@inproceedings{
chen2024stochastic,
title={Stochastic Optimization Algorithms for Instrumental Variable Regression with Streaming Data},
author={Xuxing Chen and Abhishek Roy and Yifan Hu and Krishna Balasubramanian},
booktitle={The Thirty-eighth Annual Conference on Neural Information Processing Systems},
year={2024},
url={https://openreview.net/forum?id=2RS0fL7Eet}
}
We develop and analyze algorithms for instrumental variable regression by viewing the problem as a conditional stochastic optimization problem. In the context of least-squares instrumental variable regression, our algorithms neither require matrix inversions nor mini-batches thereby providing a fully online approach for performing instrumental variable regression with streaming data. When the true model is linear, we derive rates of convergence in expectation, that are of order $\mathcal{O}(\log T/T)$ and $\mathcal{O}(1/T^{1-\epsilon})$ for any $\epsilon>0$, respectively under the availability of two-sample and one-sample oracles respectively. Importantly, under the availability of the two-sample oracle, the aforementioned rate is actually agnostic to the relationship between confounder and the instrumental variable demonstrating the flexibility of the proposed approach in alleviating the need for explicit model assumptions required in recent works based on reformulating the problem as min-max optimization problems. Experimental validation is provided to demonstrate the advantages of the proposed algorithms over classical approaches like the 2SLS method.
Stochastic Optimization Algorithms for Instrumental Variable Regression with Streaming Data
Xuxing Chen Abhishek Roy Yifan Hu Krishna Balasubramanian