The problem of measuring the true incremental effectiveness of a digital advertising campaign is of increasing importance to marketers. With a large and increasing percentage of digital advertising delivered via Demand-Side-Platforms (DSPs) executing campaigns via Real-Time-Bidding (RTB) auctions and programmatic approaches, a measurement solution that satisfies both advertiser concerns and the constraints of a DSP is of particular interest. MediaMath (a DSP) has developed the first practical, statistically sound randomization-based methodology for causal ad effectiveness (or Ad Lift) measurement by a DSP (or similar digital advertising execution system that may not have full control over the advertising transaction mechanisms). We describe our solution and establish its soundness within the causal framework of counterfactuals and potential outcomes, and present a Gibbs-sampling procedure for estimating confidence intervals around the estimated Ad Lift. We also address practical complications (unique to the digital advertising setting) that stem from the fact that digital advertising is targeted and measured via identifiers (e.g., cookies, mobile advertising IDs) that may not be stable over time. One such complication is the repeated occurrence of identifiers, leading to interference among observations. Another is due to the possibility of multiple identifiers being associated with the same consumer, leading to "contamination" with some of their identifiers being assigned to the Treatment group and others to the Control group. Complications such as these have severely impaired previous efforts to derive accurate measurements of lift in practice. In contrast to a few other papers on the subject, this paper has an expository aim as well, and provides a rigorous, self-contained, and readily-implementable treatment of all relevant concepts.
 We are in the middle of a remarkable rise in the use and capability of artificial intelligence. Much of this growth has been fueled by the success of deep learning architectures: models that map from observables to outputs via multiple layers of latent representations. These deep learning algorithms are effective tools for unstructured prediction, and they can be combined in AI systems to solve complex automated reasoning problems. This paper provides a recipe for combining ML algorithms to solve for causal effects in the presence of instrumental variables -- sources of treatment randomization that are conditionally independent from the response. We show that a flexible IV specification resolves into two prediction tasks that can be solved with deep neural nets: a first-stage network for treatment prediction and a second-stage network whose loss function involves integration over the conditional treatment distribution. This Deep IV framework imposes some specific structure on the stochastic gradient descent routine used for training, but it is general enough that we can take advantage of off-the-shelf ML capabilities and avoid extensive algorithm customization. We outline how to obtain out-of-sample causal validation in order to avoid over-fit. We also introduce schemes for both Bayesian and frequentist inference: the former via a novel adaptation of dropout training, and the latter via a data splitting routine. Observational studies are rising in importance due to the widespread accumulation of data in fields such as healthcare, education, employment and ecology. We consider the task of answering counterfactual questions such as, "Would this patient have lower blood sugar had she received a different medication?". We propose a new algorithmic framework for counterfactual inference which brings together ideas from domain adaptation and representation learning. In addition to a theoretical justification, we perform an empirical comparison with previous approaches to causal inference from observational data. Our deep learning algorithm significantly outperforms the previous state-of-the-art. In this paper we study the problems of estimating heterogeneity in causal eects in experimental or observational studies and conducting inference about the magnitude of the dierences in treatment eects across subsets of the population. In applications, our method provides a data-driven approach to determine which subpopulations have large or small treatment eects and to test hypotheses about the dierences in these eects. For experiments, our method allows researchers to identify heterogeneity in treatment eects that was not specied in a pre-analysis plan, without concern about invalidating inference due to multiple testing. In most of the literature on supervised machine learning (e.g. regression trees, random forests, LASSO, etc.), the goal is to build a model of the relationship between a unit’s attributes and an observed outcome. A prominent role in these methods is played by cross-validation which compares predictions to actual outcomes in test samples, in order to select the level of complexity of the model that provides the best predictive power. Our method is closely related, but it diers in that it is tailored for predicting causal eects of a treatment rather than a unit’s outcome. The challenge is that the truth" for a causal eect is not observed for any individual unit: we observe the unit with the treatment,