Counterfactual Risk Minimization: Learning from Logged Bandit Feedback

We develop a learning principle and an efficient algorithm for batch learning from logged bandit feedback. This learning setting is ubiquitous in online systems (e.g., ad placement, web search, recommendation), where an algorithm makes a prediction (e.g., ad ranking) for a given input (e.g., query) and observes bandit feedback (e.g., user clicks on presented ads). We first address the counterfactual nature of the learning problem through propensity scoring. Next, we prove generalization error bounds that account for the variance of the propensity-weighted empirical risk estimator. These constructive bounds give rise to the Counterfactual Risk Minimization (CRM) principle. We show how CRM can be used to derive a new learning method -- called Policy Optimizer for Exponential Models (POEM) -- for learning stochastic linear rules for structured output prediction. We present a decomposition of the POEM objective that enables efficient stochastic gradient optimization. POEM is evaluated on several multi-label classification problems showing substantially improved robustness and generalization performance compared to the state-of-the-art.Comment: 10 page

Off-Policy Evaluation of Probabilistic Identity Data in Lookalike Modeling

We evaluate the impact of probabilistically-constructed digital identity data collected from Sep. to Dec. 2017 (approx.), in the context of Lookalike-targeted campaigns. The backbone of this study is a large set of probabilistically-constructed "identities", represented as small bags of cookies and mobile ad identifiers with associated metadata, that are likely all owned by the same underlying user. The identity data allows to generate "identity-based", rather than "identifier-based", user models, giving a fuller picture of the interests of the users underlying the identifiers. We employ off-policy techniques to evaluate the potential of identity-powered lookalike models without incurring the risk of allowing untested models to direct large amounts of ad spend or the large cost of performing A/B tests. We add to historical work on off-policy evaluation by noting a significant type of "finite-sample bias" that occurs for studies combining modestly-sized datasets and evaluation metrics involving rare events (e.g., conversions). We illustrate this bias using a simulation study that later informs the handling of inverse propensity weights in our analyses on real data. We demonstrate significant lift in identity-powered lookalikes versus an identity-ignorant baseline: on average ~70% lift in conversion rate. This rises to factors of ~(4-32)x for identifiers having little data themselves, but that can be inferred to belong to users with substantial data to aggregate across identifiers. This implies that identity-powered user modeling is especially important in the context of identifiers having very short lifespans (i.e., frequently churned cookies). Our work motivates and informs the use of probabilistically-constructed identities in marketing. It also deepens the canon of examples in which off-policy learning has been employed to evaluate the complex systems of the internet economy.Comment: Accepted by WSDM 201