Causal effect estimation aims at estimating the Average Treatment Effect as well as the Conditional Average Treatment Effect of a treatment to an outcome from the available data. This knowledge is important in many safety-critical domains, where it often needs to be extracted from observational data. In this work, we propose a new causal inference model, named C-XGBoost, for the prediction of potential outcomes. The motivation of our approach is to exploit the superiority of tree-based models for handling tabular data together with the notable property of causal inference neural network-based models to learn representations that are useful for estimating the outcome for both the treatment and non-treatment cases. The proposed model also inherits the considerable advantages of XGBoost model such as efficiently handling features with missing values requiring minimum preprocessing effort, as well as it is equipped with regularization techniques to avoid overfitting/bias. Furthermore, we propose a new loss function for efficiently training the proposed causal inference model. The experimental analysis, which is based on the performance profiles of Dolan and Mor{é} as well as on post-hoc and non-parametric statistical tests, provide strong evidence about the effectiveness of the proposed approach.
Gilead Sciences, Inc.（吉利德科学公司）；Fred Hutchinson Cancer Center（弗雷德·哈钦森癌症中心）；University of Washington（华盛顿大学）
Heterogeneous treatment effects (HTE) based on patients' genetic or clinical factors are of significant interest to precision medicine. Simultaneously modeling HTE and corresponding main effects for randomized clinical trials with high-dimensional predictive markers is challenging. Motivated by the modified covariates approach, we propose a two-stage statistical learning procedure for estimating HTE with optimal efficiency augmentation, generalizing to arbitrary interaction model and exploiting powerful extreme gradient boosting trees (XGBoost). Target estimands for HTE are defined in the scal…
We study the performance of Local Causal Discovery (LCD), a simple and efficient constraint-based method for causal discovery, in predicting causal effects in large-scale gene expression data. We construct practical estimators specific to the high-dimensional regime. Inspired by the ICP algorithm, we use an optional preselection method and two different statistical tests. Empirically, the resulting LCD estimator is seen to closely approach the accuracy of ICP, the state-of-the-art method, while it is algorithmically simpler and computationally more efficient.
Recent advances in the literature have demonstrated that standard supervised learning algorithms are ill-suited for problems with endogenous explanatory variables. To correct for the endogeneity bias, many variants of nonparameteric instrumental variable regression methods have been developed. In this paper, we propose an alternative algorithm called boostIV that builds on the traditional gradient boosting algorithm and corrects for the endogeneity bias. The algorithm is very intuitive and resembles an iterative version of the standard 2SLS estimator. Moreover, our approach is data driven, mea…
National University of Singapore（新加坡国立大学）；Tsinghua University（清华大学）；Renmin University of China（中国人民大学）；University of Science and Technology of China（中国科学技术大学）；Hefei Comprehensive National Science Center（合肥综合性国家科学中心）
Under stringent model type and variable distribution assumptions, differentiable score-based causal discovery methods learn a directed acyclic graph (DAG) from observational data by evaluating candidate graphs over an average score function. Despite great success in low-dimensional linear systems, it has been observed that these approaches overly exploit easier-to-fit samples, thus inevitably learning spurious edges. Worse still, inherent mostly in these methods the common homogeneity assumption can be easily violated, due to the widespread existence of heterogeneous data in the real world, re…
State-of-the-art implementations of boosting, such as XGBoost and LightGBM, can process large training sets extremely fast. However, this performance requires that the memory size is sufficient to hold a 2-3 multiple of the training set size. This paper presents an alternative approach to implementing the boosted trees, which achieves a significant speedup over XGBoost and LightGBM, especially when the memory size is small. This is achieved using a combination of three techniques: early stopping, effective sample size, and stratified sampling. Our experiments demonstrate a 10-100 speedup over …
Institute of Computer Science, Polish Academy of Sciences（波兰科学院计算机科学研究所）
Uplift modeling is an area of machine learning which aims at predicting the causal effect of some action on a given individual. The action may be a medical procedure, marketing campaign, or any other circumstance controlled by the experimenter. Building an uplift model requires two training sets: the treatment group, where individuals have been subject to the action, and the control group, where no action has been performed. An uplift model allows then to assess the gain resulting from taking the action on a given individual, such as the increase in probability of patient recovery or of a prod…
Xidian University（西安电子科技大学）；Fuzhou University（福州大学）；National Institute of Technology Kurukshetra（库鲁克谢特拉国家技术学院）
The application of federated extreme gradient boosting to mobile crowdsensing apps brings several benefits, in particular high performance on efficiency and classification. However, it also brings a new challenge for data and model privacy protection. Besides it being vulnerable to Generative Adversarial Network (GAN) based user data reconstruction attack, there is not the existing architecture that considers how to preserve model privacy. In this paper, we propose a secret sharing based federated learning architecture FedXGB to achieve the privacy-preserving extreme gradient boosting for mobi…
Insurers are increasingly adopting more demand-based strategies to incorporate the indirect effect of premium changes on their policyholders' willingness to stay. However, since in practice both insurers' renewal premia and customers' responses to these premia typically depend on the customer's level of risk, it remains challenging in these strategies to determine how to properly control for this confounding. We therefore consider a causal inference approach in this paper to account for customers' price sensitivity and to deduce optimal, multi-period profit maximizing premium renewal offers. M…
University of Waikato（怀卡托大学）；Télécom ParisTech（巴黎高等电信学院）；Institut Polytechnique de Paris（巴黎理工学院）
Boosting is an ensemble method that combines base models in a sequential manner to achieve high predictive accuracy. A popular learning algorithm based on this ensemble method is eXtreme Gradient Boosting (XGB). We present an adaptation of XGB for classification of evolving data streams. In this setting, new data arrives over time and the relationship between the class and the features may change in the process, thus exhibiting concept drift. The proposed method creates new members of the ensemble from mini-batches of data as new data becomes available. The maximum ensemble size is fixed, but …
An information theoretic approach to learning the complexity of classification and regression trees and the number of trees in gradient tree boosting is proposed. The optimism (test loss minus training loss) of the greedy leaf splitting procedure is shown to be the maximum of a Cox-Ingersoll-Ross process, from which a generalization-error based information criterion is formed. The proposed procedure allows fast local model selection without cross validation based hyper parameter tuning, and hence efficient and automatic comparison among the large number of models performed during each boosting…
Accurately predicting customer churn using large scale time-series data is a common problem facing many business domains. The creation of model features across various time windows for training and testing can be particularly challenging due to temporal issues common to time-series data. In this paper, we will explore the application of extreme gradient boosting (XGBoost) on a customer dataset with a wide-variety of temporal features in order to create a highly-accurate customer churn model. In particular, we describe an effective method for handling temporally sensitive feature engineering. T…
Binary Classification: Is Boosting stronger than Bagging?
Massachusetts Institute of Technology（麻省理工学院）；Operations Research Center, Massachusetts Institute of Technology（麻省理工学院运筹学中心）；Sloan School of Management, Massachusetts Institute of Technology（麻省理工学院斯隆管理学院）
本文提出 Enhanced Random Forests，通过自适应样本权重与个性化树权重，在 15 个二分类数据集上以默认超参数达到或超过 XGBoost，并利用树重要性恢复部分可解释性。
agtboost is an R package implementing fast gradient tree boosting computations in a manner similar to other established frameworks such as xgboost and LightGBM, but with significant decreases in computation time and required mathematical and technical knowledge. The package automatically takes care of split/no-split decisions and selects the number of trees in the gradient tree boosting ensemble, i.e., agtboost adapts the complexity of the ensemble automatically to the information in the data. All of this is done during a single training run, which is made possible by utilizing developments in…
University of Wisconsin-Madison（威斯康星大学麦迪逊分校）；Eli Lilly and Company（礼来公司）；Columbia University（哥伦比亚大学）
We present nonparametric algorithms for estimating optimal individualized treatment rules. The proposed algorithms are based on the XGBoost algorithm, which is known as one of the most powerful algorithms in the machine learning literature. Our main idea is to model the conditional mean of clinical outcome or the decision rule via additive regression trees, and use the boosting technique to estimate each single tree iteratively. Our approaches overcome the challenge of correct model specification, which is required in current parametric methods. The major contribution of our proposed algorithm…
Sloan School of Management and Operations Research Center（斯隆管理学院和运筹学研究中心）；Massachusetts Institute of Technology（麻省理工学院）；Operations Research Center（运筹学研究中心）
Gradient boosting decision trees (GBDTs) have seen widespread adoption in academia, industry and competitive data science due to their state-of-the-art performance in many machine learning tasks. One relative downside to these models is the large number of hyper-parameters that they expose to the end-user. To maximize the predictive power of GBDT models, one must either manually tune the hyper-parameters, or utilize automated techniques such as those based on Bayesian optimization. Both of these approaches are time-consuming since they involve repeatably training the model for different sets o…
Gradient Regularized Newton Boosting Trees with Global Convergence
Department of Mathematics, Imperial College London, UK（帝国理工学院伦敦数学系）；School of Computer Science, University of St. Gallen, Switzerland（圣加尔登大学计算机科学学院）；Department of Mathematics, Stockholm University, Sweden（斯德哥尔摩大学数学系）
Parallel gradient boosting for flexible estimation of conditional distributions
Université Paris-Saclay（巴黎萨克雷大学）；UVSQ（凡尔赛圣康丁伊夫林大学）；Inserm（法国国家健康与医学研究院）；CESP（健康与医学研究中心）；Université Paris Cité（巴黎西岱大学）；ENS Paris-Saclay（巴黎萨克雷高等师范学院）；CNRS（法国国家科学研究中心）；SSA（法国军队卫生服务局）；Centre Borelli（博雷利中心）；École du Val-de-Grâce（瓦尔-德-格拉斯学校）；Service de Santé des Armées（法国军队卫生服务局）
University of California, Davis（加州大学戴维斯分校）；Google Research（谷歌研究院）
In this paper, we present a novel massively parallel algorithm for accelerating the decision tree building procedure on GPUs (Graphics Processing Units), which is a crucial step in Gradient Boosted Decision Tree (GBDT) and random forests training. Previous GPU based tree building algorithms are based on parallel multi-scan or radix sort to find the exact tree split, and thus suffer from scalability and performance issues. We show that using a histogram based algorithm to approximately find the best split is more efficient and scalable on GPU. By identifying the difference between classical GPU…
This paper compares the performance of various data processing methods in terms of predictive performance for structured data. This paper also seeks to identify and recommend preprocessing methodologies for tree-based binary classification models, with a focus on eXtreme Gradient Boosting (XGBoost) models. Three data sets of various structures, interactions, and complexity were constructed, which were supplemented by a real-world data set from the Lending Club. We compare several methods for feature selection, categorical handling, and null imputation. Performance is assessed using relative co…
University of Maryland, College Park（马里兰大学帕克分校）；Capital One（第一资本金融公司）
Tabular data underpins numerous high-impact applications of machine learning from fraud detection to genomics and healthcare. Classical approaches to solving tabular problems, such as gradient boosting and random forests, are widely used by practitioners. However, recent deep learning methods have achieved a degree of performance competitive with popular techniques. We devise a hybrid deep learning approach to solving tabular data problems. Our method, SAINT, performs attention over both rows and columns, and it includes an enhanced embedding method. We also study a new contrastive self-superv…
The economic and banking importance of the small and medium enterprise (SME) sector is well recognized in contemporary society. Business credit loans are very important for the operation of SMEs, and the revenue is a key indicator of credit limit management. Therefore, it is very beneficial to construct a reliable revenue forecasting model. If the uncertainty of an enterprise's revenue forecasting can be estimated, a more proper credit limit can be granted. Natural gradient boosting approach, which estimates the uncertainty of prediction by a multi-parameter boosting algorithm based on the nat…
