Estimating individual treatment effect: generalization bounds and algorithms

There is intense interest in applying machine learning to problems of causal inference in fields such as healthcare, economics and education. In particular, individual-level causal inference has important applications such as precision medicine. We give a new theoretical analysis and family of algorithms for predicting individual treatment effect (ITE) from observational data, under the assumption known as strong ignorability. The algorithms learn a "balanced" representation such that the induced treated and control distributions look similar. We give a novel, simple and intuitive generalization-error bound showing that the expected ITE estimation error of a representation is bounded by a sum of the standard generalization-error of that representation and the distance between the treated and control distributions induced by the representation. We use Integral Probability Metrics to measure distances between distributions, deriving explicit bounds for the Wasserstein and Maximum Mean Discrepancy (MMD) distances. Experiments on real and simulated data show the new algorithms match or outperform the state-of-the-art.Comment: Added name "TARNet" to refer to version with alpha = 0. Removed sup

Residual Weighted Learning for Estimating Individualized Treatment Rules

Personalized medicine has received increasing attention among statisticians, computer scientists, and clinical practitioners. A major component of personalized medicine is the estimation of individualized treatment rules (ITRs). Recently, Zhao et al. (2012) proposed outcome weighted learning (OWL) to construct ITRs that directly optimize the clinical outcome. Although OWL opens the door to introducing machine learning techniques to optimal treatment regimes, it still has some problems in performance. In this article, we propose a general framework, called Residual Weighted Learning (RWL), to improve finite sample performance. Unlike OWL which weights misclassification errors by clinical outcomes, RWL weights these errors by residuals of the outcome from a regression fit on clinical covariates excluding treatment assignment. We utilize the smoothed ramp loss function in RWL, and provide a difference of convex (d.c.) algorithm to solve the corresponding non-convex optimization problem. By estimating residuals with linear models or generalized linear models, RWL can effectively deal with different types of outcomes, such as continuous, binary and count outcomes. We also propose variable selection methods for linear and nonlinear rules, respectively, to further improve the performance. We show that the resulting estimator of the treatment rule is consistent. We further obtain a rate of convergence for the difference between the expected outcome using the estimated ITR and that of the optimal treatment rule. The performance of the proposed RWL methods is illustrated in simulation studies and in an analysis of cystic fibrosis clinical trial data.Comment: 48 pages, 3 figure