Tuning Causal Discovery Algorithms
Proceedings of the 10th International Conference on Probabilistic Graphical Models, PMLR 138:17-28, 2020.
There are numerous algorithms proposed in the literature for learning causal graphical probabilistic models. Each one of them is typically equipped with one or more tuning hyper-parameters. The choice of optimal algorithm and hyper-parameter values is not universal; it depends on the size of the network, the density of the true causal structure, the sample size, as well as the metric of quality of learning a causal structure. Thus, the challenge to a practitioner is how to “tune” these choices, given that the true graph is unknown and the learning task is unsupervised. In the paper, we evaluate two previously proposed methods for tuning, one based on stability of the learned structure under perturbations (bootstrapping) of the input data and the other based on balancing the in-sample fitting of the model with the model complexity. We propose and comparatively evaluate a new method that treats a causal model as a set of predictive models: one for each node given its Markov Blanket. It then tunes the choices using out-of-sample protocols for supervised methods such as cross-validation. The proposed method performs on par or better than the previous methods for most metrics.