Adaptive Budgeted Data Acquisition for Robust Off-Policy Evaluation from Multiple Loggers

Amitakshar Biswas, Ruoqing Zhu

We consider off-policy evaluation when additional data can be purchased from several existing logging policies (or loggers) with heterogeneous costs per observation. While existing work on multiple loggers presumes a fixed number of observations from each logger, we study how to allocate a limited budget across them sequentially to evaluate a finite class of target policies. We propose Adaptive Greedy, an algorithm that purchases observations sequentially from the affordable logger that has the most cost-normalized variance reduction across the target policies. It turns out that each such purchase is an 'approximate conditional-gradient step' for the corresponding design problem. Under mild assumptions, we establish that the empirical allocation converges almost surely to the optimal design at an explicit rate. We also derive the asymptotic normality of the final pooled estimator and show that it attains the semiparametric efficiency bound. Simulations and a semi-synthetic application based on the AIDS Clinical Trials Group Study 175 show that Adaptive Greedy outperforms standard allocation strategies, remains accurate if stopped early, and matches the final accuracy of repeated…