Causal Q-Aggregation for CATE Model Selection

Hui Lan, Vasilis Syrgkanis
Proceedings of The 27th International Conference on Artificial Intelligence and Statistics, PMLR 238:4366-4374, 2024.

Abstract

Accurate estimation of conditional average treatment effects (CATE) is at the core of personalized decision making. While there is a plethora of models for CATE estimation, model selection is a non-trivial task, due to the fundamental problem of causal inference. Recent empirical work provides evidence in favor of proxy loss metrics with double robust properties and in favor of model ensembling. However, theoretical understanding is lacking. Direct application of prior theoretical works leads to suboptimal oracle model selection rates due to the non-convexity of the model selection problem. We provide regret rates for the major existing CATE ensembling approaches and propose a new CATE model ensembling approach based on $Q$-aggregation using the doubly robust loss. Our main result shows that causal $Q$-aggregation achieves statistically optimal oracle model selection regret rates of $\log(M)/n$ (with $M$ models and $n$ samples), with the addition of higher-order estimation error terms related to products of errors in the nuisance functions. Crucially, our regret rate does not require that any of the candidate CATE models be close to the truth. We validate our new method on many semi-synthetic datasets and also provide extensions of our work to CATE model selection with instrumental variables and unobserved confounding.

Cite this Paper


BibTeX
@InProceedings{pmlr-v238-lan24a, title = {Causal {Q}-Aggregation for {CATE} Model Selection}, author = {Lan, Hui and Syrgkanis, Vasilis}, booktitle = {Proceedings of The 27th International Conference on Artificial Intelligence and Statistics}, pages = {4366--4374}, year = {2024}, editor = {Dasgupta, Sanjoy and Mandt, Stephan and Li, Yingzhen}, volume = {238}, series = {Proceedings of Machine Learning Research}, month = {02--04 May}, publisher = {PMLR}, pdf = {https://proceedings.mlr.press/v238/lan24a/lan24a.pdf}, url = {https://proceedings.mlr.press/v238/lan24a.html}, abstract = {Accurate estimation of conditional average treatment effects (CATE) is at the core of personalized decision making. While there is a plethora of models for CATE estimation, model selection is a non-trivial task, due to the fundamental problem of causal inference. Recent empirical work provides evidence in favor of proxy loss metrics with double robust properties and in favor of model ensembling. However, theoretical understanding is lacking. Direct application of prior theoretical works leads to suboptimal oracle model selection rates due to the non-convexity of the model selection problem. We provide regret rates for the major existing CATE ensembling approaches and propose a new CATE model ensembling approach based on $Q$-aggregation using the doubly robust loss. Our main result shows that causal $Q$-aggregation achieves statistically optimal oracle model selection regret rates of $\log(M)/n$ (with $M$ models and $n$ samples), with the addition of higher-order estimation error terms related to products of errors in the nuisance functions. Crucially, our regret rate does not require that any of the candidate CATE models be close to the truth. We validate our new method on many semi-synthetic datasets and also provide extensions of our work to CATE model selection with instrumental variables and unobserved confounding.} }
Endnote
%0 Conference Paper %T Causal Q-Aggregation for CATE Model Selection %A Hui Lan %A Vasilis Syrgkanis %B Proceedings of The 27th International Conference on Artificial Intelligence and Statistics %C Proceedings of Machine Learning Research %D 2024 %E Sanjoy Dasgupta %E Stephan Mandt %E Yingzhen Li %F pmlr-v238-lan24a %I PMLR %P 4366--4374 %U https://proceedings.mlr.press/v238/lan24a.html %V 238 %X Accurate estimation of conditional average treatment effects (CATE) is at the core of personalized decision making. While there is a plethora of models for CATE estimation, model selection is a non-trivial task, due to the fundamental problem of causal inference. Recent empirical work provides evidence in favor of proxy loss metrics with double robust properties and in favor of model ensembling. However, theoretical understanding is lacking. Direct application of prior theoretical works leads to suboptimal oracle model selection rates due to the non-convexity of the model selection problem. We provide regret rates for the major existing CATE ensembling approaches and propose a new CATE model ensembling approach based on $Q$-aggregation using the doubly robust loss. Our main result shows that causal $Q$-aggregation achieves statistically optimal oracle model selection regret rates of $\log(M)/n$ (with $M$ models and $n$ samples), with the addition of higher-order estimation error terms related to products of errors in the nuisance functions. Crucially, our regret rate does not require that any of the candidate CATE models be close to the truth. We validate our new method on many semi-synthetic datasets and also provide extensions of our work to CATE model selection with instrumental variables and unobserved confounding.
APA
Lan, H. & Syrgkanis, V.. (2024). Causal Q-Aggregation for CATE Model Selection. Proceedings of The 27th International Conference on Artificial Intelligence and Statistics, in Proceedings of Machine Learning Research 238:4366-4374 Available from https://proceedings.mlr.press/v238/lan24a.html.

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