Causally Regularized Learning with Agnostic Data Selection Bias

Most of previous machine learning algorithms are proposed based on the i.i.d. hypothesis. However, this ideal assumption is often violated in real applications, where selection bias may arise between training and testing process. Moreover, in many scenarios, the testing data is not even available during the training process, which makes the traditional methods like transfer learning infeasible due to their need on prior of test distribution. Therefore, how to address the agnostic selection bias for robust model learning is of paramount importance for both academic research and real applications. In this paper, under the assumption that causal relationships among variables are robust across domains, we incorporate causal technique into predictive modeling and propose a novel Causally Regularized Logistic Regression (CRLR) algorithm by jointly optimize global confounder balancing and weighted logistic regression. Global confounder balancing helps to identify causal features, whose causal effect on outcome are stable across domains, then performing logistic regression on those causal features constructs a robust predictive model against the agnostic bias. To validate the effectiveness of our CRLR algorithm, we conduct comprehensive experiments on both synthetic and real world datasets. Experimental results clearly demonstrate that our CRLR algorithm outperforms the state-of-the-art methods, and the interpretability of our method can be fully depicted by the feature visualization.Comment: Oral paper of 2018 ACM Multimedia Conference (MM'18

Targeted Undersmoothing

This paper proposes a post-model selection inference procedure, called targeted undersmoothing, designed to construct uniformly valid confidence sets for a broad class of functionals of sparse high-dimensional statistical models. These include dense functionals, which may potentially depend on all elements of an unknown high-dimensional parameter. The proposed confidence sets are based on an initially selected model and two additionally selected models, an upper model and a lower model, which enlarge the initially selected model. We illustrate application of the procedure in two empirical examples. The first example considers estimation of heterogeneous treatment effects using data from the Job Training Partnership Act of 1982, and the second example looks at estimating profitability from a mailing strategy based on estimated heterogeneous treatment effects in a direct mail marketing campaign. We also provide evidence on the finite sample performance of the proposed targeted undersmoothing procedure through a series of simulation experiments

Causal Discovery from Temporal Data: An Overview and New Perspectives

Temporal data, representing chronological observations of complex systems, has always been a typical data structure that can be widely generated by many domains, such as industry, medicine and finance. Analyzing this type of data is extremely valuable for various applications. Thus, different temporal data analysis tasks, eg, classification, clustering and prediction, have been proposed in the past decades. Among them, causal discovery, learning the causal relations from temporal data, is considered an interesting yet critical task and has attracted much research attention. Existing casual discovery works can be divided into two highly correlated categories according to whether the temporal data is calibrated, ie, multivariate time series casual discovery, and event sequence casual discovery. However, most previous surveys are only focused on the time series casual discovery and ignore the second category. In this paper, we specify the correlation between the two categories and provide a systematical overview of existing solutions. Furthermore, we provide public datasets, evaluation metrics and new perspectives for temporal data casual discovery.Comment: 52 pages, 6 figure

Bayesian Learning in the Counterfactual World

Recent years have witnessed a surging interest towards the use of machine learning tools for causal inference. In contrast to the usual large data settings where the primary goal is prediction, many disciplines, such as health, economic and social sciences, are instead interested in causal questions. Learning individualized responses to an intervention is a crucial task in many applied fields (e.g., precision medicine, targeted advertising, precision agriculture, etc.) where the ultimate goal is to design optimal and highly-personalized policies based on individual features. In this work, I thus tackle the problem of estimating causal effects of an intervention that are heterogeneous across a population of interest and depend on an individual set of characteristics (e.g., a patient's clinical record, user's browsing history, etc..) in high-dimensional observational data settings. This is done by utilizing Bayesian Nonparametric or Probabilistic Machine Learning tools that are specifically adjusted for the causal setting and have desirable uncertainty quantification properties, with a focus on the issues of interpretability/explainability and inclusion of domain experts' prior knowledge. I begin by introducing terminology and concepts from causality and causal reasoning in the first chapter. Then I include a literature review of some of the state-of-the-art regression-based methods for heterogeneous treatment effects estimation, with an attempt to build a unifying taxonomy and lay down the finite-sample empirical properties of these models. The chapters forming the core of the dissertation instead present some novel methods addressing existing issues in individualized causal effects estimation: Chapter 3 develops both a Bayesian tree ensemble method and a deep learning architecture to tackle interpretability, uncertainty coverage and targeted regularization; Chapter 4 instead introduces a novel multi-task Deep Kernel Learning method particularly suited for multi-outcome | multi-action scenarios. The last chapter concludes with a discussion