Instrumental variables (IVs) can be used to provide evidence as to whether a treatment X has a causal effect on Y. Z is a valid instrument if it satisfies the three core IV assumptions of relevance, independence and the exclusion restriction. Even if the instrument satisfies these assumptions, further assumptions are required to estimate the average causal effect (ACE) of X on Y. Sufficient assumptions for this include: homogeneity in the causal effect of X on Y; homogeneity in the association of Z with X; and No Effect Modification (NEM). Here, we describe the NO Simultaneous Heterogeneity (NOSH) assumption, which requires the heterogeneity in the X-Y causal effect to be independent of both Z and heterogeneity in the Z-X association. We describe the necessary conditions for NOSH to hold, in which case conventional IV methods are consistent for the ACE even if both homogeneity assumptions and NEM are violated. We illustrate these ideas using simulations and by re-examining selected published studies.
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Reinforcement Learning (RL) has the promise of providing data-driven support for decision-making in a wide range of problems in healthcare, education, business, and other domains. Classical RL methods focus on the mean of the total return and, thus, may provide misleading results in the setting of the heterogeneous populations that commonly underlie large-scale datasets. We introduce the K-Heterogeneous Markov Decision Process (K-Hetero MDP) to address sequential decision problems with population heterogeneity. We propose the Auto-Clustered Policy Evaluation (ACPE) for estimating the value of a given policy, and the Auto-Clustered Policy Iteration (ACPI) for estimating the optimal policy in a given policy class. Our auto-clustered algorithms can automatically detect and identify homogeneous sub-populations, while estimating the Q function and the optimal policy for each sub-population. We establish convergence rates and construct confidence intervals for the estimators obtained by the ACPE and ACPI. We present simulations to support our theoretical findings, and we conduct an empirical study on the standard MIMIC-III dataset. The latter analysis shows evidence of value heterogeneity and confirms the advantages of our new method.
We study regression adjustments with additional covariates in randomized experiments under covariate-adaptive randomizations (CARs) when subject compliance is imperfect. We develop a regression-adjusted local average treatment effect (LATE) estimator that is proven to improve efficiency in the estimation of LATEs under CARs. Our adjustments can be parametric in linear and nonlinear forms, nonparametric, and high-dimensional. Even when the adjustments are misspecified, our proposed estimator is still consistent and asymptotically normal, and their inference method still achieves the exact asymptotic size under the null. When the adjustments are correctly specified, our estimator achieves the minimum asymptotic variance. When the adjustments are parametrically misspecified, we construct a new estimator which is weakly more efficient than linearly and nonlinearly adjusted estimators, as well as the one without any adjustments. Simulation evidence and empirical application confirm efficiency gains achieved by regression adjustments relative to both the estimator without adjustment and the standard two-stage least squares estimator.
Identifiable Energy-based Representations: An Application to Estimating Heterogeneous Causal Effects
Conditional average treatment effects (CATEs) allow us to understand the effect heterogeneity across a large population of individuals. However, typical CATE learners assume all confounding variables are measured in order for the CATE to be identifiable. This requirement can be satisfied by collecting many variables, at the expense of increased sample complexity for estimating CATEs. To combat this, we propose an energy-based model (EBM) that learns a low-dimensional representation of the variables by employing a noise contrastive loss function. With our EBM we introduce a preprocessing step that alleviates the dimensionality curse for any existing learner developed for estimating CATEs. We prove that our EBM keeps the representations partially identifiable up to some universal constant, as well as having universal approximation capability. These properties enable the representations to converge and keep the CATE estimates consistent. Experiments demonstrate the convergence of the representations, as well as show that estimating CATEs on our representations performs better than on the variables or the representations obtained through other dimensionality reduction methods.
We consider the problem of causal discovery (structure learning) from heterogeneous observational data. Most existing methods assume a homogeneous sampling scheme, which leads to misleading conclusions when violated in many applications. To this end, we propose a novel approach that exploits data heterogeneity to infer possibly cyclic causal structures from causally insufficient systems. The core idea is to model the direct causal effects as functions of exogenous covariates that properly explain data heterogeneity. We investigate structure identifiability properties of the proposed model. Structure learning is carried out in a fully Bayesian fashion, which provides natural uncertainty quantification. We demonstrate its utility through extensive simulations and a real-world application.
Researchers may use a sketch of data of size $m$ instead of the full sample of size $n$ sometimes to relieve computation burden, and other times to maintain data privacy. This paper considers the case when full sample estimation would have required the Eicker-Huber-White robust standard errors to account for heteroskedasticity. We show that random projections have a smoothing effect on the sketched data, with the consequence that the least squares estimates using such sketched data behave 'as if' the errors were homoskedastic. This result is obtained by expressing the difference between the moments computed from the full sample and the sketched data as a degenerate $U$-statistic which is asymptotically normal with a homoskedastic variance when the conditions in Hall (1984) are satisfied. This result also holds for two-stage least squares for which algorithmic and statistical properties are analyzed. Sketches produced by random sampling will not, however, have the effect of homogenizing the error variances.
We study constrained reinforcement learning (CRL) from a novel perspective by setting constraints directly on state density functions, rather than the value functions considered by previous works. State density has a clear physical and mathematical interpretation, and is able to express a wide variety of constraints such as resource limits and safety requirements. Density constraints can also avoid the time-consuming process of designing and tuning cost functions required by value function-based constraints to encode system specifications. We leverage the duality between density functions and Q functions to develop an effective algorithm to solve the density constrained RL problem optimally and the constrains are guaranteed to be satisfied. We prove that the proposed algorithm converges to a near-optimal solution with a bounded error even when the policy update is imperfect. We use a set of comprehensive experiments to demonstrate the advantages of our approach over state-of-the-art CRL methods, with a wide range of density constrained tasks as well as standard CRL benchmarks such as Safety-Gym.
Imitation learning seeks to circumvent the difficulty in designing proper reward functions for training agents by utilizing expert behavior. With environments modeled as Markov Decision Processes (MDP), most of the existing imitation algorithms are contingent on the availability of expert demonstrations in the same MDP as the one in which a new imitation policy is to be learned. In this paper, we study the problem of how to imitate tasks when there exist discrepancies between the expert and agent MDP. These discrepancies across domains could include differing dynamics, viewpoint, or morphology; we present a novel framework to learn correspondences across such domains. Importantly, in contrast to prior works, we use unpaired and unaligned trajectories containing only states in the expert domain, to learn this correspondence. We utilize a cycle-consistency constraint on both the state space and a domain agnostic latent space to do this. In addition, we enforce consistency on the temporal position of states via a normalized position estimator function, to align the trajectories across the two domains. Once this correspondence is found, we can directly transfer the demonstrations on one domain to the other and use it for imitation. Experiments across a wide variety of challenging domains demonstrate the efficacy of our approach.
Training datasets for machine learning often have some form of missingness. For example, to learn a model for deciding whom to give a loan, the available training data includes individuals who were given a loan in the past, but not those who were not. This missingness, if ignored, nullifies any fairness guarantee of the training procedure when the model is deployed. Using causal graphs, we characterize the missingness mechanisms in different real-world scenarios. We show conditions under which various distributions, used in popular fairness algorithms, can or can not be recovered from the training data. Our theoretical results imply that many of these algorithms can not guarantee fairness in practice. Modeling missingness also helps to identify correct design principles for fair algorithms. For example, in multi-stage settings where decisions are made in multiple screening rounds, we use our framework to derive the minimal distributions required to design a fair algorithm. Our proposed algorithm decentralizes the decision-making process and still achieves similar performance to the optimal algorithm that requires centralization and non-recoverable distributions.
This paper focuses on the expected difference in borrower's repayment when there is a change in the lender's credit decisions. Classical estimators overlook the confounding effects and hence the estimation error can be magnificent. As such, we propose another approach to construct the estimators such that the error can be greatly reduced. The proposed estimators are shown to be unbiased, consistent, and robust through a combination of theoretical analysis and numerical testing. Moreover, we compare the power of estimating the causal quantities between the classical estimators and the proposed estimators. The comparison is tested across a wide range of models, including linear regression models, tree-based models, and neural network-based models, under different simulated datasets that exhibit different levels of causality, different degrees of nonlinearity, and different distributional properties. Most importantly, we apply our approaches to a large observational dataset provided by a global technology firm that operates in both the e-commerce and the lending business. We find that the relative reduction of estimation error is strikingly substantial if the causal effects are accounted for correctly.
Discrete random structures are important tools in Bayesian nonparametrics and the resulting models have proven effective in density estimation, clustering, topic modeling and prediction, among others. In this paper, we consider nested processes and study the dependence structures they induce. Dependence ranges between homogeneity, corresponding to full exchangeability, and maximum heterogeneity, corresponding to (unconditional) independence across samples. The popular nested Dirichlet process is shown to degenerate to the fully exchangeable case when there are ties across samples at the observed or latent level. To overcome this drawback, inherent to nesting general discrete random measures, we introduce a novel class of latent nested processes. These are obtained by adding common and group-specific completely random measures and, then, normalising to yield dependent random probability measures. We provide results on the partition distributions induced by latent nested processes, and develop an Markov Chain Monte Carlo sampler for Bayesian inferences. A test for distributional homogeneity across groups is obtained as a by product. The results and their inferential implications are showcased on synthetic and real data.
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