data is generated. The advancement of digital technology, however, has facilitated firms to learn from data and make decisions at the same time. Since these decisions generate new data, the data analyst--a business manager or an algorithm--also becomes the data generator. In this article, we formulate the problem as a Markov decision process (MDP) and show that the interaction generates a new type of bias--reinforcement bias--that exacerbates the endogeneity problem in static data analysis. When the data structure is i.i.d, we embed the instrumental variable (IV) approach in the stochastic gradient descent (SGD) algorithm to correct for the bias. For general MDP problems, we propose a class of IV-Reinforcement Learning algorithms to correct for the bias. We establish asymptotic properties of our algorithms by incorporating them into two-timescale stochastic approximation (SA). Since our formulation allows unbounded state space and more importantly, Markovian noise, standard techniques in RL and SA literature, which rely on boundedness of the state space and martingale difference structure of the noise, do not apply. We develop new techniques to establish risk bounds, finite time bounds for pathwise stability, and asymptotic distribution of a class of IV-RL algorithms.

 

Authors: Jin Li, Ye Luo, Xiaowei Zhang

讲者/ 表演者:
Dr. Ye LUO
Business School, The University of Hong Kong

Dr. Ye Luo received his Ph.D from Masschusetts Institute of Technology at year 2015. He received his B.S. degree from Massachusetts Institute of Technology at year 2010, majored in Mathematics and Economics. Before joining FBE of HKU, he worked as assistant professor at the economics department in University of Florida. Dr. Ye Luo's main research insterests include high dimensional econometrics/ statistics, machine learning and its empirical applications in economics and finance, for example, applying AI algorithms to develop smart, adaptive automated trading systems, applying big data methods/machine learning in default risk prediction, dynamic demand prediction, etc. He also has interest and expertise in natural language processing.

 

Dr. Ye Luo has research papers published/forthcoming at Econometrica, Journal of the Royal Statistical Society: Series B, American Economic Review, P&P, etc. Beyond Dr. Ye Luo's academic research, he has a strong interest in connecting the research in data science to the industry. He has given/being invited to give lectures at DiDi, ShunFeng Express, Novartis, etc.

语言
英文
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教职员
研究生
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IEDA Seminar Zoom Meeting
https://hkust.zoom.us/j/96809553140?pwd=VTMyNlpJVVJLWWU0aTVaYUFIc29uZz09    

Meeting ID: 968 0955 3140
Passcode: iesem3010

主办单位
Department of Industrial Engineering & Decision Analytics
信息,商业统计及营运学系
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