Estimating the effect of treatments from natural experiments, where treatments are pre-assigned, is an important and well-studied problem. We introduce a novel natural experiment dataset obtained from an early childhood literacy nonprofit. Surprisingly, applying over 20 established estimators to the dataset produces inconsistent results in evaluating the nonprofit's efficacy. To address this, we create a benchmark to evaluate estimator accuracy using synthetic outcomes, whose design was guided by domain experts. The benchmark extensively explores performance as real world conditions like sample size, treatment correlation, and propensity score accuracy vary. Based on our benchmark, we observe that the class of doubly robust treatment effect estimators, which are based on simple and intuitive regression adjustment, generally outperform other more complicated estimators by orders of magnitude. To better support our theoretical understanding of doubly robust estimators, we derive a closed form expression for the variance of any such estimator that uses dataset splitting to obtain an unbiased estimate. This expression motivates the design of a new doubly robust estimator that uses a novel loss function when fitting functions for regression adjustment. We release the dataset and benchmark in a Python package; the package is built in a modular way to facilitate new datasets and estimators.
There are many different causal effect estimators in causal inference. However, it is unclear how to choose between these estimators because there is no ground-truth for causal effects. A commonly used option is to simulate synthetic data, where the ground-truth is known. However, the best causal estimators on synthetic data are unlikely to be the best causal estimators on real data. An ideal benchmark for causal estimators would both (a) yield ground-truth values of the causal effects and (b) be representative of real data. Using flexible generative models, we provide a benchmark that both yi…
We develop constrained Bayesian estimation methods for small area problems: those requiring smoothness with respect to similarity across areas, such as geographic proximity or clustering by covariates; and benchmarking constraints, requiring (weighted) means of estimates to agree across levels of aggregation. We develop methods for constrained estimation decision-theoretically and discuss their geometric interpretation. Our constrained estimators are the solutions to tractable optimization problems and have closed-form solutions. Mean squared errors of the constrained estimators are calculated…
HomID : Benchmarking Intrinsic Dimension Estimators on Homogenous Manifolds with Anisotropic Embeddings
Joint Center for Quantum Information and Computer Science (QuICS), NIST & UMD College Park（联合量子信息与计算机科学中心（QuICS）、国家标准与技术研究院（NIST）及马里兰大学 College Park 分校）；Joint Quantum Institute (JQI), NIST & UMD College Park（联合量子研究所（JQI）、国家标准与技术研究院（NIST）及马里兰大学 College Park 分校）
Random double truncation refers a situation in which the variable of interest is observed only when it falls within two random limits. Such phenomenon occurs in many applications of Survival Analysis and Epidemiology, among many other fields. There exist several R packages to analyze doubly truncated data which implement, for instance, estimators for the cumulative distribution, the cumulative incidences of competing risks, or the regression coefficients in the Cox model. In this paper the main features of these packages are reviewed. The relative merits of the libraries are illustrated throug…
The doubly robust (DR) estimator, which consists of two nuisance parameters, the conditional mean outcome and the logging policy (the probability of choosing an action), is crucial in causal inference. This paper proposes a DR estimator for dependent samples obtained from adaptive experiments. To obtain an asymptotically normal semiparametric estimator from dependent samples with non-Donsker nuisance estimators, we propose adaptive-fitting as a variant of sample-splitting. We also report an empirical paradox that our proposed DR estimator tends to show better performances compared to other est…
We propose a new framework for designing estimators for off-policy evaluation in contextual bandits. Our approach is based on the asymptotically optimal doubly robust estimator, but we shrink the importance weights to minimize a bound on the mean squared error, which results in a better bias-variance tradeoff in finite samples. We use this optimization-based framework to obtain three estimators: (a) a weight-clipping estimator, (b) a new weight-shrinkage estimator, and (c) the first shrinkage-based estimator for combinatorial action sets. Extensive experiments in both standard and combinatoria…
Efficient low-variance gradient estimation enabled by the reparameterization trick (RT) has been essential to the success of variational autoencoders. Doubly-reparameterized gradients (DReGs) improve on the RT for multi-sample variational bounds by applying reparameterization a second time for an additional reduction in variance. Here, we develop two generalizations of the DReGs estimator and show that they can be used to train conditional and hierarchical VAEs on image modelling tasks more effectively. First, we extend the estimator to hierarchical models with several stochastic layers by sho…
Harvard Medical School（哈佛医学院）；Carnegie Mellon University（卡内基梅隆大学）；Harvard University（哈佛大学）
We study counterfactual classification as a new tool for decision-making under hypothetical (contrary to fact) scenarios. We propose a doubly-robust nonparametric estimator for a general counterfactual classifier, where we can incorporate flexible constraints by casting the classification problem as a nonlinear mathematical program involving counterfactuals. We go on to analyze the rates of convergence of the estimator and provide a closed-form expression for its asymptotic distribution. Our analysis shows that the proposed estimator is robust against nuisance model misspecification, and can a…
The consistency of doubly robust estimators relies on consistent estimation of at least one of two nuisance regression parameters. In moderate to large dimensions, the use of flexible data-adaptive regression estimators may aid in achieving this consistency. However, $n^{1/2}$-consistency of doubly robust estimators is not guaranteed if one of the nuisance estimators is inconsistent. In this paper we present a doubly robust estimator for survival analysis with the novel property that it converges to a Gaussian variable at $n^{1/2}$-rate for a large class of data-adaptive estimators of the nuis…
We consider the problem of constructing bounds on the average treatment effect (ATE) when unmeasured confounders exist but have bounded influence. Specifically, we assume that omitted confounders could not change the odds of treatment for any unit by more than a fixed factor. We derive the sharp partial identification bounds implied by this assumption by leveraging distributionally robust optimization, and we propose estimators of these bounds with several novel robustness properties. The first is double sharpness: our estimators consistently estimate the sharp ATE bounds when one of two nuisa…
Modern causal inference methods allow machine learning to be used to weaken parametric modeling assumptions. However, the use of machine learning may result in complications for inference. Doubly-robust cross-fit estimators have been proposed to yield better statistical properties. We conducted a simulation study to assess the performance of several different estimators for the average causal effect (ACE). The data generating mechanisms for the simulated treatment and outcome included log-transforms, polynomial terms, and discontinuities. We compared singly-robust estimators (g-computation, in…
National Institute of Standards and Technology (NIST)（美国国家标准与技术研究院）；École de Technologie Supérieure (ÉTS)（高等技术学院）
We provide a new generation solution to the fundamental old problem of a doubly selective fading channel estimation for orthogonal frequency division multiplexing (OFDM) systems. For systems based on OFDM, we propose a deep learning (DL)-based blind doubly selective channel estimator. This estimator does require no pilot symbols, unlike the corresponding state-of-the-art estimators, even during the estimation of a deep fading doubly selective channel. We also provide the first of its kind theory on the testing mean squared error (MSE) performance of our investigated blind OFDM channel estimato…
The Doubly Robust (DR) estimation of ATE can be carried out in 2 steps, where in the first step, the treatment and outcome are modeled, and in the second step the predictions are inserted into the DR estimator. The model misspecification in the first step has led researchers to utilize Machine Learning algorithms instead of parametric algorithms. However, existence of strong confounders and/or Instrumental Variables (IVs) can lead the complex ML algorithms to provide perfect predictions for the treatment model which can violate the positivity assumption and elevate the variance of DR estimator…
Google Brain（谷歌大脑）；New York University（纽约大学）；University of Oxford（牛津大学）；DeepMind（深度思维）
Deep latent variable models have become a popular model choice due to the scalable learning algorithms introduced by (Kingma & Welling, 2013; Rezende et al., 2014). These approaches maximize a variational lower bound on the intractable log likelihood of the observed data. Burda et al. (2015) introduced a multi-sample variational bound, IWAE, that is at least as tight as the standard variational lower bound and becomes increasingly tight as the number of samples increases. Counterintuitively, the typical inference network gradient estimator for the IWAE bound performs poorly as the number of sa…
University of Illinois Urbana-Champaign（伊利诺伊大学厄巴纳-香槟分校）
We show that on-policy policy gradient (PG) and its variance reduction variants can be derived by taking finite difference of function evaluations supplied by estimators from the importance sampling (IS) family for off-policy evaluation (OPE). Starting from the doubly robust (DR) estimator (Jiang & Li, 2016), we provide a simple derivation of a very general and flexible form of PG, which subsumes the state-of-the-art variance reduction technique (Cheng et al., 2019) as its special case and immediately hints at further variance reduction opportunities overlooked by existing literature. We analy…
Google Brain（谷歌大脑）；Georgia Institute of Technology（佐治亚理工学院）；University College London（伦敦大学学院）；University of Illinois at Urbana Champaign（伊利诺伊大学厄巴纳-香槟分校）
We investigate penalized maximum log-likelihood estimation for exponential family distributions whose natural parameter resides in a reproducing kernel Hilbert space. Key to our approach is a novel technique, doubly dual embedding, that avoids computation of the partition function. This technique also allows the development of a flexible sampling strategy that amortizes the cost of Monte-Carlo sampling in the inference stage. The resulting estimator can be easily generalized to kernel conditional exponential families. We establish a connection between kernel exponential family estimation and M…
We study the problem of off-policy critic evaluation in several variants of value-based off-policy actor-critic algorithms. Off-policy actor-critic algorithms require an off-policy critic evaluation step, to estimate the value of the new policy after every policy gradient update. Despite enormous success of off-policy policy gradients on control tasks, existing general methods suffer from high variance and instability, partly because the policy improvement depends on gradient of the estimated value function. In this work, we present a new way of off-policy policy evaluation in actor-critic, ba…
Tokyo Institute of Technology（东京工业大学）；Cornell University（康奈尔大学）；Yahoo Japan Corporation（雅虎日本公司）；Yale University（耶鲁大学）
In real-world recommender systems and search engines, optimizing ranking decisions to present a ranked list of relevant items is critical. Off-policy evaluation (OPE) for ranking policies is thus gaining a growing interest because it enables performance estimation of new ranking policies using only logged data. Although OPE in contextual bandits has been studied extensively, its naive application to the ranking setting faces a critical variance issue due to the huge item space. To tackle this problem, previous studies introduce some assumptions on user behavior to make the combinatorial item s…
This paper proposes a doubly robust two-stage semiparametric difference-in-difference estimator for estimating heterogeneous treatment effects with high-dimensional data. Our new estimator is robust to model miss-specifications and allows for, but does not require, many more regressors than observations. The first stage allows a general set of machine learning methods to be used to estimate the propensity score. In the second stage, we derive the rates of convergence for both the parametric parameter and the unknown function under a partially linear specification for the outcome equation. We a…
Offline reinforcement learning, wherein one uses off-policy data logged by a fixed behavior policy to evaluate and learn new policies, is crucial in applications where experimentation is limited such as medicine. We study the estimation of policy value and gradient of a deterministic policy from off-policy data when actions are continuous. Targeting deterministic policies, for which action is a deterministic function of state, is crucial since optimal policies are always deterministic (up to ties). In this setting, standard importance sampling and doubly robust estimators for policy value and …
Columbia University（哥伦比亚大学）；Seoul National University（首尔大学）；Shepherd23 Inc.（Shepherd23 公司）
We propose a novel contextual bandit algorithm for generalized linear rewards with an $\tilde{O}(\sqrt{κ^{-1} ϕT})$ regret over $T$ rounds where $ϕ$ is the minimum eigenvalue of the covariance of contexts and $κ$ is a lower bound of the variance of rewards. In several practical cases where $ϕ=O(d)$, our result is the first regret bound for generalized linear model (GLM) bandits with the order $\sqrt{d}$ without relying on the approach of Auer [2002]. We achieve this bound using a novel estimator called double doubly-robust (DDR) estimator, a subclass of doubly-robust (DR) estimator but with a …
We consider inference about a scalar parameter under a non-parametric model based on a one-step estimator computed as a plug in estimator plus the empirical mean of an estimator of the parameter's influence function. We focus on a class of parameters that have influence function which depends on two infinite dimensional nuisance functions and such that the bias of the one-step estimator of the parameter of interest is the expectation of the product of the estimation errors of the two nuisance functions. Our class includes many important treatment effect contrasts of interest in causal inferenc…
Department of Computer and Information Sciences, University of Pennsylvania, Philadelphia, PA, U.S.A.（宾夕法尼亚大学计算机与信息科学系）；Hal c o g lu Data Science Institute, University of California San Diego, San Diego, CA, U.S.A.（加州大学圣地亚哥分校Hal c o g lu数据科学研究所）
Incorporating External Controls for Estimating the Average Treatment Effect on the Treated with High-Dimensional Data: Retaining Double Robustness and Ensuring Double Safety
Doubly Robust Functional Representation Learning for Longitudinal Causal Inference with Irregular Histories
Academy of Life and Natural Sciences, Xi’an Jiaotong-Liverpool University（西交利物浦大学生命与自然科学学院）；Aerospace Information Research Institute, Chinese Academy of Sciences（中国科学院空天信息研究院）
Johns Hopkins University（约翰斯·霍普金斯大学）；University of Pennsylvania（宾夕法尼亚大学）
Robins et al. (2008) introduced a class of influence functions (IFs) which could be used to obtain doubly robust moment functions for the corresponding parameters. However, that class does not include the IF of parameters for which the nuisance functions are solutions to integral equations. Such parameters are particularly important in the field of causal inference, specifically in the recently proposed proximal causal inference framework of Tchetgen Tchetgen et al. (2020), which allows for estimating the causal effect in the presence of latent confounders. In this paper, we first extend the c…
