Choosing optimal (or at least better) policies is an important problem in domains from medicine to education to finance and many others. One approach to this problem is through controlled experiments trials - but controlled experiments are expensive. Hence it is important to choose the best policies on the basis of observational data. This presents two difficult challenges: (i) missing counterfactuals, and (ii) selection bias. This paper presents theoretical bounds on estimation errors of counterfactuals from observational data by making connections to domain adaptation theory. It also presents a principled way of choosing optimal policies using domain adversarial neural networks. We illustrate the effectiveness of domain adversarial training together with various features of our algorithm on a semi-synthetic breast cancer dataset and a supervised UCI dataset (Statlog).
Roughly speaking, work on counterfactual learning from observational data falls into two categories: estimation of ITEs @cite_1 @cite_2 @cite_26 and Policy Optimization @cite_23 @cite_4 . The work on ITE's aims to estimate the expected difference between outcomes for and patients, given the feature vector; this work focuses on settings with only two actions (treat don't treat) - and notes that the approaches derived do not generalize well to settings with more than two actions. The work on policy optimization aims to find a policy that maximizes the expected outcome (minimizes the risk). The policy optimization objective is somewhat easier than ITE objective in the sense that one can turn the ITE to action recommendations but not the other way around. In many applications, there are much more than @math actions; one is more interested in learning a good action rather than learning outcomes of each action for each instance.
@cite_26 @cite_4 @cite_1 @cite_23 @cite_2
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This paper proposes a novel approach for constructing effective personalized policies when the observed data lacks counter-factual information, is biased and possesses many features. The approach is applicable in a wide variety of settings from healthcare to advertising to education to finance. These settings have in common that the decision maker can observe, for each previous instance, an array of features of the instance, the action taken in that instance, and the reward realized -- but not the rewards of actions that were not taken: the counterfactual information. Learning in such settings is made even more difficult because the observed data is typically biased by the existing policy (that generated the data) and because the array of features that might affect the reward in a particular instance -- and hence should be taken into account in deciding on an action in each particular instance -- is often vast. The approach presented here estimates propensity scores for the observed data, infers counterfactuals, identifies a (relatively small) number of features that are (most) relevant for each possible action and instance, and prescribes a policy to be followed. Comparison of the proposed algorithm against the state-of-art algorithm on actual datasets demonstrates that the proposed algorithm achieves a significant improvement in performance. In many settings, a decision-maker wishes to learn a rule, or policy, that maps from observable characteristics of an individual to an action. Examples include selecting offers, prices, advertisements, or emails to send to consumers, as well as the problem of determining which medication to prescribe to a patient. While there is a growing body of literature devoted to this problem, most existing results are focused on the case where data comes from a randomized experiment, and further, there are only two possible actions, such as giving a drug to a patient or not. In this paper, we study the offline multi-action policy learning problem with observational data and where the policy may need to respect budget constraints or belong to a restricted policy class such as decision trees. We build on the theory of efficient semi-parametric inference in order to propose and implement a policy learning algorithm that achieves asymptotically minimax-optimal regret. To the best of our knowledge, this is the first result of this type in the multi-action setup, and it provides a substantial performance improvement over the existing learning algorithms. We then consider additional computational challenges that arise in implementing our method for the case where the policy is restricted to take the form of a decision tree. We propose two different approaches, one using a mixed integer program formulation and the other using a tree-search based algorithm. Choosing optimal (or at least better) policies is an important problem in domains from medicine to education to finance and many others. One approach to this problem is through controlled experiments trials - but controlled experiments are expensive. Hence it is important to choose the best policies on the basis of observational data. This presents two difficult challenges: (i) missing counterfactuals, and (ii) selection bias. This paper presents theoretical bounds on estimation errors of counterfactuals from observational data by making connections to domain adaptation theory. It also presents a principled way of choosing optimal policies using domain adversarial neural networks. We illustrate the effectiveness of domain adversarial training together with various features of our algorithm on a semi-synthetic breast cancer dataset and a supervised UCI dataset (Statlog). Estimating individualized treatment effects (ITE) is a challenging task due to the need for an individual's potential outcomes to be learned from biased data and without having access to the counterfactuals. We propose a novel method for inferring ITE based on the Generative Adversarial Nets (GANs) framework. Our method, termed Generative Adversarial Nets for inference of Individualized Treatment Effects (GANITE), is motivated by the possibility that we can capture the uncertainty in the counterfactual distributions by attempting to learn them using a GAN. We generate proxies of the counterfactual outcomes using a counterfactual generator, G, and then pass these proxies to an ITE generator, I, in order to train it. By modeling both of these using the GAN framework, we are able to infer based on the factual data, while still accounting for the unseen counterfactuals. We test our method on three real-world datasets (with both binary and multiple treatments) and show that GANITE outperforms state-of-the-art methods.