Q-Learning#

Main Idea#

Early in 2000, as a classic method of Reinforcement Learning, Q-learning was adapted to decision-making problems[1] and kept evolving with various extensions, such as penalized Q-learning [2]. Q-learning with finite decision points is mainly a regression modeling problem based on positing regression models for outcome at each decision point. The target of Q-learning is to find an optimal policy \(\pi\) that can maximize the expected reward received. In other words, by training a model with the observed data, we hope to find an optimal policy to predict the optimal action for each individual to maximize rewards. For example, considering the motivating example Personalized Incentives, Q-learning aims to find the best policy to assign different incentives (\(A\)) to different users to optimize the return-on-investment (\(R\)). Overall, Q-learning is practical and easy to understand, as it allows straightforward implementation of diverse established regression methods.

Note that, we assume the action space is either binary (i.e., 0,1) or multinomial (i.e., A,B,C,D), and the outcome of interest R is continuous and non-negative, where the larger the \(R\) the better.

Algorithm Details#

Q-learning with a single decision point is mainly a regression modeling problem, as the major component is to find the relationship between the expectation of potential reward \(R(a)\) and \(\{\boldsymbol{s},a\}\). Let’s first define a Q-function, such that

(65)#\[\begin{align} Q(\boldsymbol{s},a) = E(R(a)|\boldsymbol{S}=\boldsymbol{s}). \end{align}\]
(66)#\[\begin{align} \text{arg max}_{\pi}Q(\boldsymbol{s}_{i},\pi(\boldsymbol{s}_{i})). \end{align}\]

Key Steps#

Policy Learning:

  1. Fitted a model \(\hat{Q}(\boldsymbol{s},a,\hat{\boldsymbol{\beta}})\), which can be solved directly by existing approaches (i.e., OLS, .etc),

  2. For each individual find the optimal action \(d^{opt}(\boldsymbol{s}_{i})\) such that \(d^{opt}(\boldsymbol{s}_{i}) = \text{arg max}_{a}\hat{Q}(\boldsymbol{s}_{i},a,\hat{\boldsymbol{\beta}})\).

Policy Evaluation:

  1. Fitted the Q function \(\hat{Q}(\boldsymbol{s},a,\hat{\boldsymbol{\beta}})\), based on the sampled dataset

  2. Estimated the value of a given regime \(d\) (i.e., \(V(d)\)) using the estimated Q function, such that, \(\hat{E}(R_{i}[d(\boldsymbol{s}_{i})]) = \hat{Q}(\boldsymbol{s}_{i},d(\boldsymbol{s}_{i}),\hat{\boldsymbol{\beta}})\), and \(\hat{V}(d) = \frac{1}{N}\sum_{i=1}^{N}\hat{E}(R_{i}[d(\boldsymbol{s}_{i})])\).

Note we also provide an option for bootstrapping. Particularly, for a given policy, we utilize bootstrap resampling to get the estimated value of the regime and the corresponding estimated standard error. For each round of bootstrapping, we first resample a dataset of the same size as the original dataset, then fit the Q function based on the sampled dataset, and finally estimate the value of a given regime based on the estimated Q function.

Demo Code#

In the following, we exhibit how to apply the learner on real data to do policy learning and policy evaluation, respectively.

1. Policy Learning#

# import learner
from causaldm._util_causaldm import *
from causaldm.learners.CPL13.disc import QLearning

# get the data
S,A,R = get_data(target_col = 'spend', binary_trt = False)

#1. specify the model you would like to use
# If want to include all the variable in S and A with no specific model structure, then use "Y~."
# Otherwise, specify the model structure by hand
# Note: if the action space is not binary, use C(A) in the model instead of A
model_info = [{"model": "Y~C(A)*(recency+history)", #default is add an intercept!!!
              'action_space':{'A':[0,1,2]}}]

By specifing the model_info, we assume a regression model that:

(67)#\[\begin{align} Q(\boldsymbol{s},a,\boldsymbol{\beta}) &= \beta_{00}+\beta_{01}*recency+\beta_{02}*history\\ &+I(a=1)*\{\beta_{10}+\beta_{11}*recency+\beta_{12}*history\} \\ &+I(a=2)*\{\beta_{20}+\beta_{21}*recency+\beta_{22}*history\} \end{align}\]
#2. initialize the learner
QLearn = QLearning.QLearning()
#3. train the policy
QLearn.train(S, A, R, model_info, T=1)

{0: <statsmodels.regression.linear_model.RegressionResultsWrapper at 0x25eadf82910>}

#4. recommend action
opt_d = QLearn.recommend_action(S).value_counts()
#5. get the estimated value of the optimal regime
V_hat = QLearn.predict_value(S)
print("fitted model:",QLearn.fitted_model[0].params)
print("opt regime:",opt_d)
print("opt value:",V_hat)

fitted model: Intercept            94.202956
C(A)[T.1]            23.239801
C(A)[T.2]            20.611375
recency               4.526133
C(A)[T.1]:recency    -4.152892
C(A)[T.2]:recency    -4.843148
history               0.000549
C(A)[T.1]:history     0.007584
C(A)[T.2]:history     0.000416
dtype: float64
opt regime: A
1    371
0    207
dtype: int64
opt value: 126.48792828230197

Interpretation: the fitted model is

(68)#\[\begin{align} Q(\boldsymbol{s},a,\boldsymbol{\beta}) &= 94.20+4.53*recency+0.0005*history\\ &+I(a=1)*\{23.24-4.15*recency+0.0076*history\} \\ &+I(a=2)*\{20.61-4.84*recency+0.0004history\}. \end{align}\]

Therefore, the estimated optimal regime is:

  1. We would recommend \(A=0\) (No E-mail) if \(23.24-4.15*recency+0.0076*history<0\) and \(20.61-4.84*recency+0.0004history<0\)

  2. Else, we would recommend \(A=1\) (Womens E-mail) if \(23.24-4.15*recency+0.0076*history>20.61-4.84*recency+0.0004history\)

  3. Else, we would recommend \(A=2\) (Mens E-Mail).

The estimated value for the estimated optimal regime is 126.49.

# Optional: 
#we also provide a bootstrap standard deviaiton of the optimal value estimation
# Warning: results amay not be reliable
QLearn = QLearning.QLearning()
model_info = [{"model": "Y~C(A)*(recency+history)", #default is add an intercept!!!
              'action_space':{'A':[0,1,2]}}]
QLearn.train(S, A, R, model_info, T=1, bootstrap = True, n_bs = 200)
fitted_params,fitted_value,value_avg,value_std,params=QLearn.predict_value_boots(S)
print('Value_hat:',value_avg,'Value_std:',value_std)

Value_hat: 132.06899229590096 Value_std: 7.135681078585092

Interpretation: Based on the boostrap with 200 replicates, the ‘Value_hat’ is the estimated optimal value, and the ‘Value_std’ is the corresponding standard error.

2. Policy Evaluation#

#1. specify the fixed regime to be tested (For example, regime d = 'No E-Mail' for all subjects)
# !! IMPORTANT： index shold be the same as that of the S
N=len(S)
regime = pd.DataFrame({'A':[0]*N}).set_index(S.index)
#2. evaluate the regime
QLearn = QLearning.QLearning()
model_info = [{"model": "Y~C(A)*(recency+history)", #default is add an intercept!!!
              'action_space':{'A':[0,1,2]}}]
QLearn.train(S, A, R, model_info, T=1, regime = regime, evaluate = True)
QLearn.predict_value(S)

116.40675465960962

Interpretation: the estimated value of the regime that always sends no emails (\(A=0\)) is 116.41, under the specified model.

# Optional: Boostrap
QLearn.train(S, A, R, model_info, T=1, regime = regime, evaluate = True, bootstrap = True, n_bs = 200)
fitted_params,fitted_value,value_avg,value_std,params=QLearn.predict_value_boots(S)
# bootstrap average and the std of estimate value
print('Value_hat:',value_avg,'Value_std:',value_std)

Value_hat: 116.48430501187559 Value_std: 9.160292274985567

Interpretation: the ‘Value_hat’ is the bootstrapped estimated value of the regime that always sends no emails, and the ‘Value_std’ is the correspoding bootstrapped standard error, under the specified model.

  • 💥1. estimate the standard error for the binary case with sandwich formula;

  • 💥2. inference for the estimated optimal regime: projected confidence interval? m-out-of-n CI?….

References#

  1. Murphy, S. A. (2005). A generalization error for Q-learning.

  2. Song, R., Wang, W., Zeng, D., & Kosorok, M. R. (2015). Penalized q-learning for dynamic treatment regimens. Statistica Sinica, 25(3), 901.