From dbb101de72c1ec99fcf0a261003f064a23bfcf76 Mon Sep 17 00:00:00 2001 From: Darren Colby Date: Sat, 22 Jun 2024 15:43:29 -0500 Subject: [PATCH 01/24] Replaced cross validation with log heuristic to select number of neurons --- docs/src/api.md | 11 +- docs/src/index.md | 6 +- src/CausalELM.jl | 1 - src/crossval.jl | 228 -------------------------------------- src/estimators.jl | 148 +++++++++++-------------- src/inference.jl | 10 +- src/metalearners.jl | 183 ++++++++---------------------- src/model_validation.jl | 8 +- src/utilities.jl | 6 - test/runtests.jl | 1 - test/test_crossval.jl | 165 --------------------------- test/test_inference.jl | 56 +++++----- test/test_metalearners.jl | 2 +- 13 files changed, 149 insertions(+), 676 deletions(-) delete mode 100644 src/crossval.jl delete mode 100644 test/test_crossval.jl diff --git a/docs/src/api.md b/docs/src/api.md index 3ccdbf86..f840feae 100644 --- a/docs/src/api.md +++ b/docs/src/api.md @@ -41,16 +41,6 @@ elish fourier ``` -## Cross Validation -```@docs -CausalELM.generate_folds -CausalELM.generate_temporal_folds -CausalELM.validation_loss -CausalELM.cross_validate -CausalELM.best_size -CausalELM.shuffle_data -``` - ## Average Causal Effect Estimators ```@docs CausalELM.g_formula! @@ -58,6 +48,7 @@ CausalELM.causal_loss! CausalELM.predict_residuals CausalELM.make_folds CausalELM.moving_average +CausalELM.generate_folds ``` ## Metalearners diff --git a/docs/src/index.md b/docs/src/index.md index 57c2583e..d4b926cb 100644 --- a/docs/src/index.md +++ b/docs/src/index.md @@ -57,9 +57,9 @@ these libraries are: flexibility for a simpler API, all of CausalELM's functionality can be used with just four lines of code. * As part of this design principle, CausalELM's estimators handle all of the work in - finding the best number of neurons during estimation. They create folds or rolling - rolling for time series data and use an extreme learning machine interpolator to find - the best number of neurons. + finding the best number of neurons during estimation. They use a simple log heuristic + for determining the number of neurons to use and automatically select the best ridge + penalty via generalized cross validation. * CausalELM's validate method, which is specific to each estimator, allows you to validate or test the sentitivity of an estimator to possible violations of identifying assumptions. * Unlike packages that do not allow you to estimate p-values and standard errors, use diff --git a/src/CausalELM.jl b/src/CausalELM.jl index f53299e0..6eb2af6a 100644 --- a/src/CausalELM.jl +++ b/src/CausalELM.jl @@ -26,7 +26,6 @@ include("utilities.jl") include("activation.jl") include("models.jl") include("metrics.jl") -include("crossval.jl") include("estimators.jl") include("metalearners.jl") include("inference.jl") diff --git a/src/crossval.jl b/src/crossval.jl deleted file mode 100644 index b41825d6..00000000 --- a/src/crossval.jl +++ /dev/null @@ -1,228 +0,0 @@ -using Random: randperm - -""" - generate_folds(X, Y, folds) - -Create folds for cross validation. - -# Examples -```jldoctest -julia> xfolds, y_folds = CausalELM.generate_folds(zeros(4, 2), zeros(4), 2) -([[0.0 0.0], [0.0 0.0; 0.0 0.0; 0.0 0.0]], [[0.0], [0.0, 0.0, 0.0]]) -``` -""" -function generate_folds(X, Y, folds) - msg = """the number of folds must be less than the number of observations""" - n = length(Y) - - if folds >= n - throw(ArgumentError(msg)) - end - - fold_setx = Array{Array{Float64,2}}(undef, folds) - fold_sety = Array{Array{Float64,1}}(undef, folds) - - # Indices to start and stop for each fold - stops = round.(Int, range(; start=1, stop=n, length=folds + 1)) - - # Indices to use for making folds - indices = [s:(e - (e < n) * 1) for (s, e) in zip(stops[1:(end - 1)], stops[2:end])] - - for (i, idx) in enumerate(indices) - fold_setx[i], fold_sety[i] = X[idx, :], Y[idx] - end - - return fold_setx, fold_sety -end - -""" - generate_temporal_folds(X, Y, folds) - -Create rolling folds for cross validation of time series data. - -# Examples -```jldoctest -julia> xfolds, yfolds = CausalELM.generate_temporal_folds([1 1; 1 1; 0 0; 0 0], zeros(4), 2) -([[1 1; 1 1], [1 1; 1 1; 0 0; 0 0]], [[0.0, 0.0], [0.0, 0.0, 0.0, 0.0]]) -``` -""" -function generate_temporal_folds(X, Y, folds=5) - msg = """the number of folds must be less than the number of - observations and greater than or equal to iteration""" - n = length(Y) - - # Make sure there aren't more folds than observations - if folds >= n - throw(ArgumentError(msg)) - end - - # The indices are evely spaced and start at the top to make rolling splits for TS data - indices = Int.(floor.(collect(range(1, size(X, 1), folds + 1)))) - x_folds, y_folds = [X[1:i, :] for i in indices[2:end]], [Y[1:i] for i in indices[2:end]] - - return x_folds, y_folds -end - -""" - validation_loss(xtrain, ytrain, xtest, ytest, nodes, metric; kwargs...) - -Calculate a validation metric for a single fold in k-fold cross validation. - -# Arguments -- `xtrain::Any`: an array of features to train on. -- `ytrain::Any`: an array of training labels. -- `xtest::Any`: an array of features to test on. -- `ytrain::Any`: an array of testing labels. -- `nodes::Int`: the number of neurons in the extreme learning machine. -- `metric::Function`: the validation metric to calculate. - -# Keywords -- `activation::Function=relu`: the activation function to use. -- `regularized::Function=true`: whether to use L2 regularization. - -# Examples -```julia -julia> x = rand(100, 5); y = Float64.(rand(100) .> 0.5) -julia> validation_loss(x, y, 5, accuracy, 3) -0.5402532843396273 -``` -""" -function validation_loss( - xtrain, ytrain, xtest, ytest, nodes, metric; activation=relu, regularized=true -) - if regularized - network = RegularizedExtremeLearner(xtrain, ytrain, nodes, activation) - else - network = ExtremeLearner(xtrain, ytrain, nodes, activation) - end - - fit!(network) - predictions = predict(network, xtest) - - return metric(ytest[1, :], predictions[1, :]) -end - -""" - cross_validate(X, Y, neurons, metric, activation, regularized, folds, temporal) - -Calculate a validation metric for k folds using a single set of hyperparameters. - -# Arguments -- `X::Array`: array of features to train on. -- `Y::Vector`: vector of labels to train on. -- `neurons::Int`: number of neurons to use in the extreme learning machine. -- `metric::Function`: validation metric to calculate. -- `activation::Function=relu`: activation function to use. -- `regularized::Function=true`: whether to use L2 regularization -- `folds::Int`: number of folds to use for cross validation. -- `temporal::Function=true`: whether the data is of a time series or panel nature. - -# Examples -```julia -julia> x = rand(100, 5); y = Float64.(rand(100) .> 0.5) -julia> cross_validate(x, y, 5, accuracy) -0.8891028047100136 -``` -""" -function cross_validate(X, Y, neurons, metric, activation, regularized, folds, temporal) - mean_metric = 0.0 - xfs, yfs = temporal ? generate_temporal_folds(X, Y, folds) : generate_folds(X, Y, folds) - - @inbounds for fold in 1:folds - if !temporal - xtr = reduce(vcat, [xfs[f] for f in 1:folds if f != fold]) - ytr = reduce(vcat, [yfs[f] for f in 1:folds if f != fold]) - xtst, ytst = xfs[fold], yfs[fold] - # The last fold can't be used to training since it will leave nothing to predict - elseif temporal && fold < folds - xtr, ytr = reduce(vcat, xfs[1:fold]), reduce(vcat, yfs[1:fold]) - xtst, ytst = reduce(vcat, xfs[(fold + 1):end]), - reduce(vcat, yfs[(fold + 1):end]) - else - continue - end - - mean_metric += validation_loss( - xtr, - ytr, - xtst, - ytst, - neurons, - metric; - activation=activation, - regularized=regularized, - ) - end - return mean_metric / folds -end - -""" - best_size(m) - -Compute the best number of neurons for an estimator. - -# Notes -The procedure tests networks with numbers of neurons in a sequence whose length is given -by iterations on the interval [min_neurons, max_neurons]. Then, it uses the networks -sizes and validation errors from the sequence to predict the validation error or metric -for every network size between min_neurons and max_neurons using the function -approximation ability of an Extreme Learning Machine. Finally, it returns the network -size with the best predicted validation error or metric. - -# Arguments -- `m::Any`: estimator to find the best number of neurons for. - -# Examples -```julia -julia> X, T, Y = rand(100, 5), rand(0:1, 100), rand(100) -julia> m1 = GComputation(X, T, y) -julia> best_size(m1) -8 -``` -""" -function best_size(m) - loss = Vector{Float64}(undef, m.iterations) - num_neurons = round.(Int, range(m.min_neurons, m.max_neurons; length=m.iterations)) - (X, Y) = m isa InterruptedTimeSeries ? (m.X₀, m.Y₀) : (m.X, m.Y) - - # Use cross validation to get testing loss from [min_neurons, max_neurons] by iterations - @inbounds for (idx, potential_neurons) in pairs(num_neurons) - loss[idx] = cross_validate( - X, - Y, - round(Int, potential_neurons), - m.validation_metric, - m.activation, - m.regularized, - m.folds, - m.temporal, - ) - end - - # Use an extreme learning machine to learn a function F:num_neurons -> loss - mapper = ExtremeLearner( - reshape(num_neurons, :, 1), reshape(loss, :, 1), m.approximator_neurons, relu - ) - fit!(mapper) - pred_metrics = predict(mapper, Float64[(m.min_neurons):(m.max_neurons);]) - return ifelse(startswith(m.task, "c"), argmax([pred_metrics]), argmin([pred_metrics])) -end - -""" - shuffle_data(X, Y) - -Shuffles covariates and outcome vector for cross validation. - -# Examples -```julia -julia> shuffle_data([1 1; 2 2; 3 3; 4 4], collect(1:4)) -([4 4; 2 2; 1 1; 3 3], [4, 2, 1, 3]) -``` -""" -function shuffle_data(X, Y) - idx = randperm(size(X, 1)) - new_data = mapslices.(x -> x[idx], [X, Y], dims=1) - X, Y = new_data - - return Array(X), vec(Y) -end diff --git a/src/estimators.jl b/src/estimators.jl index 89cbc5ee..9f870300 100644 --- a/src/estimators.jl +++ b/src/estimators.jl @@ -15,20 +15,15 @@ Initialize an interrupted time series estimator. # Keywords - `activation::Function=relu`: the activation function to use. -- `validation_metric::Function`: the validation metric to calculate during cross validation. -- `min_neurons::Real`: the minimum number of neurons to consider for the extreme learner. -- `max_neurons::Real`: the maximum number of neurons to consider for the extreme learner. -- `folds::Real`: the number of cross validation folds to find the best number of neurons. -- `iterations::Real`: the number of iterations to perform cross validation between - min_neurons and max_neurons. -- `approximator_neurons::Real`: the number of nuerons in the validation loss approximator - network. +- `num_neurons::Integer`: number of neurons to use in the extreme learning machine. # Notes If regularized is set to true then the ridge penalty will be estimated using generalized cross validation where the maximum number of iterations is 2 * folds for the successive halving procedure. However, if the penalty in on iteration is approximately the same as in -the previous penalty, then the procedure will stop early. +the previous penalty, then the procedure will stop early. If num_neurons is not specified +then the number of neurons will be set to log₍10₎(number of observations) * number of +features. # References For a simple linear regression-based tutorial on interrupted time series analysis see: @@ -67,15 +62,9 @@ function InterruptedTimeSeries( Y₁; regularized::Bool=true, activation::Function=relu, - validation_metric::Function=mse, - min_neurons::Real=1, - max_neurons::Real=100, - folds::Real=5, - iterations::Real=round(size(X₀, 1) / 10), - approximator_neurons::Real=round(size(X₀, 1) / 10), + num_neurons::Integer=round(Int, log10(size(X₀, 2)) * size(X₀, 1)), autoregression::Bool=true, ) - # Convert to arrays X₀, X₁, Y₀, Y₁ = Matrix{Float64}(X₀), Matrix{Float64}(X₁), Y₀[:, 1], Y₁[:, 1] @@ -83,6 +72,8 @@ function InterruptedTimeSeries( X₀ = ifelse(autoregression == true, reduce(hcat, (X₀, moving_average(Y₀))), X₀) X₁ = ifelse(autoregression == true, reduce(hcat, (X₁, moving_average(Y₁))), X₁) + task = var_type(Y₀) isa Binary ? "classification" : "regression" + return InterruptedTimeSeries( X₀, Float64.(Y₀), @@ -90,16 +81,10 @@ function InterruptedTimeSeries( Float64.(Y₁), "difference", true, - "regression", + task, regularized, activation, - validation_metric, - min_neurons, - max_neurons, - folds, - iterations, - approximator_neurons, - 0, + num_neurons, fill(NaN, size(Y₁, 1)), ) end @@ -119,21 +104,15 @@ Initialize a G-Computation estimator. treatment effect on the treated. - `regularized::Function=true`: whether to use L2 regularization - `activation::Function=relu`: the activation function to use. -- `validation_metric::Function`: the validation metric to calculate during cross - validation. -- `min_neurons::Real: the minimum number of neurons to consider for the extreme learner. -- `max_neurons::Real`: the maximum number of neurons to consider for the extreme learner. -- `folds::Real`: the number of cross validation folds to find the best number of neurons. -- `iterations::Real`: the number of iterations to perform cross validation between - min_neurons and max_neurons. -- `approximator_neurons::Real`: the number of nuerons in the validation loss approximator - network. +- `num_neurons::Integer`: number of neurons to use in the extreme learning machine. # Notes If regularized is set to true then the ridge penalty will be estimated using generalized cross validation where the maximum number of iterations is 2 * folds for the successive halving procedure. However, if the penalty in on iteration is approximately the same as in -the previous penalty, then the procedure will stop early. +the previous penalty, then the procedure will stop early. If num_neurons is not specified +then the number of neurons will be set to log₍10₎(number of observations) * number of +features. # References For a good overview of G-Computation see: @@ -173,12 +152,7 @@ mutable struct GComputation <: CausalEstimator regularized::Bool=true, activation::Function=relu, temporal::Bool=true, - validation_metric::Function=mse, - min_neurons::Real=1, - max_neurons::Real=100, - folds::Real=5, - iterations::Real=round(size(X, 1) / 10), - approximator_neurons::Real=round(size(X, 1) / 10), + num_neurons::Integer=round(Int, log10(size(X, 2)) * size(X, 1)), ) if quantity_of_interest ∉ ("ATE", "ITT", "ATT") throw(ArgumentError("quantity_of_interest must be ATE, ITT, or ATT")) @@ -198,13 +172,7 @@ mutable struct GComputation <: CausalEstimator task, regularized, activation, - validation_metric, - min_neurons, - max_neurons, - folds, - iterations, - approximator_neurons, - 0, + num_neurons, NaN, ) end @@ -221,23 +189,19 @@ Initialize a double machine learning estimator with cross fitting. - `Y::Any`: an array or DataFrame of outcomes. # Keywords -- `W::Any`: an array or dataframe of all possible confounders. +- `W::Any`: array or dataframe of all possible confounders. - `regularized::Function=true`: whether to use L2 regularization -- `activation::Function=relu`: the activation function to use. -- `validation_metric::Function`: the validation metric to calculate during cross validation. -- `min_neurons::Real`: the minimum number of neurons to consider for the extreme learner. -- `max_neurons::Real`: the maximum number of neurons to consider for the extreme learner. -- `folds::Real`: the number of cross validation folds to find the best number of neurons. -- `iterations::Real`: the number of iterations to perform cross validation between - min_neurons and max_neurons. -- `approximator_neurons::Real`: the number of nuerons in the validation loss approximator - network. +- `activation::Function=relu`: activation function to use. +- `num_neurons::Integer`: number of neurons to use in the extreme learning machine. +- `folds::Integer`: number of folds to use for cross fitting. # Notes If regularized is set to true then the ridge penalty will be estimated using generalized cross validation where the maximum number of iterations is 2 * folds for the successive halving procedure. However, if the penalty in on iteration is approximately the same as in -the previous penalty, then the procedure will stop early. +the previous penalty, then the procedure will stop early. If num_neurons is not specified +then the number of neurons will be set to log₍10₎(number of observations) * number of +features. Unlike other estimators, this method does not support time series or panel data. This method also does not work as well with smaller datasets because it estimates separate outcome @@ -249,7 +213,6 @@ For more information see: Whitney Newey, and James Robins. "Double/debiased machine learning for treatment and structural parameters." (2016): C1-C68. - For details and a derivation of the generalized cross validation estimator see: Golub, Gene H., Michael Heath, and Grace Wahba. "Generalized cross-validation as a method for choosing a good ridge parameter." Technometrics 21, no. 2 (1979): 215-223. @@ -258,16 +221,16 @@ For details and a derivation of the generalized cross validation estimator see: ```julia julia> X, T, Y = rand(100, 5), [rand()<0.4 for i in 1:100], rand(100) julia> m1 = DoubleMachineLearning(X, T, Y) -julia> m2 = DoubleMachineLearning(X, T, Y; task="regression") julia> x_df = DataFrame(x1=rand(100), x2=rand(100), x3=rand(100), x4=rand(100)) julia> t_df, y_df = DataFrame(t=rand(0:1, 100)), DataFrame(y=rand(100)) -julia> m3 = DoubleMachineLearning(x_df, t_df, y_df) +julia> m2 = DoubleMachineLearning(x_df, t_df, y_df) ``` """ mutable struct DoubleMachineLearning <: CausalEstimator @double_learner_input_data @model_config average_effect + folds::Integer end function DoubleMachineLearning( @@ -277,14 +240,9 @@ function DoubleMachineLearning( W=X, regularized::Bool=true, activation::Function=relu, - validation_metric::Function=mse, - min_neurons::Real=1, - max_neurons::Real=100, - folds::Real=5, - iterations::Real=round(size(X, 1) / 10), - approximator_neurons::Real=round(size(X, 1) / 10), + num_neurons::Integer=round(Int, log10(size(X, 2)) * size(X, 1)), + folds::Integer=5, ) - # Convert to arrays X, T, Y, W = Matrix{Float64}(X), T[:, 1], Y[:, 1], Matrix{Float64}(W) @@ -300,14 +258,9 @@ function DoubleMachineLearning( task, regularized, activation, - validation_metric, - min_neurons, - max_neurons, - folds, - iterations, - approximator_neurons, - 0, + num_neurons, NaN, + folds, ) end @@ -324,11 +277,6 @@ julia> estimate_causal_effect!(m1) ``` """ function estimate_causal_effect!(its::InterruptedTimeSeries) - # We will not find the best number of neurons after we have already estimated the causal - # effect and are getting p-values, confidence intervals, or standard errors. We will use - # the same number that was found when calling this method. - its.num_neurons = its.num_neurons === 0 ? best_size(its) : its.num_neurons - if its.regularized learner = RegularizedExtremeLearner(its.X₀, its.Y₀, its.num_neurons, its.activation) else @@ -376,8 +324,6 @@ function g_formula!(g) Xᵤ = hcat(covariates[g.T .== 1, 1:(end - 1)], zeros(size(g.T[g.T .== 1], 1))) end - g.num_neurons = g.num_neurons === 0 ? best_size(g) : g.num_neurons - if g.regularized g.learner = RegularizedExtremeLearner(covariates, y, g.num_neurons, g.activation) else @@ -407,9 +353,6 @@ julia> estimate_causal_effect!(m2) ``` """ function estimate_causal_effect!(DML::DoubleMachineLearning) - # Uses the same number of neurons for all phases of estimation - DML.num_neurons = DML.num_neurons === 0 ? best_size(DML) : DML.num_neurons - causal_loss!(DML) DML.causal_effect /= DML.folds @@ -517,6 +460,41 @@ function make_folds(D) return X, T, W, Y end +""" + generate_folds(X, Y, folds) + +Create folds for cross validation. + +# Examples +```jldoctest +julia> xfolds, y_folds = CausalELM.generate_folds(zeros(4, 2), zeros(4), 2) +([[0.0 0.0], [0.0 0.0; 0.0 0.0; 0.0 0.0]], [[0.0], [0.0, 0.0, 0.0]]) +``` +""" +function generate_folds(X, Y, folds) + msg = """the number of folds must be less than the number of observations""" + n = length(Y) + + if folds >= n + throw(ArgumentError(msg)) + end + + fold_setx = Array{Array{Float64,2}}(undef, folds) + fold_sety = Array{Array{Float64,1}}(undef, folds) + + # Indices to start and stop for each fold + stops = round.(Int, range(; start=1, stop=n, length=folds + 1)) + + # Indices to use for making folds + indices = [s:(e - (e < n) * 1) for (s, e) in zip(stops[1:(end - 1)], stops[2:end])] + + for (i, idx) in enumerate(indices) + fold_setx[i], fold_sety[i] = X[idx, :], Y[idx] + end + + return fold_setx, fold_sety +end + """ moving_average(x) diff --git a/src/inference.jl b/src/inference.jl index 1fcbad0f..2263364f 100644 --- a/src/inference.jl +++ b/src/inference.jl @@ -47,9 +47,7 @@ function summarize(mod, n=1000) "Regularized", "Activation Function", "Time Series/Panel Data", - "Validation Metric", "Number of Neurons", - "Number of Neurons in Approximator", "Causal Effect", "Standard Error", "p-value", @@ -63,9 +61,7 @@ function summarize(mod, n=1000) mod.regularized, mod.activation, mod.temporal, - mod.validation_metric, mod.num_neurons, - mod.approximator_neurons, mod.causal_effect, stderr, p, @@ -112,9 +108,7 @@ function summarize(its::InterruptedTimeSeries, n=1000, mean_effect=true) "Task", "Regularized", "Activation Function", - "Validation Metric", "Number of Neurons", - "Number of Neurons in Approximator", "Causal Effect", "Standard Error", "p-value", @@ -124,9 +118,7 @@ function summarize(its::InterruptedTimeSeries, n=1000, mean_effect=true) "Regression", its.regularized, its.activation, - its.validation_metric, its.num_neurons, - its.approximator_neurons, effect, stderr, p, @@ -173,7 +165,7 @@ function generate_null_distribution(mod, n) # Generate random treatment assignments and estimate the causal effects for iter in 1:n - + # Sample from a continuous distribution if the treatment is continuous if var_type(mod.T) isa Continuous m.T = (maximum(m.T) - minimum(m.T)) .* rand(nobs) .+ minimum(m.T) diff --git a/src/metalearners.jl b/src/metalearners.jl index 6b358d6c..feb32293 100644 --- a/src/metalearners.jl +++ b/src/metalearners.jl @@ -14,20 +14,15 @@ Initialize a S-Learner. # Keywords - `regularized::Function=true`: whether to use L2 regularization - `activation::Function=relu`: the activation function to use. -- `validation_metric::Function`: the validation metric to calculate during cross validation. -- `min_neurons::Real`: the minimum number of neurons to consider for the extreme learner. -- `max_neurons::Real`: the maximum number of neurons to consider for the extreme learner. -- `folds::Real`: the number of cross validation folds to find the best number of neurons. -- `iterations::Real`: the number of iterations to perform cross validation between -min_neurons and max_neurons. -- `approximator_neurons::Real`: the number of nuerons in the validation loss approximator -network. +- `num_neurons::Integer`: number of neurons to use in the extreme learning machine. # Notes If regularized is set to true then the ridge penalty will be estimated using generalized cross validation where the maximum number of iterations is 2 * folds for the successive halving procedure. However, if the penalty in on iteration is approximately the same as -in the previous penalty, then the procedure will stop early. +in the previous penalty, then the procedure will stop early. If num_neurons is not specified +then the number of neurons will be set to log₍10₎(number of observations) * number of +features. # References For an overview of S-Learners and other metalearners see: @@ -63,12 +58,7 @@ mutable struct SLearner <: Metalearner Y; regularized::Bool=true, activation::Function=relu, - validation_metric::Function=mse, - min_neurons::Real=1, - max_neurons::Real=100, - folds::Real=5, - iterations::Real=round(size(X, 1) / 10), - approximator_neurons::Real=round(size(X, 1) / 10), + num_neurons::Integer=round(Int, log10(size(X, 2)) * size(X, 1)), ) # Convert to arrays @@ -85,13 +75,7 @@ mutable struct SLearner <: Metalearner task, regularized, activation, - validation_metric, - min_neurons, - max_neurons, - folds, - iterations, - approximator_neurons, - 0, + num_neurons, fill(NaN, size(T, 1)), ) end @@ -110,24 +94,15 @@ Initialize a T-Learner. # Keywords - `regularized::Function=true`: whether to use L2 regularization - `activation::Function=relu`: the activation function to use. -- `validation_metric::Function`: the validation metric to calculate during cross -validation. -- `min_neurons::Real`: the minimum number of neurons to consider for the extreme -learner. -- `max_neurons::Real`: the maximum number of neurons to consider for the extreme -learner. -- `folds::Real`: the number of cross validation folds to find the best number of -neurons. -- `iterations::Real`: the number of iterations to perform cross validation between -min_neurons and max_neurons. -- `approximator_neurons::Real`: the number of nuerons in the validation loss approximator -network. +- `num_neurons::Integer`: number of neurons to use in the extreme learning machine. # Notes If regularized is set to true then the ridge penalty will be estimated using generalized cross validation where the maximum number of iterations is 2 * folds for the successive halving procedure. However, if the penalty in on iteration is approximately the same as -in the previous penalty, then the procedure will stop early. +in the previous penalty, then the procedure will stop early. If num_neurons is not specified +then the number of neurons will be set to log₍10₎(number of observations) * number of +features. # References For an overview of T-Learners and other metalearners see: @@ -144,12 +119,11 @@ method for choosing a good ridge parameter." Technometrics 21, no. 2 (1979): ```julia julia> X, T, Y = rand(100, 5), [rand()<0.4 for i in 1:100], rand(100) julia> m1 = TLearner(X, T, Y) -julia> m2 = TLearner(X, T, Y; task="regression") -julia> m3 = TLearner(X, T, Y; task="regression", regularized=true) +julia> m2 = TLearner(X, T, Y; regularized=false) julia> x_df = DataFrame(x1=rand(100), x2=rand(100), x3=rand(100), x4=rand(100)) julia> t_df, y_df = DataFrame(t=rand(0:1, 100)), DataFrame(y=rand(100)) -julia> m4 = TLearner(x_df, t_df, y_df) +julia> m3 = TLearner(x_df, t_df, y_df) ``` """ mutable struct TLearner <: Metalearner @@ -164,14 +138,8 @@ mutable struct TLearner <: Metalearner Y; regularized::Bool=true, activation::Function=relu, - validation_metric::Function=mse, - min_neurons::Real=1, - max_neurons::Real=100, - folds::Real=5, - iterations::Real=round(size(X, 1) / 10), - approximator_neurons::Real=round(size(X, 1) / 10), + num_neurons::Integer=round(Int, log10(size(X, 2)) * size(X, 1)), ) - # Convert to arrays X, T, Y = Matrix{Float64}(X), T[:, 1], Y[:, 1] @@ -186,13 +154,7 @@ mutable struct TLearner <: Metalearner task, regularized, activation, - validation_metric, - min_neurons, - max_neurons, - folds, - iterations, - approximator_neurons, - 0, + num_neurons, fill(NaN, size(T, 1)), ) end @@ -211,24 +173,15 @@ Initialize an X-Learner. # Keywords - `regularized::Function=true`: whether to use L2 regularization - `activation::Function=relu`: the activation function to use. -- `validation_metric::Function`: the validation metric to calculate during cross -validation. -- `min_neurons::Real`: the minimum number of neurons to consider for the extreme -learner. -- `max_neurons::Real`: the maximum number of neurons to consider for the extreme -learner. -- `folds::Real`: the number of cross validation folds to find the best number of -neurons. -- `iterations::Real`: the number of iterations to perform cross validation between -min_neurons and max_neurons. -- `approximator_neurons::Real`: the number of nuerons in the validation loss -approximator network. +- `num_neurons::Integer`: number of neurons to use in the extreme learning machine. # Notes If regularized is set to true then the ridge penalty will be estimated using generalized cross validation where the maximum number of iterations is 2 * folds for the successive halving procedure. However, if the penalty in on iteration is approximately the same as -in the previous penalty, then the procedure will stop early. +in the previous penalty, then the procedure will stop early. If num_neurons is not specified +then the number of neurons will be set to log₍10₎(number of observations) * number of +features. # References For an overview of X-Learners and other metalearners see: @@ -245,12 +198,11 @@ method for choosing a good ridge parameter." Technometrics 21, no. 2 (1979): ```julia julia> X, T, Y = rand(100, 5), [rand()<0.4 for i in 1:100], rand(100) julia> m1 = XLearner(X, T, Y) -julia> m2 = XLearner(X, T, Y; task="regression") -julia> m3 = XLearner(X, T, Y; task="regression", regularized=true) +julia> m2 = XLearner(X, T, Y; regularized=false) julia> x_df = DataFrame(x1=rand(100), x2=rand(100), x3=rand(100), x4=rand(100)) julia> t_df, y_df = DataFrame(t=rand(0:1, 100)), DataFrame(y=rand(100)) -julia> m4 = XLearner(x_df, t_df, y_df) +julia> m3 = XLearner(x_df, t_df, y_df) ``` """ mutable struct XLearner <: Metalearner @@ -266,14 +218,8 @@ mutable struct XLearner <: Metalearner Y; regularized::Bool=true, activation::Function=relu, - validation_metric::Function=mse, - min_neurons::Real=1, - max_neurons::Real=100, - folds::Real=5, - iterations::Real=round(size(X, 1) / 10), - approximator_neurons::Real=round(size(X, 1) / 10), + num_neurons::Integer=round(Int, log10(size(X, 2)) * size(X, 1)), ) - # Convert to arrays X, T, Y = Matrix{Float64}(X), T[:, 1], Y[:, 1] @@ -288,13 +234,7 @@ mutable struct XLearner <: Metalearner task, regularized, activation, - validation_metric, - min_neurons, - max_neurons, - folds, - iterations, - approximator_neurons, - 0, + num_neurons, fill(NaN, size(T, 1)), ) end @@ -312,22 +252,18 @@ Initialize an R-Learner. # Keywords - `W::Any` : an array of all possible confounders. -- `regularized::Function=true`: whether to use L2 regularization +- `regularized::Function=true`: whether to use L2 regularizations - `activation::Function=relu`: the activation function to use. -- `validation_metric::Function`: the validation metric to calculate during cross validation. -- `min_neurons::Real`: the minimum number of neurons to consider for the extreme learner. -- `max_neurons::Real`: the maximum number of neurons to consider for the extreme learner. -- `folds::Real`: the number of cross validation folds to find the best number of neurons. -- `iterations::Real`: the number of iterations to perform cross validation between - min_neurons and max_neurons. -- `approximator_neurons::Real`: the number of nuerons in the validation loss approximator - network. +- `num_neurons::Integer`: number of neurons to use in the extreme learning machine. +- `folds::Integer`: number of folds to use for cross fitting. # Notes If regularized is set to true then the ridge penalty will be estimated using generalized cross validation where the maximum number of iterations is 2 * folds for the successive halving procedure. However, if the penalty in on iteration is approximately the same as in -the previous penalty, then the procedure will stop early. +the previous penalty, then the procedure will stop early. If num_neurons is not specified +then the number of neurons will be set to log₍10₎(number of observations) * number of +features. ## References For an explanation of R-Learner estimation see: @@ -342,19 +278,19 @@ For details and a derivation of the generalized cross validation estimator see: ```julia julia> X, T, Y = rand(100, 5), [rand()<0.4 for i in 1:100], rand(100) julia> m1 = RLearner(X, T, Y) -julia> m2 = RLearner(X, T, Y; t_cat=true) julia> x_df = DataFrame(x1=rand(100), x2=rand(100), x3=rand(100), x4=rand(100)) julia> t_df, y_df = DataFrame(t=rand(0:1, 100)), DataFrame(y=rand(100)) -julia> m4 = RLearner(x_df, t_df, y_df) +julia> m2 = RLearner(x_df, t_df, y_df) julia> w = rand(100, 6) -julia> m5 = RLearner(X, T, Y, W=w) +julia> m3 = RLearner(X, T, Y, W=w) ``` """ mutable struct RLearner <: Metalearner @double_learner_input_data @model_config individual_effect + folds::Integer end function RLearner( @@ -363,12 +299,8 @@ function RLearner( Y; W=X, activation::Function=relu, - validation_metric::Function=mse, - min_neurons::Real=1, - max_neurons::Real=100, - folds::Real=5, - iterations::Real=round(size(X, 1) / 10), - approximator_neurons::Real=round(size(X, 1) / 10), + num_neurons::Integer=round(Int, log10(size(X, 2)) * size(X, 1)), + folds::Integer=5, ) # Convert to arrays @@ -386,14 +318,9 @@ function RLearner( task, true, activation, - validation_metric, - min_neurons, - max_neurons, - folds, - iterations, - approximator_neurons, - 0, + num_neurons, fill(NaN, size(T, 1)), + folds, ) end @@ -410,21 +337,16 @@ Initialize a doubly robust CATE estimator. # Keywords - `W::Any`: an array or dataframe of all possible confounders. - `regularized::Function=true`: whether to use L2 regularization -- `activation::Function=relu`: the activation function to use. -- `validation_metric::Function`: the validation metric to calculate during cross validation. -- `min_neurons::Real`: the minimum number of neurons to consider for the extreme learner. -- `max_neurons::Real`: the maximum number of neurons to consider for the extreme learner. -- `folds::Real`: the number of cross validation folds to find the best number of neurons. -- `iterations::Real`: the number of iterations to perform cross validation between - min_neurons and max_neurons. -- `approximator_neurons::Real`: the number of nuerons in the validation loss approximator - network. +- `activation::Function=relu`: activation function to use. +- `num_neurons::Integer`: number of neurons to use in the extreme learning machine. # Notes If regularized is set to true then the ridge penalty will be estimated using generalized cross validation where the maximum number of iterations is 2 * folds for the successive halving procedure. However, if the penalty in on iteration is approximately the same as in -the previous penalty, then the procedure will stop early. +the previous penalty, then the procedure will stop early. If num_neurons is not specified +then the number of neurons will be set to log₍10₎(number of observations) * number of +features. # References For an explanation of doubly robust cate estimation see: @@ -439,19 +361,19 @@ For details and a derivation of the generalized cross validation estimator see: ```julia julia> X, T, Y = rand(100, 5), [rand()<0.4 for i in 1:100], rand(100) julia> m1 = DoublyRobustLearner(X, T, Y) -julia> m2 = DoublyRobustLearnerLearner(X, T, Y; t_cat=true) julia> x_df = DataFrame(x1=rand(100), x2=rand(100), x3=rand(100), x4=rand(100)) julia> t_df, y_df = DataFrame(t=rand(0:1, 100)), DataFrame(y=rand(100)) -julia> m4 = DoublyRobustLearner(x_df, t_df, y_df) +julia> m2 = DoublyRobustLearner(x_df, t_df, y_df) julia> w = rand(100, 6) -julia> m5 = DoublyRobustLearner(X, T, Y, W=w) +julia> m3 = DoublyRobustLearner(X, T, Y, W=w) ``` """ mutable struct DoublyRobustLearner <: Metalearner @double_learner_input_data @model_config individual_effect + folds::Integer end function DoublyRobustLearner( @@ -461,13 +383,9 @@ function DoublyRobustLearner( W=X, regularized::Bool=true, activation::Function=relu, - validation_metric::Function=mse, - min_neurons::Real=1, - max_neurons::Real=100, - iterations::Real=round(size(X, 1) / 10), - approximator_neurons::Real=round(size(X, 1) / 10), + num_neurons::Integer=round(Int, log10(size(X, 2)) * size(X, 1)), + folds::Integer=5, ) - # Convert to arrays X, T, Y, W = Matrix{Float64}(X), T[:, 1], Y[:, 1], Matrix{Float64}(W) @@ -483,14 +401,9 @@ function DoublyRobustLearner( task, regularized, activation, - validation_metric, - min_neurons, - max_neurons, - 2, - iterations, - approximator_neurons, - 0, + num_neurons, fill(NaN, size(T, 1)), + folds, ) end @@ -691,7 +604,7 @@ function estimate_causal_effect!(DRE::DoublyRobustLearner) DRE.num_neurons = DRE.num_neurons === 0 ? best_size(DRE) : DRE.num_neurons # Rotating folds for cross fitting - for i in 1:(DRE.folds) + for i in 1:2 causal_effect .+= doubly_robust_formula!(DRE, X, T, Y, Z) X, T, Y, Z = [X[2], X[1]], [T[2], T[1]], [Y[2], Y[1]], [Z[2], Z[1]] end diff --git a/src/model_validation.jl b/src/model_validation.jl index c51bc032..6400f1ae 100644 --- a/src/model_validation.jl +++ b/src/model_validation.jl @@ -719,12 +719,12 @@ function positivity(model::XLearner, min=1.0e-6, max=1 - min) end function positivity(model::Union{DoubleMachineLearning,RLearner}, min=1.0e-6, max=1 - min) - num_neurons = best_size(model) - if model.regularized - ps_mod = RegularizedExtremeLearner(model.X, model.T, num_neurons, model.activation) + ps_mod = RegularizedExtremeLearner( + model.X, model.T, model.num_neurons, model.activation + ) else - ps_mod = ExtremeLearner(model.X, model.T, num_neurons, model.activation) + ps_mod = ExtremeLearner(model.X, model.T, model.num_neurons, model.activation) end fit!(ps_mod) diff --git a/src/utilities.jl b/src/utilities.jl index 9bcd3917..0a47cb8f 100644 --- a/src/utilities.jl +++ b/src/utilities.jl @@ -105,12 +105,6 @@ macro model_config(effect_type) task::String regularized::Bool activation::Function - validation_metric::Function - min_neurons::Int64 - max_neurons::Int64 - folds::Int64 - iterations::Int64 - approximator_neurons::Int64 num_neurons::Int64 causal_effect::$field_type end diff --git a/test/runtests.jl b/test/runtests.jl index a801b185..51d898f8 100644 --- a/test/runtests.jl +++ b/test/runtests.jl @@ -3,7 +3,6 @@ using Test, Documenter, CausalELM include("test_activation.jl") include("test_models.jl") include("test_metrics.jl") -include("test_crossval.jl") include("test_estimators.jl") include("test_metalearners.jl") include("test_inference.jl") diff --git a/test/test_crossval.jl b/test/test_crossval.jl deleted file mode 100644 index 58eb508f..00000000 --- a/test/test_crossval.jl +++ /dev/null @@ -1,165 +0,0 @@ -using Test -using CausalELM - -using CausalELM: relu -include("../src/crossval.jl") - -x, y = shuffle_data(rand(100, 5), Float64.([rand() < 0.4 for i in 1:100])) -xfolds, yfolds = generate_folds(zeros(20, 2), zeros(20), 5) -xfolds_ts, yfolds_ts = generate_temporal_folds( - float.(hcat([1:10;], 11:20)), [1.0:1.0:10.0;], 5 -) - -X₀, Y₀, X₁, Y₁ = rand(100, 5), rand(100), rand(10, 5), rand(10) -its = InterruptedTimeSeries(X₀, Y₀, X₁, Y₁) - -X, T, Y = rand(100, 5), rand(100), [rand() < 0.4 for i in 1:100] -g_computation_regression = GComputation(X, T, Y) -g_computation_classification = GComputation(X, T, rand(0:1, 100)) - -@testset "Fold Generation" begin - @test_throws ArgumentError generate_folds(zeros(5, 2), zeros(5), 6) - @test_throws ArgumentError generate_folds(zeros(5, 2), zeros(5), 5) - @test size(xfolds, 1) == 5 - @test size(xfolds[1], 1) == 4 - @test size(xfolds[2], 2) == 2 - @test length(yfolds) == 5 - @test size(yfolds[1], 1) == 4 - @test size(yfolds[2], 2) == 1 - @test isa(xfolds, Array) - @test isa(yfolds, Array) - - # Time series or panel data - # Testing incorrect input - @test_throws ArgumentError generate_temporal_folds(zeros(5, 2), zeros(5), 6) - @test_throws ArgumentError generate_temporal_folds(zeros(5, 2), zeros(5), 5) - @test_throws ArgumentError generate_temporal_folds(zeros(10, 2), zeros(5), 6) - @test_throws ArgumentError generate_temporal_folds(zeros(10, 2), zeros(5), 5) - - @test size(xfolds_ts, 1) == 5 - @test size(xfolds_ts[1], 1) == 2 - @test size(xfolds_ts[2], 2) == 2 - @test length(yfolds_ts) == 5 - @test size(yfolds_ts[1], 1) == 2 - @test size(yfolds_ts[2], 2) == 1 - @test isa(xfolds_ts, Array) - @test isa(yfolds_ts, Array) -end - -@testset "Single cross validation iteration" begin - - # Regression: Not TS L2, TS L2 - @test isa( - validation_loss(rand(100, 5), rand(100), rand(20, 5), rand(20), 5, mse), Float64 - ) - @test isa( - validation_loss(rand(100, 5), rand(100), rand(20, 5), rand(20), 5, mse), Float64 - ) - @test isa( - validation_loss( - rand(100, 5), rand(100), rand(20, 5), rand(20), 5, mse; regularized=false - ), - Float64, - ) - @test isa( - validation_loss( - rand(100, 5), - rand(100), - rand(20, 5), - rand(20), - 5, - mse; - regularized=false, - activation=gelu, - ), - Float64, - ) - - # Classification: Not TS L2, TS L2 - @test isa( - validation_loss( - rand(100, 5), - Float64.(rand(100) .> 0.5), - rand(20, 5), - Float64.(rand(20) .> 0.5), - 5, - accuracy, - ), - Float64, - ) - @test isa( - validation_loss( - rand(100, 5), - Float64.(rand(100) .> 0.5), - rand(20, 5), - Float64.(rand(20) .> 0.5), - 5, - accuracy, - ), - Float64, - ) - @test isa( - validation_loss( - rand(100, 5), - Float64.(rand(100) .> 0.5), - rand(20, 5), - Float64.(rand(20) .> 0.5), - 5, - accuracy; - regularized=false, - activation=gelu, - ), - Float64, - ) - - @test isa( - validation_loss( - rand(100, 5), - Float64.(rand(100) .> 0.5), - rand(20, 5), - Float64.(rand(20) .> 0.5), - 5, - accuracy; - regularized=false, - ), - Float64, - ) -end - -@testset "Cross validation" begin - - # Regression - @test isa( - cross_validate(rand(100, 5), rand(100), 5, mse, relu, true, 5, false), Float64 - ) - @test isa( - cross_validate(rand(100, 5), rand(100), 5, mse, relu, false, 5, true), Float64 - ) - - # Classification - @test isa( - cross_validate( - rand(100, 5), Float64.(rand(100) .> 0.5), 5, accuracy, relu, true, 5, false - ), - Float64, - ) - @test isa( - cross_validate( - rand(100, 5), Float64.(rand(100) .> 0.5), 5, accuracy, relu, false, 5, true - ), - Float64, - ) -end - -@testset "Best network size" begin - @test 100 >= best_size(its) >= 1 - @test 100 >= best_size(g_computation_regression) >= 1 - @test 100 >= best_size(g_computation_classification) >= 1 -end - -@testset "Data Shuffling" begin - @test size(x) === (100, 5) - @test x isa Array{Float64} - @test size(y, 1) === 100 - @test y isa Vector{Float64} -end diff --git a/test/test_inference.jl b/test/test_inference.jl index 18a73cb6..07a63c1d 100644 --- a/test/test_inference.jl +++ b/test/test_inference.jl @@ -7,22 +7,22 @@ Float64.([rand() < 0.4 for i in 1:100]) g_computer = GComputation(x, t, y) estimate_causal_effect!(g_computer) -g_inference = CausalELM.generate_null_distribution(g_computer, 1000) -p1, stderr1 = CausalELM.quantities_of_interest(g_computer, 1000) -summary1 = summarize(g_computer) +g_inference = CausalELM.generate_null_distribution(g_computer, 10) +p1, stderr1 = CausalELM.quantities_of_interest(g_computer, 10) +summary1 = summarize(g_computer, 10) dm = DoubleMachineLearning(x, 5 * randn(100) .+ 2, y) estimate_causal_effect!(dm) -dm_inference = CausalELM.generate_null_distribution(dm, 1000) -p2, stderr2 = CausalELM.quantities_of_interest(dm, 1000) -summary2 = summarize(dm) +dm_inference = CausalELM.generate_null_distribution(dm, 10) +p2, stderr2 = CausalELM.quantities_of_interest(dm, 10) +summary2 = summarize(dm, 10) # With a continuous treatment variable dm_continuous = DoubleMachineLearning(x, t, rand(1:4, 100)) estimate_causal_effect!(dm_continuous) -dm_continuous_inference = CausalELM.generate_null_distribution(dm_continuous, 1000) -p3, stderr3 = CausalELM.quantities_of_interest(dm_continuous, 1000) -summary3 = summarize(dm_continuous) +dm_continuous_inference = CausalELM.generate_null_distribution(dm_continuous, 10) +p3, stderr3 = CausalELM.quantities_of_interest(dm_continuous, 10) +summary3 = summarize(dm_continuous, 10) x₀, y₀, x₁, y₁ = rand(1:100, 100, 5), rand(100), rand(10, 5), rand(10) its = InterruptedTimeSeries(x₀, y₀, x₁, y₁) @@ -36,47 +36,47 @@ p4, stderr4 = CausalELM.quantities_of_interest(its, 10, true) slearner = SLearner(x, t, y) estimate_causal_effect!(slearner) -summary5 = summarize(slearner) +summary5 = summarize(slearner, 10) tlearner = TLearner(x, t, y) estimate_causal_effect!(tlearner) -tlearner_inference = CausalELM.generate_null_distribution(tlearner, 1000) -p6, stderr6 = CausalELM.quantities_of_interest(tlearner, 1000) -summary6 = summarize(tlearner) +tlearner_inference = CausalELM.generate_null_distribution(tlearner, 10) +p6, stderr6 = CausalELM.quantities_of_interest(tlearner, 10) +summary6 = summarize(tlearner, 10) xlearner = XLearner(x, t, y) estimate_causal_effect!(xlearner) -xlearner_inference = CausalELM.generate_null_distribution(xlearner, 1000) -p7, stderr7 = CausalELM.quantities_of_interest(xlearner, 1000) -summary7 = summarize(xlearner) -summary8 = summarise(xlearner) +xlearner_inference = CausalELM.generate_null_distribution(xlearner, 10) +p7, stderr7 = CausalELM.quantities_of_interest(xlearner, 10) +summary7 = summarize(xlearner, 10) +summary8 = summarise(xlearner, 10) rlearner = RLearner(x, t, y) estimate_causal_effect!(rlearner) -summary9 = summarize(rlearner) +summary9 = summarize(rlearner, 10) -dr_learner = DoublyRobustLearner(x, t, y) +dr_learner = DoublyRobustLearner(x, t, y, regularized=false) estimate_causal_effect!(dr_learner) -dr_learner_inference = CausalELM.generate_null_distribution(dr_learner, 1000) -p8, stderr8 = CausalELM.quantities_of_interest(dr_learner, 1000) -summary10 = summarize(dr_learner) +dr_learner_inference = CausalELM.generate_null_distribution(dr_learner, 10) +p8, stderr8 = CausalELM.quantities_of_interest(dr_learner, 10) +summary10 = summarize(dr_learner, 10) @testset "Generating Null Distributions" begin - @test size(g_inference, 1) === 1000 + @test size(g_inference, 1) === 10 @test g_inference isa Array{Float64} - @test size(dm_inference, 1) === 1000 + @test size(dm_inference, 1) === 10 @test dm_inference isa Array{Float64} - @test size(dm_continuous_inference, 1) === 1000 + @test size(dm_continuous_inference, 1) === 10 @test dm_continuous_inference isa Array{Float64} @test size(its_inference1, 1) === 10 @test its_inference1 isa Array{Float64} @test size(its_inference2, 1) === 10 @test its_inference2 isa Array{Float64} - @test size(tlearner_inference, 1) === 1000 + @test size(tlearner_inference, 1) === 10 @test tlearner_inference isa Array{Float64} - @test size(xlearner_inference, 1) === 1000 + @test size(xlearner_inference, 1) === 10 @test xlearner_inference isa Array{Float64} - @test size(dr_learner_inference, 1) === 1000 + @test size(dr_learner_inference, 1) === 10 @test dr_learner_inference isa Array{Float64} end diff --git a/test/test_metalearners.jl b/test/test_metalearners.jl index c0bd6eba..149ab031 100644 --- a/test/test_metalearners.jl +++ b/test/test_metalearners.jl @@ -66,7 +66,7 @@ r_learner_df = RLearner(x_df, t_df, y_df) # Doubly Robust Estimation dr_learner = DoublyRobustLearner(x, t, y; W=rand(100, 4)) -X_T, Y = generate_folds( +X_T, Y = CausalELM.generate_folds( reduce(hcat, (dr_learner.X, dr_learner.T, dr_learner.W)), dr_learner.Y, 2 ) X = [fl[:, 1:size(dr_learner.X, 2)] for fl in X_T] From 2252b148b82a6512bae6c10639c6238a8ac439af Mon Sep 17 00:00:00 2001 From: Darren Colby Date: Sat, 22 Jun 2024 15:50:56 -0500 Subject: [PATCH 02/24] Updated release notes --- docs/src/release_notes.md | 10 +++++++++- 1 file changed, 9 insertions(+), 1 deletion(-) diff --git a/docs/src/release_notes.md b/docs/src/release_notes.md index bc71e7d1..8e718c6e 100644 --- a/docs/src/release_notes.md +++ b/docs/src/release_notes.md @@ -1,7 +1,15 @@ # Release Notes These release notes adhere to the [keep a changelog](https://keepachangelog.com/en/1.0.0/) format. Below is a list of changes since CausalELM was first released. -## Version [v0.6.0](https://github.com/dscolby/CausalELM.jl/releases/tag/v0.6.0) - 2024-03-23 +## Version [v0.6.1](https://github.com/dscolby/CausalELM.jl/releases/tag/v0.6.1) - 2024-06-22 +### Added + +### Changed +* Compute the number of neurons to use with log heuristic instead of cross validation [#62](https://github.com/dscolby/CausalELM.jl/issues/62) +### Fixed + + +## Version [v0.6.0](https://github.com/dscolby/CausalELM.jl/releases/tag/v0.6.0) - 2024-06-15 ### Added * Implemented doubly robust learner for CATE estimation [#31](https://github.com/dscolby/CausalELM.jl/issues/31) * Provided better explanations of supported treatment and outcome variable types in the docs [#41](https://github.com/dscolby/CausalELM.jl/issues/41) From a1f78408e34669126eb37e9181231c59952379c5 Mon Sep 17 00:00:00 2001 From: Darren Colby Date: Sat, 22 Jun 2024 23:55:07 -0500 Subject: [PATCH 03/24] Made inference optional --- docs/src/guide/doublemachinelearning.md | 22 ++++++----------- docs/src/guide/gcomputation.md | 22 +++++++---------- docs/src/guide/its.md | 24 ++++++++---------- docs/src/guide/metalearners.md | 5 ++-- docs/src/index.md | 2 +- docs/src/release_notes.md | 2 +- src/estimators.jl | 21 +++++----------- src/inference.jl | 33 +++++++++++++++++++------ src/metalearners.jl | 33 ++++++++----------------- test/test_inference.jl | 27 +++++++++++--------- 10 files changed, 89 insertions(+), 102 deletions(-) diff --git a/docs/src/guide/doublemachinelearning.md b/docs/src/guide/doublemachinelearning.md index de870e50..a143510e 100644 --- a/docs/src/guide/doublemachinelearning.md +++ b/docs/src/guide/doublemachinelearning.md @@ -36,15 +36,10 @@ to the W argument. Otherwise, the model assumes all possible confounders are con variables. !!! tip - You can also specify the following options: whether the treatment vector is categorical ie - not continuous and containing more than two classes, whether to use L2 regularization, the - activation function, the validation metric to use when searching for the best number of - neurons, the minimum and maximum number of neurons to consider, the number of folds to use - for cross validation, the number of iterations to perform cross validation, and the number - of neurons to use in the ELM used to learn the function from number of neurons to validation - loss. These arguments are specified with the following keyword arguments: t\_cat, - regularized, activation, validation\_metric, min\_neurons, max\_neurons, folds, iterations, - and approximator\_neurons. + You can also specify the following options: whether to use L2 regularization, the + activation function, the number of folds to use for cross fitting, and the number of + iterations to perform cross validation. These arguments are specified with the following + keyword arguments: regularized, activation, folds, and num\_neurons. ```julia # Create some data with a binary treatment X, T, Y, W = rand(100, 5), [rand()<0.4 for i in 1:100], rand(100), rand(100, 4) @@ -74,11 +69,10 @@ randomization inference by passing our model to the summarize method. Calling the summarize method returns a dictionary with the estimator's task (regression or classification), the quantity of interest being estimated (ATE), whether the model uses an L2 penalty (always true for DML), the activation function used in the model's outcome -predictors, whether the data is temporal (always false for DML), the validation metric used -for cross validation to find the best number of neurons, the number of neurons used in the -ELMs used by the estimator, the number of neurons used in the ELM used to learn a mapping -from number of neurons to validation loss during cross validation, the causal effect, -standard error, and p-value. +predictors, whether the data is temporal (always false for DML), the number of neurons used +in the ELMs used by the estimator, the causal effect, standard error, and p-value. Due to +long running times, calculation of the p-value and standard error is not conducted and set +to NaN unless inference is set to true. ```julia # Can also use the British spelling # summarise(dml) diff --git a/docs/src/guide/gcomputation.md b/docs/src/guide/gcomputation.md index 950be7d9..3bb28081 100644 --- a/docs/src/guide/gcomputation.md +++ b/docs/src/guide/gcomputation.md @@ -27,13 +27,9 @@ continuous, time to event, and count outcome variables. !!! tip You can also specify the causal estimand, whether to employ L2 regularization, which - activation function to use, whether the data is of a temporal nature, the metric to use when - using cross validation to find the best number of neurons, the minimum number of neurons to - consider, the maximum number of neurons to consider, the number of folds to use during cross - caidation, and the number of neurons to use in the ELM that learns a mapping from number of - neurons to validation loss. These options are specified with the following keyword - arguments: quantity\_of\_interest, regularized, activation, temporal, validation\_metric, - min\_neurons, max\_neurons, folds, iterations, and approximator\_neurons. + activation function to use, whether the data is of a temporal nature, and the number of + neurons to use during estimation. These options are specified with the following keyword + arguments: quantity\_of\_interest, regularized, activation, temporal, and num\_neurons. !!! note Internally, the outcome model is treated as a regression since extreme learning machines @@ -66,12 +62,12 @@ We get a summary of the model that includes a p-value and standard error estimat asymptotic randomization inference by passing our model to the summarize method. Calling the summarize method returns a dictionary with the estimator's task (regression or -classification), the quantity of interest being estimated (ATE or ATT), whether the model -uses an L2 penalty, the activation function used in the model's outcome predictors, whether -the data is temporal, the validation metric used for cross validation to find the best -number of neurons, the number of neurons used in the ELMs used by the estimator, the number -of neurons used in the ELM used to learn a mapping from number of neurons to validation -loss during cross validation, the causal effect, standard error, and p-value. +classification), the quantity of interest being estimated (ATE), whether the model uses an +L2 penalty (always true for DML), the activation function used in the model's outcome +predictors, whether the data is temporal, the number of neurons used in the ELMs used by the +estimator, the causal effect, standard error, and p-value. Due to long running times, +calculation of the p-value and standard error is not conducted and set to NaN unless +inference is set to true. ```julia summarize(g_computer) ``` diff --git a/docs/src/guide/its.md b/docs/src/guide/its.md index 8fddf609..bd9c2678 100644 --- a/docs/src/guide/its.md +++ b/docs/src/guide/its.md @@ -45,14 +45,10 @@ continuous, count, or time to event variables. continuous variables. !!! tip - You can also specify whether or not to use L2 regularization, which activation function to - use, the metric to use when using cross validation to find the best number of neurons, the - minimum number of neurons to consider, the maximum number of neurons to consider, the number - of folds to use during cross caidation, the number of neurons to use in the ELM that learns - a mapping from number of neurons to validation loss, and whether to include a rolling + You can also specify whether or not to use L2 regularization, which activation function + to use, the number of neurons to use during estimation, and whether to include a rolling average autoregressive term. These options can be specified using the keyword arguments - regularized, activation, validation\_metric, min\_neurons, max\_neurons, folds, iterations, - approximator\_neurons, and autoregression. + regularized, activation, num\_neurons, and autoregression. ```julia # Generate some data to use @@ -78,13 +74,13 @@ estimate_causal_effect!(its) We can get a summary of the model, including a p-value and statndard via asymptotic randomization inference, by pasing the model to the summarize method. -Calling the summarize method returns a dictionary with the estimator's task (always -regression for interrupted time series analysis), whether the model uses an L2 penalty, -the activation function used in the model's outcome predictors, the validation metric used -for cross validation to find the best number of neurons, the number of neurons used in the -ELMs used by the estimator, the number of neurons used in the ELM used to learn a mapping -from number of neurons to validation loss during cross validation, the causal effect, -standard error, and p-value. +Calling the summarize method returns a dictionary with the estimator's task (regression or +classification), the quantity of interest being estimated (ATE), whether the model uses an +L2 penalty (always true for DML), the activation function used in the model's outcome +predictors, whether the data is temporal (always true for ITS), the number of neurons used +in the ELMs used by the estimator, the causal effect, standard error, and p-value. Due to +long running times, calculation of the p-value and standard error is not conducted and set +to NaN unless inference is set to true. ```julia summarize(its) ``` diff --git a/docs/src/guide/metalearners.md b/docs/src/guide/metalearners.md index f5cbe56e..b947aafb 100644 --- a/docs/src/guide/metalearners.md +++ b/docs/src/guide/metalearners.md @@ -13,9 +13,8 @@ continuous outcomes. !!! note If regularized is set to true then the ridge penalty will be estimated using generalized - cross validation where the maximum number of iterations is 2 * folds for the successive - halving procedure. However, if the penalty in on iteration is approximately the same as - in the previous penalty, then the procedure will stop early. + cross. However, if the penalty in on iteration is approximately the same as in the + previous penalty, then the procedure will stop early. !!! note For a deeper dive on S-learning, T-learning, and X-learning see: diff --git a/docs/src/index.md b/docs/src/index.md index d4b926cb..049798a1 100644 --- a/docs/src/index.md +++ b/docs/src/index.md @@ -34,7 +34,7 @@ for estimating treatment effects. * Includes 13 activation functions and allows user-defined activation functions * Most inference and validation tests do not assume functional or distributional forms * Implements the latest techniques form statistics, econometrics, and biostatistics -* Works out of the box with DataFrames or arrays +* Works out of the box with arrays or any data structure that implements teh Tables.jl interface * Codebase is high-quality, well tested, and regularly updated ### What's New? diff --git a/docs/src/release_notes.md b/docs/src/release_notes.md index 8e718c6e..2cfd6ca5 100644 --- a/docs/src/release_notes.md +++ b/docs/src/release_notes.md @@ -6,9 +6,9 @@ These release notes adhere to the [keep a changelog](https://keepachangelog.com/ ### Changed * Compute the number of neurons to use with log heuristic instead of cross validation [#62](https://github.com/dscolby/CausalELM.jl/issues/62) +* Made calculation of p-values and standard errors optional and not executed by default in summarize methods [#65](https://github.com/dscolby/CausalELM.jl/issues/65) ### Fixed - ## Version [v0.6.0](https://github.com/dscolby/CausalELM.jl/releases/tag/v0.6.0) - 2024-06-15 ### Added * Implemented doubly robust learner for CATE estimation [#31](https://github.com/dscolby/CausalELM.jl/issues/31) diff --git a/src/estimators.jl b/src/estimators.jl index 9f870300..452bd9e3 100644 --- a/src/estimators.jl +++ b/src/estimators.jl @@ -19,11 +19,8 @@ Initialize an interrupted time series estimator. # Notes If regularized is set to true then the ridge penalty will be estimated using generalized -cross validation where the maximum number of iterations is 2 * folds for the successive -halving procedure. However, if the penalty in on iteration is approximately the same as in -the previous penalty, then the procedure will stop early. If num_neurons is not specified -then the number of neurons will be set to log₍10₎(number of observations) * number of -features. +cross validation. If num_neurons is not specified then the number of neurons will be set to +log₁₀(number of observations) * number of features. # References For a simple linear regression-based tutorial on interrupted time series analysis see: @@ -108,11 +105,8 @@ Initialize a G-Computation estimator. # Notes If regularized is set to true then the ridge penalty will be estimated using generalized -cross validation where the maximum number of iterations is 2 * folds for the successive -halving procedure. However, if the penalty in on iteration is approximately the same as in -the previous penalty, then the procedure will stop early. If num_neurons is not specified -then the number of neurons will be set to log₍10₎(number of observations) * number of -features. +cross validation. If num_neurons is not specified then the number of neurons will be set to +log₁₀(number of observations) * number of features. # References For a good overview of G-Computation see: @@ -197,11 +191,8 @@ Initialize a double machine learning estimator with cross fitting. # Notes If regularized is set to true then the ridge penalty will be estimated using generalized -cross validation where the maximum number of iterations is 2 * folds for the successive -halving procedure. However, if the penalty in on iteration is approximately the same as in -the previous penalty, then the procedure will stop early. If num_neurons is not specified -then the number of neurons will be set to log₍10₎(number of observations) * number of -features. +cross validation. If num_neurons is not specified then the number of neurons will be set to +log₁₀(number of observations) * number of features. Unlike other estimators, this method does not support time series or panel data. This method also does not work as well with smaller datasets because it estimates separate outcome diff --git a/src/inference.jl b/src/inference.jl index 2263364f..696ff691 100644 --- a/src/inference.jl +++ b/src/inference.jl @@ -1,17 +1,21 @@ using Random: shuffle """ - summarize(mod, n) + summarize(mod, kwargs...) Get a summary from a CausalEstimator or Metalearner. # Arguments - `mod::Union{CausalEstimator, Metalearner}`: a model to summarize. + +# Keywords - `n::Int=100`: the number of iterations to generate the numll distribution for randomization inference. +- `inference::Bool`=false: wheteher calculate p-values and standard errors. # Notes -p-values and standard errors are estimated using approximate randomization inference. +p-values and standard errors are estimated using approximate randomization inference. If set +to true, this procedure takes a VERY long time due to repeated matrix inversions. # References For a primer on randomization inference see: @@ -33,7 +37,7 @@ julia> estimate_causal_effect!(m3) julia> summarise(m3) # British spelling works too! ``` """ -function summarize(mod, n=1000) +function summarize(mod; n=1000, inference=false) if all(isnan, mod.causal_effect) throw(ErrorException("call estimate_causal_effect! before calling summarize")) end @@ -53,7 +57,11 @@ function summarize(mod, n=1000) "p-value", ] - p, stderr = quantities_of_interest(mod, n) + if inference + p, stderr = quantities_of_interest(mod, n) + else + p, stderr = NaN, NaN + end values = [ task, @@ -75,16 +83,23 @@ function summarize(mod, n=1000) end """ - summarize(its, n, mean_effect) + summarize(its, kwargs...) Get a summary from an interrupted time series estimator. # Arguments - `its::InterruptedTimeSeries`: interrupted time series estimator + +# Keywords - `n::Int=100`: number of iterations to generate the numll distribution for randomization inference. - `mean_effect::Bool=true`: whether to estimate the mean or cumulative effect for an interrupted time series estimator. +- `inference::Bool`=false: wheteher calculate p-values and standard errors. + +# Notes +p-values and standard errors are estimated using approximate randomization inference. If set +to true, this procedure takes a VERY long time due to repeated matrix inversions. # Examples ```julia @@ -94,14 +109,18 @@ julia> estimate_causal_effect!(m4) julia> summarize(m4) ``` """ -function summarize(its::InterruptedTimeSeries, n=1000, mean_effect=true) +function summarize(its::InterruptedTimeSeries; n=1000, mean_effect=true, inference=false) if all(isnan, its.causal_effect) throw(ErrorException("call estimate_causal_effect! before calling summarize")) end effect = ifelse(mean_effect, mean(its.causal_effect), sum(its.causal_effect)) - p, stderr = quantities_of_interest(its, n, mean_effect) + if inference + p, stderr = quantities_of_interest(its, n, mean_effect) + else + p, stderr = NaN, NaN + end summary_dict = Dict() nicenames = [ diff --git a/src/metalearners.jl b/src/metalearners.jl index feb32293..e4dbd8d5 100644 --- a/src/metalearners.jl +++ b/src/metalearners.jl @@ -18,11 +18,8 @@ Initialize a S-Learner. # Notes If regularized is set to true then the ridge penalty will be estimated using generalized -cross validation where the maximum number of iterations is 2 * folds for the successive -halving procedure. However, if the penalty in on iteration is approximately the same as -in the previous penalty, then the procedure will stop early. If num_neurons is not specified -then the number of neurons will be set to log₍10₎(number of observations) * number of -features. +cross validation. If num_neurons is not specified then the number of neurons will be set to +log₁₀(number of observations) * number of features. # References For an overview of S-Learners and other metalearners see: @@ -98,11 +95,8 @@ Initialize a T-Learner. # Notes If regularized is set to true then the ridge penalty will be estimated using generalized -cross validation where the maximum number of iterations is 2 * folds for the successive -halving procedure. However, if the penalty in on iteration is approximately the same as -in the previous penalty, then the procedure will stop early. If num_neurons is not specified -then the number of neurons will be set to log₍10₎(number of observations) * number of -features. +cross validation. If num_neurons is not specified then the number of neurons will be set to +log₁₀(number of observations) * number of features. # References For an overview of T-Learners and other metalearners see: @@ -177,11 +171,8 @@ Initialize an X-Learner. # Notes If regularized is set to true then the ridge penalty will be estimated using generalized -cross validation where the maximum number of iterations is 2 * folds for the successive -halving procedure. However, if the penalty in on iteration is approximately the same as -in the previous penalty, then the procedure will stop early. If num_neurons is not specified -then the number of neurons will be set to log₍10₎(number of observations) * number of -features. +cross validation. If num_neurons is not specified then the number of neurons will be set to +log₁₀(number of observations) * number of features. # References For an overview of X-Learners and other metalearners see: @@ -260,10 +251,8 @@ Initialize an R-Learner. # Notes If regularized is set to true then the ridge penalty will be estimated using generalized cross validation where the maximum number of iterations is 2 * folds for the successive -halving procedure. However, if the penalty in on iteration is approximately the same as in -the previous penalty, then the procedure will stop early. If num_neurons is not specified -then the number of neurons will be set to log₍10₎(number of observations) * number of -features. +halving procedure. If num_neurons is not specified then the number of neurons will be set to +log₁₀(number of observations) * number of features. ## References For an explanation of R-Learner estimation see: @@ -343,10 +332,8 @@ Initialize a doubly robust CATE estimator. # Notes If regularized is set to true then the ridge penalty will be estimated using generalized cross validation where the maximum number of iterations is 2 * folds for the successive -halving procedure. However, if the penalty in on iteration is approximately the same as in -the previous penalty, then the procedure will stop early. If num_neurons is not specified -then the number of neurons will be set to log₍10₎(number of observations) * number of -features. +halving procedure. If num_neurons is not specified then the number of neurons will be set to +log₁₀(number of observations) * number of features. # References For an explanation of doubly robust cate estimation see: diff --git a/test/test_inference.jl b/test/test_inference.jl index 07a63c1d..7ff2dda2 100644 --- a/test/test_inference.jl +++ b/test/test_inference.jl @@ -9,25 +9,26 @@ g_computer = GComputation(x, t, y) estimate_causal_effect!(g_computer) g_inference = CausalELM.generate_null_distribution(g_computer, 10) p1, stderr1 = CausalELM.quantities_of_interest(g_computer, 10) -summary1 = summarize(g_computer, 10) +summary1 = summarize(g_computer, n=10, inference=true) dm = DoubleMachineLearning(x, 5 * randn(100) .+ 2, y) estimate_causal_effect!(dm) dm_inference = CausalELM.generate_null_distribution(dm, 10) p2, stderr2 = CausalELM.quantities_of_interest(dm, 10) -summary2 = summarize(dm, 10) +summary2 = summarize(dm, n=10) # With a continuous treatment variable dm_continuous = DoubleMachineLearning(x, t, rand(1:4, 100)) estimate_causal_effect!(dm_continuous) dm_continuous_inference = CausalELM.generate_null_distribution(dm_continuous, 10) p3, stderr3 = CausalELM.quantities_of_interest(dm_continuous, 10) -summary3 = summarize(dm_continuous, 10) +summary3 = summarize(dm_continuous, n=10) x₀, y₀, x₁, y₁ = rand(1:100, 100, 5), rand(100), rand(10, 5), rand(10) its = InterruptedTimeSeries(x₀, y₀, x₁, y₁) estimate_causal_effect!(its) -summary4 = summarize(its, 10) +summary4 = summarize(its, n=10) +summary4_inference = summarize(its, n=10, inference=true) # Null distributions for the mean and cummulative changes its_inference1 = CausalELM.generate_null_distribution(its, 10, true) @@ -36,30 +37,30 @@ p4, stderr4 = CausalELM.quantities_of_interest(its, 10, true) slearner = SLearner(x, t, y) estimate_causal_effect!(slearner) -summary5 = summarize(slearner, 10) +summary5 = summarize(slearner, n=10) tlearner = TLearner(x, t, y) estimate_causal_effect!(tlearner) tlearner_inference = CausalELM.generate_null_distribution(tlearner, 10) p6, stderr6 = CausalELM.quantities_of_interest(tlearner, 10) -summary6 = summarize(tlearner, 10) +summary6 = summarize(tlearner, n=10) xlearner = XLearner(x, t, y) estimate_causal_effect!(xlearner) xlearner_inference = CausalELM.generate_null_distribution(xlearner, 10) p7, stderr7 = CausalELM.quantities_of_interest(xlearner, 10) -summary7 = summarize(xlearner, 10) -summary8 = summarise(xlearner, 10) +summary7 = summarize(xlearner, n=10) +summary8 = summarise(xlearner, n=10) rlearner = RLearner(x, t, y) estimate_causal_effect!(rlearner) -summary9 = summarize(rlearner, 10) +summary9 = summarize(rlearner, n=10) dr_learner = DoublyRobustLearner(x, t, y, regularized=false) estimate_causal_effect!(dr_learner) dr_learner_inference = CausalELM.generate_null_distribution(dr_learner, 10) p8, stderr8 = CausalELM.quantities_of_interest(dr_learner, 10) -summary10 = summarize(dr_learner, 10) +summary10 = summarize(dr_learner, n=10) @testset "Generating Null Distributions" begin @test size(g_inference, 1) === 10 @@ -118,6 +119,10 @@ end @test !isnothing(v) end + # Interrupted Time Series with randomization inference + @test summary4_inference["Standard Error"] !== NaN + @test summary4_inference["p-value"] !== NaN + # S-Learners for (k, v) in summary5 @test !isnothing(v) @@ -150,7 +155,7 @@ end end @testset "Error Handling" begin - @test_throws ErrorException summarize(InterruptedTimeSeries(x₀, y₀, x₁, y₁), 10) + @test_throws ErrorException summarize(InterruptedTimeSeries(x₀, y₀, x₁, y₁), n=10) @test_throws ErrorException summarize(GComputation(x, y, t)) @test_throws ErrorException summarize(TLearner(x, y, t)) end From 98a4bd18930ea8a801ad902bc77eb8deaae197f5 Mon Sep 17 00:00:00 2001 From: Darren Colby Date: Wed, 26 Jun 2024 00:14:48 -0500 Subject: [PATCH 04/24] Checking if issue is local --- Manifest.toml | 232 +- Project.toml | 10 +- pension.csv | 9916 +++++++++++++++++++++++++++++++++++++++ src/CausalELM.jl | 18 +- src/estimators.jl | 23 +- src/model_validation.jl | 34 - src/models.jl | 169 +- src/utilities.jl | 34 + test/runtests.jl | 22 +- test/test_estimators.jl | 3 +- testing.ipynb | 356 ++ 11 files changed, 10636 insertions(+), 181 deletions(-) create mode 100644 pension.csv create mode 100644 testing.ipynb diff --git a/Manifest.toml b/Manifest.toml index 5fcff0eb..5294738f 100644 --- a/Manifest.toml +++ b/Manifest.toml @@ -2,16 +2,103 @@ julia_version = "1.8.5" manifest_format = "2.0" -project_hash = "18a38d2a3c0a24ffa847859ade56a5a957640011" +project_hash = "a71c3dc546f65e5c8baf2d15aa5d41355e85fe6c" [[deps.Artifacts]] uuid = "56f22d72-fd6d-98f1-02f0-08ddc0907c33" +[[deps.Base64]] +uuid = "2a0f44e3-6c83-55bd-87e4-b1978d98bd5f" + +[[deps.CSV]] +deps = ["CodecZlib", "Dates", "FilePathsBase", "InlineStrings", "Mmap", "Parsers", "PooledArrays", "PrecompileTools", "SentinelArrays", "Tables", "Unicode", "WeakRefStrings", "WorkerUtilities"] +git-tree-sha1 = 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100644 --- a/Project.toml +++ b/Project.toml @@ -1,20 +1,22 @@ name = "CausalELM" uuid = "26abab4e-b12e-45db-9809-c199ca6ddca8" authors = ["Darren Colby and contributors"] -version = "0.6" +version = "0.6.0" [deps] +CSV = "336ed68f-0bac-5ca0-87d4-7b16caf5d00b" +DataFrames = "a93c6f00-e57d-5684-b7b6-d8193f3e46c0" LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e" Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c" [compat] -LinearAlgebra = "1.7" -Random = "1.7" -julia = "1.7" Aqua = "0.8" DataFrames = "1.5" Documenter = "1.2" +LinearAlgebra = "1.7" +Random = "1.7" Test = "1.7" +julia = "1.7" [extras] Aqua = "4c88cf16-eb10-579e-8560-4a9242c79595" diff --git a/pension.csv b/pension.csv new file mode 100644 index 00000000..e4dff354 --- /dev/null +++ b/pension.csv @@ -0,0 +1,9916 @@ 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+18,20 @@ export hard_tanh, elish, fourier export binary_step, σ, tanh, relu export leaky_relu, swish, softmax, softplus export mse, mae, accuracy, precision, recall, F1 -export estimate_causal_effect!, summarize, summarise -export InterruptedTimeSeries, GComputation, DoubleMachineLearning -export SLearner, TLearner, XLearner, RLearner, DoublyRobustLearner +#export estimate_causal_effect!, summarize, summarise +#export InterruptedTimeSeries, GComputation, DoubleMachineLearning +#export SLearner, TLearner, XLearner, RLearner, DoublyRobustLearner -include("utilities.jl") include("activation.jl") +include("utilities.jl") include("models.jl") include("metrics.jl") -include("estimators.jl") -include("metalearners.jl") -include("inference.jl") -include("model_validation.jl") +#include("estimators.jl") +#include("metalearners.jl") +#include("inference.jl") +#include("model_validation.jl") # So that it works with British spelling -const summarise = summarize +#const summarise = summarize end diff --git a/src/estimators.jl b/src/estimators.jl index 452bd9e3..9e289b3d 100644 --- a/src/estimators.jl +++ b/src/estimators.jl @@ -315,16 +315,19 @@ function g_formula!(g) Xᵤ = hcat(covariates[g.T .== 1, 1:(end - 1)], zeros(size(g.T[g.T .== 1], 1))) end - if g.regularized - g.learner = RegularizedExtremeLearner(covariates, y, g.num_neurons, g.activation) - else - g.learner = ExtremeLearner(covariates, y, g.num_neurons, g.activation) - end - - fit!(g.learner) - yₜ = clip_if_binary(predict(g.learner, Xₜ), var_type(g.Y)) - yᵤ = clip_if_binary(predict(g.learner, Xᵤ), var_type(g.Y)) - return vec(yₜ) - vec(yᵤ) + #if g.regularized + #g.learner = RegularizedExtremeLearner(covariates, y, g.num_neurons, g.activation) + #else + #g.learner = ExtremeLearner(covariates, y, g.num_neurons, g.activation) + #end + + ensemble = ELMEnsemble(covariates, y, 1000, 100, 10) + + #fit!(g.learner) + return fit!(ensemble) + #yₜ = clip_if_binary(predict(g.learner, Xₜ), var_type(g.Y)) + #yᵤ = clip_if_binary(predict(g.learner, Xᵤ), var_type(g.Y)) + #return vec(yₜ) - vec(yᵤ) end """ diff --git a/src/model_validation.jl b/src/model_validation.jl index 6400f1ae..46f07a22 100644 --- a/src/model_validation.jl +++ b/src/model_validation.jl @@ -1,37 +1,3 @@ -"""Abstract type used to dispatch risk_ratio on nonbinary treatments""" -abstract type Nonbinary end - -"""Type used to dispatch risk_ratio on binary treatments""" -struct Binary end - -"""Type used to dispatch risk_ratio on count treatments""" -struct Count <: Nonbinary end - -"""Type used to dispatch risk_ratio on continuous treatments""" -struct Continuous <: Nonbinary end - -""" - var_type(x) - -Determine the type of variable held by a vector. - -# Examples -```jldoctest -julia> CausalELM.var_type([1, 2, 3, 2, 3, 1, 1, 3, 2]) -CausalELM.Count() -``` -""" -function var_type(x::Array{<:Real}) - x_set = Set(x) - if x_set == Set([0, 1]) || x_set == Set([0]) || x_set == Set([1]) - return Binary() - elseif x_set == Set(round.(x_set)) - return Count() - else - return Continuous() - end -end - """ validate(its; kwargs...) diff --git a/src/models.jl b/src/models.jl index c61b2803..a52d6ba6 100644 --- a/src/models.jl +++ b/src/models.jl @@ -1,8 +1,3 @@ -using LinearAlgebra: pinv, I, norm, tr - -"""Abstract type that includes vanilla and L2 regularized Extreme Learning Machines""" -abstract type ExtremeLearningMachine end - """ ExtremeLearner(X, Y, hidden_neurons, activation) @@ -25,7 +20,7 @@ julia> x, y = [1.0 1.0; 0.0 1.0; 0.0 0.0; 1.0 0.0], [0.0, 1.0, 0.0, 1.0] julia> m1 = ExtremeLearner(x, y, 10, σ) ``` """ -mutable struct ExtremeLearner <: ExtremeLearningMachine +mutable struct ExtremeLearner X::Array{Float64} Y::Array{Float64} training_samples::Int64 @@ -45,40 +40,54 @@ mutable struct ExtremeLearner <: ExtremeLearningMachine end """ - RegularizedExtremeLearner(X, Y, hidden_neurons, activation) + ELMEnsemble(X, Y, sample_size, num_machines, num_neurons) + +Initialize a bagging ensemble of extreme learning machines. + +# Arguments +- `X::Array{Float64}`: array of features for predicting labels. +- `Y::Array{Float64}`: array of labels to predict. +- `sample_size::Integer`: how many data points to use for each extreme learning machine. +- `num_machines::Integer`: how many extreme learning machines to use. +- `num_neurons::Integer`: how many neurons to use for each extreme learning machine. +- `activation::Function`: activation function to use for the extreme learning machines. -Construct a RegularizedExtremeLearner for fitting and prediction. +# Notes +ELMEnsemble uses the same bagging approach as random forests when the labels are continuous +but uses the average predicted probability, rather than voting, for classification. # Examples ```julia -julia> x, y = [1.0 1.0; 0.0 1.0; 0.0 0.0; 1.0 0.0], [0.0, 1.0, 0.0, 1.0] -julia> m1 = RegularizedExtremeLearner(x, y, 10, σ) +julia> X, Y = rand(100, 5), rand(100) +julia> m1 = ELMEnsemble(X, Y, 10, 50, 5, CausalELM.relu) ``` """ -mutable struct RegularizedExtremeLearner <: ExtremeLearningMachine +mutable struct ELMEnsemble X::Array{Float64} Y::Array{Float64} - training_samples::Int64 - features::Int64 - hidden_neurons::Int64 + elms::Array{CausalELM.ExtremeLearner} +end + +function ELMEnsemble( + X::Array{Float64}, + Y::Array{Float64}, + sample_size::Integer, + num_machines::Integer, + num_neurons::Integer, activation::Function - __fit::Bool - __estimated::Bool - weights::Array{Float64} - β::Array{Float64} - k::Float64 - H::Array{Float64} - counterfactual::Array{Float64} +) + # Sampling from the data with replacement + indices = [rand(1:length(Y), sample_size) for i ∈ 1:num_machines] + xs, ys = [X[i, :] for i ∈ indices], [Y[i] for i ∈ indices] + elms = [ExtremeLearner(xs[i], ys[i], num_neurons, activation) for i ∈ eachindex(xs)] - function RegularizedExtremeLearner(X, Y, hidden_neurons, activation) - return new(X, Y, size(X, 1), size(X, 2), hidden_neurons, activation, false, false) - end + return ELMEnsemble(X, Y, elms) end """ fit!(model) -Make predictions with an ExtremeLearner. +Fit an ExtremeLearner to the data. # References For more details see: @@ -95,39 +104,33 @@ function fit!(model::ExtremeLearner) set_weights_biases(model) model.__fit = true - model.β = @fastmath pinv(model.H) * model.Y + model.β = model.H\model.Y return model.β end """ fit!(model) -Fit a Regularized Extreme Learner. +Fit an ensemble of ExtremeLearners to the data. -# References -For more details see: - Li, Guoqiang, and Peifeng Niu. "An enhanced extreme learning machine based on ridge - regression for regression." Neural Computing and Applications 22, no. 3 (2013): - 803-810. +# Arguments +- `model::ELMEnsemble`: ensemble of ExtremeLearners to fit. + +# Notes +This uses the same bagging approach as random forests when the labels are continuous but +uses the average predicted probability, rather than voting, for classification. # Examples ```julia -julia> x, y = [1.0 1.0; 0.0 1.0; 0.0 0.0; 1.0 0.0], [0.0, 1.0, 0.0, 1.0] -julia> m1 = RegularizedExtremeLearner(x, y, 10, σ) -julia> f1 = fit!(m1) +julia> X, Y = rand(100, 5), rand(100) +julia> m1 = ELMEnsemble(X, Y, 10, 50, 5, CausalELM.relu) +julia> fit!(m1) ``` """ -function fit!(model::RegularizedExtremeLearner) - set_weights_biases(model) - k = ridge_constant(model) - Id = Matrix(I, size(model.H, 2), size(model.H, 2)) - - model.β = @fastmath pinv(transpose(model.H) * model.H + k * Id) * - transpose(model.H) * - model.Y - model.__fit = true # Enables running predict - - return model.β +function fit!(model::ELMEnsemble) + Threads.@threads for elm in model.elms + fit!(elm) + end end """ @@ -148,12 +151,14 @@ julia> f1 = fit(m1, sigmoid) julia> predict(m1, [1.0 1.0; 0.0 1.0; 0.0 0.0; 1.0 0.0]) ``` """ -function predict(model::ExtremeLearningMachine, X) +function predict(model::ExtremeLearner, X) if !model.__fit throw(ErrorException("run fit! before calling predict")) end - return @fastmath model.activation(X * model.weights) * model.β + predictions = model.activation(X * model.weights) * model.β + + return @fastmath clip_if_binary(predictions, var_type(model.Y)) end """ @@ -175,7 +180,7 @@ julia> f1 = fit(m1, sigmoid) julia> predict_counterfactual!(m1, [1.0 1.0; 0.0 1.0; 0.0 0.0; 1.0 0.0]) ``` """ -function predict_counterfactual!(model::ExtremeLearningMachine, X) +function predict_counterfactual!(model::ExtremeLearner, X) model.counterfactual, model.__estimated = predict(model, X), true return model.counterfactual @@ -202,7 +207,7 @@ julia> predict_counterfactual(m1, [1.0 1.0; 0.0 1.0; 0.0 0.0; 1.0 0.0]) julia> placebo_test(m1) ``` """ -function placebo_test(model::ExtremeLearningMachine) +function placebo_test(model::ExtremeLearner) m = "Use predict_counterfactual! to estimate a counterfactual before using placebo_test" if !model.__estimated throw(ErrorException(m)) @@ -211,60 +216,9 @@ function placebo_test(model::ExtremeLearningMachine) end """ - ridge_constant(model, [,iterations]) - -Calculate the L2 penalty for a regularized extreme learning machine using generalized cross -validation with successive halving. - -# Arguments -- `model::RegularizedExtremeLearner`: regularized extreme learning machine. -- `iterations::Int`: number of iterations to perform for successive halving. - -# References -For more information see: - Golub, Gene H., Michael Heath, and Grace Wahba. "Generalized cross-validation as a - method for choosing a good ridge parameter." Technometrics 21, no. 2 (1979): 215-223. - -# Examples -```julia -julia> m1 = RegularizedExtremeLearner(x, y, 10, σ) -julia> ridge_constant(m1) -julia> ridge_constant(m1, iterations=20) -``` -""" -function ridge_constant(model::RegularizedExtremeLearner, iterations::Int=10) - S(λ, X, X̂, n) = X * pinv(X̂ .+ (n * λ * Matrix(I, n, n))) * transpose(X) set_weights_biases(model) - Ĥ = transpose(model.H) * model.H - function gcv(H, Y, λ) # Estimates the generalized cross validation function for given λ - S̃, n = S(λ, H, Ĥ, size(H, 2)), size(H, 1) - return ((norm((ones(n) .- S̃) * Y)^2) / n) / ((tr(Matrix(I, n, n) .- S̃) / n)^2) - end - - k₁, k₂, Λ = 1e-9, 1 - 1e-9, sum((1e-9, 1 - 1e-9)) / 2 # Initial window to search - for i in 1:iterations - gcv₁, gcv₂ = @fastmath gcv(model.H, model.Y, k₁), gcv(model.H, model.Y, k₂) - - # Divide the search space in half - if gcv₁ < gcv₂ - k₂ /= 2 - elseif gcv₁ > gcv₂ - k₁ *= 2 - elseif gcv₁ ≈ gcv₂ - return (k₁ + k₂) / 2 # Early stopping - end - - Λ = (k₁ + k₂) / 2 - end - return Λ -end - -""" - set_weights_biases(model) - -Calculate the weights and biases for an extreme learning machine or regularized extreme -learning machine. +Calculate the weights and biases for an extreme learning machine. # Notes Initialization is done using uniform Xavier initialization. @@ -280,7 +234,7 @@ julia> m1 = RegularizedExtremeLearner(x, y, 10, σ) julia> set_weights_biases(m1) ``` """ -function set_weights_biases(model::ExtremeLearningMachine) +function set_weights_biases(model::ExtremeLearner) n_in, n_out = size(model.X, 2), model.hidden_neurons a, b = -sqrt(6) / sqrt(n_in + n_out), sqrt(6) / sqrt(n_in + n_out) model.weights = @fastmath a .+ ((b - a) .* rand(model.features, model.hidden_neurons)) @@ -293,12 +247,3 @@ function Base.show(io::IO, model::ExtremeLearner) io, "Extreme Learning Machine with ", model.hidden_neurons, " hidden neurons" ) end - -function Base.show(io::IO, model::RegularizedExtremeLearner) - return print( - io, - "Regularized Extreme Learning Machine with ", - model.hidden_neurons, - " hidden neurons", - ) -end diff --git a/src/utilities.jl b/src/utilities.jl index 0a47cb8f..b4bb7c02 100644 --- a/src/utilities.jl +++ b/src/utilities.jl @@ -1,3 +1,37 @@ +"""Abstract type used to dispatch risk_ratio on nonbinary treatments""" +abstract type Nonbinary end + +"""Type used to dispatch risk_ratio on binary treatments""" +struct Binary end + +"""Type used to dispatch risk_ratio on count treatments""" +struct Count <: Nonbinary end + +"""Type used to dispatch risk_ratio on continuous treatments""" +struct Continuous <: Nonbinary end + +""" + var_type(x) + +Determine the type of variable held by a vector. + +# Examples +```jldoctest +julia> CausalELM.var_type([1, 2, 3, 2, 3, 1, 1, 3, 2]) +CausalELM.Count() +``` +""" +function var_type(x::Array{<:Real}) + x_set = Set(x) + if x_set == Set([0, 1]) || x_set == Set([0]) || x_set == Set([1]) + return Binary() + elseif x_set == Set(round.(x_set)) + return Count() + else + return Continuous() + end +end + """ mean(x) diff --git a/test/runtests.jl b/test/runtests.jl index 51d898f8..02c71439 100644 --- a/test/runtests.jl +++ b/test/runtests.jl @@ -1,14 +1,16 @@ -using Test, Documenter, CausalELM +using Test +using Documenter +using CausalELM include("test_activation.jl") include("test_models.jl") -include("test_metrics.jl") -include("test_estimators.jl") -include("test_metalearners.jl") -include("test_inference.jl") -include("test_model_validation.jl") -include("test_utilities.jl") -include("test_aqua.jl") +#include("test_metrics.jl") +#include("test_estimators.jl") +#include("test_metalearners.jl") +#include("test_inference.jl") +#include("test_model_validation.jl") +#include("test_utilities.jl") +#include("test_aqua.jl") -DocMeta.setdocmeta!(CausalELM, :DocTestSetup, :(using CausalELM); recursive=true) -doctest(CausalELM) +#DocMeta.setdocmeta!(CausalELM, :DocTestSetup, :(using CausalELM); recursive=true) +#doctest(CausalELM) diff --git a/test/test_estimators.jl b/test/test_estimators.jl index 29e859e0..e20b7a5b 100644 --- a/test/test_estimators.jl +++ b/test/test_estimators.jl @@ -45,7 +45,8 @@ g_computer_ts = GComputation( float.(hcat([1:10;], 11:20)), Float64.([rand() < 0.4 for i in 1:10]), rand(10) ) -dm = DoubleMachineLearning(x, t, y) +big_x, big_t, big_y = rand(10000, 5), rand(0:1, 10000), vec(rand(1:100, 10000, 1)) +dm = DoubleMachineLearning(big_x, big_t, big_y, regularized=false) estimate_causal_effect!(dm) # Testing with a binary outcome diff --git a/testing.ipynb b/testing.ipynb new file mode 100644 index 00000000..dde92722 --- /dev/null +++ b/testing.ipynb @@ -0,0 +1,356 @@ +{ + "cells": [ + { + "cell_type": "code", + "execution_count": 14, + "metadata": {}, + "outputs": [], + "source": [ + "using CausalELM\n", + "using CSV\n", + "using DataFrames\n", + "using Random" + ] + }, + { + "cell_type": "code", + "execution_count": 9, + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "(\u001b[1m9915×8 DataFrame\u001b[0m\n", + "\u001b[1m Row \u001b[0m│\u001b[1m age \u001b[0m\u001b[1m inc \u001b[0m\u001b[1m fsize \u001b[0m\u001b[1m marr \u001b[0m\u001b[1m twoearn \u001b[0m\u001b[1m db \u001b[0m\u001b[1m pira \u001b[0m\u001b[1m hown \u001b[0m\n", + " │\u001b[90m Int64 \u001b[0m\u001b[90m Int64 \u001b[0m\u001b[90m Int64 \u001b[0m\u001b[90m Int64 \u001b[0m\u001b[90m Int64 \u001b[0m\u001b[90m Int64 \u001b[0m\u001b[90m Int64 \u001b[0m\u001b[90m Int64 \u001b[0m\n", + "──────┼──────────────────────────────────────────────────────────\n", + " 1 │ 31 28146 5 1 0 0 0 1\n", + " 2 │ 52 32634 5 0 0 0 0 1\n", + " 3 │ 50 52206 3 1 1 0 1 1\n", + " 4 │ 28 45252 4 1 1 0 0 0\n", + " 5 │ 42 33126 3 0 0 1 0 1\n", + " 6 │ 49 76860 6 1 1 1 0 1\n", + " 7 │ 40 57477 4 1 1 1 0 1\n", + " 8 │ 58 14637 1 0 0 0 0 0\n", + " ⋮ │ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮\n", + " 9909 │ 28 31926 2 1 1 0 0 0\n", + " 9910 │ 49 64215 4 1 1 0 1 1\n", + " 9911 │ 34 13500 1 0 0 1 0 0\n", + " 9912 │ 33 39027 3 1 0 1 0 1\n", + " 9913 │ 34 62616 4 1 1 0 0 1\n", + " 9914 │ 41 56190 3 1 1 1 0 1\n", + " 9915 │ 28 26205 4 1 1 0 0 0\n", + "\u001b[36m 9900 rows omitted\u001b[0m, [0, 0, 0, 0, 0, 0, 0, 0, 0, 0 … 1, 1, 1, 1, 1, 1, 1, 1, 1, 1], [-3300, 61010, 8849, -6013, -2375, -11000, -16901, 1000, 0, 6400 … -1436, 4500, 34739, -750, 40000, 172, 836, 6150, 14499, -5400])" + ] + }, + "metadata": {}, + "output_type": "display_data" + } + ], + "source": [ + "pension_df = CSV.read(\"pension.csv\", DataFrame)\n", + "pension_df = pension_df[:, [10, 22, 13, 14, 15, 18, 20, 17, 24, 33]]\n", + "covariates, treatment, outcome = pension_df[:, 3:end], pension_df[:, 2], pension_df[:, 1]" + ] + }, + { + "cell_type": "code", + "execution_count": 63, + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "DoubleMachineLearning([31.0 28146.0 … 0.0 1.0; 52.0 32634.0 … 0.0 1.0; … ; 41.0 56190.0 … 0.0 1.0; 28.0 26205.0 … 0.0 0.0], [0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0 … 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0], [-3300.0, 61010.0, 8849.0, -6013.0, -2375.0, -11000.0, -16901.0, 1000.0, 0.0, 6400.0 … -1436.0, 4500.0, 34739.0, -750.0, 40000.0, 172.0, 836.0, 6150.0, 14499.0, -5400.0], [31.0 28146.0 … 0.0 1.0; 52.0 32634.0 … 0.0 1.0; … ; 41.0 56190.0 … 0.0 1.0; 28.0 26205.0 … 0.0 0.0], \"ATE\", false, \"regression\", true, CausalELM.relu, 8954, NaN, 5)" + ] + }, + "metadata": {}, + "output_type": "display_data" + } + ], + "source": [ + "glearner = DoubleMachineLearning(covariates, treatment, outcome)" + ] + }, + { + "cell_type": "code", + "execution_count": 66, + "metadata": {}, + "outputs": [], + "source": [ + "estimate_causal_effect!(glearner)" + ] + }, + { + "cell_type": "code", + "execution_count": 38, + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "([0.23716522406873197 0.08463142909640708 … 0.30968748590862305 0.04725439908425155; 0.13055165056767004 0.9220378350184131 … 0.572606572207097 0.3884781806564631; … ; 0.5640916988721004 0.853346124678495 … 0.8469263452425522 0.1257190755169607; 0.6679763039334277 0.47972447662761064 … 0.37811702580338935 0.617016732528424], [0.6491269811582214, 0.5932565556655242, 0.8565916760297303, 0.7021098498625459, 0.5264840904652793, 0.7432901746261853, 0.7807974247740146, 0.540402591727013, 0.6592750061253853, 0.8705468971445318 … 0.27613447847948525, 0.23299375275857093, 0.9834654852036273, 0.26905537667480783, 0.2977201330273679, 0.2251454190526, 0.22413247851994167, 0.0759353440270586, 0.11762273465665674, 0.7904463339844465])" + ] + }, + "metadata": {}, + "output_type": "display_data" + } + ], + "source": [ + "x, y = rand(10000, 7), rand(10000)" + ] + }, + { + "cell_type": "code", + "execution_count": 45, + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "Regularized Extreme Learning Machine with 32 hidden neurons" + ] + }, + "metadata": {}, + "output_type": "display_data" + } + ], + "source": [ + "learner = CausalELM.RegularizedExtremeLearner(x, y, 32, CausalELM.relu)" + ] + }, + { + "cell_type": "code", + "execution_count": 46, + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "32-element Vector{Float64}:\n", + " 0.026749830711221247\n", + " 0.21033200016686496\n", + " 0.0998447220434613\n", + " -0.0016226945603700442\n", + " 0.3597543007214425\n", + " -0.043393923445557585\n", + " -0.0965275383555918\n", + " 0.16851120953021403\n", + " -0.557573006115525\n", + " -0.2778346924700644\n", + " ⋮\n", + " 0.5212664218550033\n", + " 0.13173644509429325\n", + " 0.5211474953702191\n", + " -0.20661927597795182\n", + " 0.08922154206186592\n", + " 0.16653105344587832\n", + " 0.28420105086226877\n", + " 0.14469922378022404\n", + " 0.23991509930469146" + ] + }, + "metadata": {}, + "output_type": "display_data" + } + ], + "source": [ + "CausalELM.fit!(learner)" + ] + }, + { + "cell_type": "code", + "execution_count": 37, + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "100-element Vector{Vector{Float64}}:\n", + " [0.33563059342914375, 1.554096183061739, 0.34175856928495607, 1.4843766215556682, -0.1271150310066662]\n", + " [-0.17343604358378908, 0.12755980344503404, 0.4879726895099466, 0.4237855857253079, 0.33327314853638307]\n", + " [0.6867049618284538, 1.7639485392494731, -0.1769622610416582, 0.8025175209234753, 0.3162124425261725]\n", + " [0.4311107417441136, 0.3815772807360452, 0.04724625538049302, 0.35167417631976233, -0.22961157745956168]\n", + " [0.07929165744768467, 0.42503570736716156, 0.11718878236558518, 0.6794679592330893, 0.2097825511197849]\n", + " [0.0, -0.10187284552293427, 0.3254677777717854, 3.202266196543033e-17, 0.19784989559926286]\n", + " [0.3612678189475889, 0.3231944876545776, -3.10093526107407e-15, 0.7815001221603154, 0.06663446895775363]\n", + " [1.2569802097480374, -3.0084525386329504, -0.6188530616095848, 0.4304718396128743, 0.5344934682266744]\n", + " [0.3410220874955934, 0.4997803635021601, 0.15743896412842878, 0.4836342090809235, -0.009722499096015656]\n", + " [0.25605571278411066, 0.4139552997221257, 0.24509473398353754, -0.2951807601203683, 0.481253052059495]\n", + " ⋮\n", + " [0.3288054483267889, 0.9013569758236797, 0.6578316039798714, 0.15582113363566913, 0.5738668694380774]\n", + " [3.248579620102745, 0.40409889685896394, 0.0985940078506724, 0.0067590730144703615, 1.2317304730902332]\n", + " [0.5369175126794183, -0.015930203977996292, 3.5387922344531497, 0.0, 0.33289240822647176]\n", + " [0.4198364812057246, 0.08732942450079251, 0.24260485315730573, 0.3572921516525323, 0.5746169223073783]\n", + " [0.31779097678518065, 0.07942042685607537, 1.3334033473644795, -0.14338187719100173, 8.836720786077997]\n", + " [0.16254422052556974, -0.1802461953026333, 0.14242076117583533, 1.1571796204354574, 0.28481885986823574]\n", + " [0.685903612597394, 0.31148278612632635, -0.5170648985089248, -0.9241162798988115, 0.5149519883264604]\n", + " [-0.8330554768181385, 0.8461605570419718, 2.2803866099371377, 0.603911556736617, 0.32424145127162707]\n", + " [0.15366760321947498, 0.15943453750552228, 0.1835045671943382, 0.35920664108713546, 0.5726955152306309]" + ] + }, + "metadata": {}, + "output_type": "display_data" + } + ], + "source": [ + "xs = [rand(1000, 8) for i in 1:100]\n", + "ys = [rand(1000) for i in 1:100]\n", + "\n", + "learners = [CausalELM.ExtremeLearner(xs[i], ys[i], 5, CausalELM.relu) for i in 1:100]\n", + "CausalELM.fit!.(learners)" + ] + }, + { + "cell_type": "code", + "execution_count": 39, + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "fit! (generic function with 1 method)" + ] + }, + "metadata": {}, + "output_type": "display_data" + } + ], + "source": [ + "mutable struct ELMEnsemble\n", + " X::Array{Float64}\n", + " Y::Array{Float64}\n", + " elms::Array{CausalELM.ExtremeLearner}\n", + "end\n", + "\n", + "function ELMEnsemble(\n", + " X::Array{Float64}, \n", + " Y::Array{Float64}, \n", + " sample_size::Integer, \n", + " num_machines::Integer, \n", + " num_neurons::Integer\n", + ")\n", + " rows = [rand(1:length(Y), length(Y)) for i in 1:num_machines]\n", + " cols = [randperm(size(X, 2))[1:floor(Int64, sqrt(size(X, 2)))] for i ∈ 1:num_machines]\n", + " xs, ys = [X[rows[i], cols[i]] for i ∈ eachindex(rows)], [Y[rows[i]] for i ∈ eachindex(rows)]\n", + " elms = [CausalELM.ExtremeLearner(xs[i], ys[i], num_neurons, CausalELM.relu) for i ∈ 1:num_machines]\n", + "\n", + " return ELMEnsemble(X, Y, elms)\n", + "end\n", + "\n", + "fit!(mod::ELMEnsemble) = CausalELM.fit!.(mod.elms)" + ] + }, + { + "cell_type": "code", + "execution_count": 50, + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "ELMEnsemble([31.0 28146.0 … 0.0 1.0; 52.0 32634.0 … 0.0 1.0; … ; 41.0 56190.0 … 0.0 1.0; 28.0 26205.0 … 0.0 0.0], [-3300.0, 61010.0, 8849.0, -6013.0, -2375.0, -11000.0, -16901.0, 1000.0, 0.0, 6400.0 … -1436.0, 4500.0, 34739.0, -750.0, 40000.0, 172.0, 836.0, 6150.0, 14499.0, -5400.0], CausalELM.ExtremeLearner[Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons … Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons])" + ] + }, + "metadata": {}, + "output_type": "display_data" + } + ], + "source": [ + "ensemble = ELMEnsemble(Matrix{Float64}(covariates), Float64.(outcome[:, 1]), 10000, 100, 10)" + ] + }, + { + "cell_type": "code", + "execution_count": 59, + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "100-element Vector{Vector{Float64}}:\n", + " [6211.408699229452, 1.5821332294031651, -13735.18658175283, 0.6524374453029926, 260.79520738555453, 1.4013393161668026, -1351.18915422185, 14631.142361137296, 0.9738553598743988, 1.1907620936611532]\n", + " [-14401.515405970058, 71237.03121623177, -12585.477651933446, 14439.162597071294, -10985.595229244644, 23574.843298215033, 23123.869962055618, 23070.273691837538, 493.1701340561063, -56151.84544187152]\n", + " [-180.9263418876608, 0.0, 2873.5351527420603, -1985.5623964348392, -2686.811852048377, 4511.355299849305, -9875.408841485112, -1349.9293238605605, 5779.2168040718025, -120.24340400725902]\n", + " [0.0, -6257.710632510187, -19899.275681606392, -16954.679812461578, 0.0, 0.0, 22644.406308937705, 12385.177066525117, 51354.12427458451, 15260.878775158537]\n", + " [0.0, -3.300096251119809e15, 0.0, 0.0, 1.141844324809179e15, 7.393788509724736e14, 1.7904369830116632e15, 2.6663150926029503e14, 0.0, 7.774942140694326e14]\n", + " [-3151.838470139144, -10383.352842604001, 11084.317949300957, 7973.378634912843, -2573.788285713935, -6076.600754842969, -5001.902619455806, 5085.817075745457, -2560.722142072292, -367.7558818064236]\n", + " [1.6277175605843621, 3117.694700931024, 2.361719043673525, 7280.362734347653, 2.468991888640467, -3380.1737591954293, 1.5647624191343106, 1.968202909363788, -3658.633769147186, -3358.6532965786114]\n", + " [-959.5515039803628, 4847.7005289207555, -54.64283896285632, -2010.2367295961028, 347.12791831595365, -2219.632018093638, -2958.9591465487624, 3584.88174745901, -2103.8706823506204, 2347.975167620959]\n", + " [-7.432851434925925e15, -7.152424395228097e15, 6.498232078193411e15, -5.506981178516333e15, -2.4306382649357785e15, -3.85487461200726e14, 0.0, -2.1495576377182664e16, 2.2808371919013564e16, -4.728371175101958e14]\n", + " [3.968512877385542e14, -4.2016920358834445e13, 4.394459409700396e14, 0.0, -1.7376151004264258e15, 0.0, 0.0, 9.138496048629146e14, 8.730984540773104e14, 0.0]\n", + " ⋮\n", + " [2.5111642430234305e15, 4.4144861452837655e15, 0.0, -1.0389084074647591e15, -3.710721494724108e15, 1.5134248352427647e14, -6.394314202404305e14, -2.359146805234892e14, -9.711459015071153e13, -2.7838525887806795e15]\n", + " [15339.355321092233, 0.0, -7799.710349503419, 6808.794537731961, 4310.575689883699, -6696.812699412644, 30828.081214803475, -18842.49313890705, 0.0, -4764.3975931383075]\n", + " [9.53119581828307, -2613.249757248563, 0.0, -6851.415814567537, 0.0, 4555.988386908157, 0.0, 2932.1577282942258, 7464.138877252999, 0.0]\n", + " [0.0, 457.96912941704437, 0.0, 0.0, 0.0, 0.0, -2538.003159802811, -1950.0744518654026, 0.0, 2422.833745318398]\n", + " [4.6223974052008156e14, -4.17677104566351e13, 148407.48552676724, 6.625672071293822e14, 0.0, -1.89276732464444e15, -6.35864548866026e15, 7.107445078285544e15, 0.0, -5.883871732283758e14]\n", + " [-2.488017783615532e15, 0.0, -3.232214028710555e15, -2.7047704701998908e16, 2.5234325424644948e16, -7.421062032934681e14, -1.0707706149704448e16, 2.970090106272004e16, -1.0611540444238498e16, 2.47090955969143e15]\n", + " [0.0, 484.06561245772554, 290.34026327001453, -246.52186686817424, 15.511050526591374, 0.0, 708.0513209491902, 59.23240302631112, 0.0, 0.0]\n", + " [-7271.874885144173, 1.0969661825276436, 0.8583024387021408, 0.6096652093586122, 11385.905612580555, 0.8678820176045222, 1.9270399348042067, 0.5995702485614363, 1.1909960302658429, -2008.6992656209904]\n", + " [0.0, 0.0, 0.0, 0.0, 2.980561509923307e15, 0.0, 5748.538791400475, 0.0, -3.4821433570100465e15, -2.986917228323147e14]" + ] + }, + "metadata": {}, + "output_type": "display_data" + } + ], + "source": [ + "fit!(ensemble)" + ] + }, + { + "cell_type": "code", + "execution_count": 13, + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "GComputation([0.2438970367354274 1.0203271610609299e-5 … 0.4557954201596055 0.12617408413868259; 0.9722098498565798 0.9404158702616398 … 0.572663944473092 0.4275299444804007; … ; 0.8794397256676026 0.3601868122972116 … 0.7393696907435132 0.8348951617519277; 0.014716984885172035 0.46589184307039333 … 0.7082478540550154 0.24368612561948588], [1.0, 1.0, 0.0, 1.0, 1.0, 0.0, 0.0, 0.0, 1.0, 1.0 … 0.0, 0.0, 0.0, 0.0, 1.0, 1.0, 0.0, 1.0, 0.0, 0.0], [0.203432368671021, 0.7340111063697138, 0.9246754848534284, 0.08645250409038174, 0.5651033787805703, 0.023292113627898514, 0.32903202710805357, 0.7016381615911508, 0.014335546595652393, 0.8721335250668286 … 0.7910929379901037, 0.3368161498494835, 0.40237100558857697, 0.5284804552447494, 0.7622417670440221, 0.30391987549352806, 0.9757684512845898, 0.8711831517392297, 0.3426427099660381, 0.007855605424861856], \"ATE\", true, \"regression\", false, CausalELM.relu, 8451, NaN, #undef)" + ] + }, + "metadata": {}, + "output_type": "display_data" + } + ], + "source": [ + "m1 = GComputation(x, rand(0:1, 10000), y, regularized=false)" + ] + }, + { + "cell_type": "code", + "execution_count": 14, + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "0.5764691423345073" + ] + }, + "metadata": {}, + "output_type": "display_data" + } + ], + "source": [ + "estimate_causal_effect!(m1)" + ] + } + ], + "metadata": { + "kernelspec": { + "display_name": "Julia 1.8.5", + "language": "julia", + "name": "julia-1.8" + }, + "language_info": { + "file_extension": ".jl", + "mimetype": "application/julia", + "name": "julia", + "version": "1.8.5" + } + }, + "nbformat": 4, + "nbformat_minor": 2 +} From e486c6015ad7715d67d6b0ae56abb874cf4fd30d Mon Sep 17 00:00:00 2001 From: Darren Colby Date: Thu, 27 Jun 2024 23:30:08 -0500 Subject: [PATCH 05/24] Implemented ELM ensembles with bagging --- src/CausalELM.jl | 16 +- src/estimators.jl | 194 +++++++++++------- src/inference.jl | 31 ++- src/metalearners.jl | 365 +++++++++++++++++++--------------- src/model_validation.jl | 77 +++---- src/models.jl | 52 ++++- src/utilities.jl | 7 +- test/runtests.jl | 18 +- test/test_estimators.jl | 35 +--- test/test_inference.jl | 2 +- test/test_metalearners.jl | 56 ++---- test/test_model_validation.jl | 8 +- test/test_models.jl | 135 +++++++------ test/test_utilities.jl | 47 ++--- testing.ipynb | 204 +++---------------- 15 files changed, 589 insertions(+), 658 deletions(-) diff --git a/src/CausalELM.jl b/src/CausalELM.jl index 5dbfd9a7..f4b4d354 100644 --- a/src/CausalELM.jl +++ b/src/CausalELM.jl @@ -18,20 +18,20 @@ export hard_tanh, elish, fourier export binary_step, σ, tanh, relu export leaky_relu, swish, softmax, softplus export mse, mae, accuracy, precision, recall, F1 -#export estimate_causal_effect!, summarize, summarise -#export InterruptedTimeSeries, GComputation, DoubleMachineLearning -#export SLearner, TLearner, XLearner, RLearner, DoublyRobustLearner +export estimate_causal_effect!, summarize, summarise +export InterruptedTimeSeries, GComputation, DoubleMachineLearning +export SLearner, TLearner, XLearner, RLearner, DoublyRobustLearner include("activation.jl") include("utilities.jl") include("models.jl") include("metrics.jl") -#include("estimators.jl") -#include("metalearners.jl") -#include("inference.jl") -#include("model_validation.jl") +include("estimators.jl") +include("metalearners.jl") +include("inference.jl") +include("model_validation.jl") # So that it works with British spelling -#const summarise = summarize +const summarise = summarize end diff --git a/src/estimators.jl b/src/estimators.jl index 9e289b3d..7dafe935 100644 --- a/src/estimators.jl +++ b/src/estimators.jl @@ -11,16 +11,20 @@ Initialize an interrupted time series estimator. - `Y₁::Any`: an array or DataFrame of outcomes from the pre-treatment period. - `X₁::Any`: an array or DataFrame of covariates from the post-treatment period. - `Y₁::Any`: an array or DataFrame of outcomes from the post-treatment period. -- `regularized::Function=true`: whether to use L2 regularization # Keywords -- `activation::Function=relu`: the activation function to use. -- `num_neurons::Integer`: number of neurons to use in the extreme learning machine. +- `activation::Function=relu`: activation function to use. +- `sample_size::Integer=size(X₀, 1)`: number of bootstrapped samples for the extreme + learner. +- `num_machines::Integer=100`: number of extreme learning machines for the ensemble. +- `num_feats::Integer=Int(round(sqrt(size(X₀, 2))))`: number of features to bootstrap for + each learner in the ensemble. +- `num_neurons::Integer`: number of neurons to use in the extreme learning machines. # Notes -If regularized is set to true then the ridge penalty will be estimated using generalized -cross validation. If num_neurons is not specified then the number of neurons will be set to -log₁₀(number of observations) * number of features. +To reduce computational complexity and overfitting, the model used to estimate the +counterfactual is a bagged ensemble extreme learning machines. To further reduce the +computational complexity you can reduce sample_size, num_machines, or num_neurons. # References For a simple linear regression-based tutorial on interrupted time series analysis see: @@ -57,9 +61,11 @@ function InterruptedTimeSeries( Y₀, X₁, Y₁; - regularized::Bool=true, activation::Function=relu, - num_neurons::Integer=round(Int, log10(size(X₀, 2)) * size(X₀, 1)), + sample_size::Integer=size(X₀, 1), + num_machines::Integer=100, + num_feats::Integer=Int(round(sqrt(size(X₀, 2)))), + num_neurons::Integer=round(Int, log10(size(X₀, 1)) * size(X₀, 2)), autoregression::Bool=true, ) # Convert to arrays @@ -73,14 +79,16 @@ function InterruptedTimeSeries( return InterruptedTimeSeries( X₀, - Float64.(Y₀), - Float64.(X₁), - Float64.(Y₁), + float(Y₀), + X₁, + float(Y₁), "difference", true, task, - regularized, activation, + sample_size, + num_machines, + num_feats, num_neurons, fill(NaN, size(Y₁, 1)), ) @@ -99,14 +107,18 @@ Initialize a G-Computation estimator. # Keywords - `quantity_of_interest::String`: ATE for average treatment effect or ATT for average treatment effect on the treated. -- `regularized::Function=true`: whether to use L2 regularization -- `activation::Function=relu`: the activation function to use. -- `num_neurons::Integer`: number of neurons to use in the extreme learning machine. +- `activation::Function=relu`: activation function to use. +- `sample_size::Integer=size(X, 1)`: number of bootstrapped samples for the extreme + learners. +- `num_machines::Integer=100`: number of extreme learning machines for the ensemble. +- `num_feats::Integer=Int(round(sqrt(size(X, 2))))`: number of features to bootstrap for + each learner in the ensemble. +- `num_neurons::Integer`: number of neurons to use in the extreme learning machines. # Notes -If regularized is set to true then the ridge penalty will be estimated using generalized -cross validation. If num_neurons is not specified then the number of neurons will be set to -log₁₀(number of observations) * number of features. +To reduce computational complexity and overfitting, the model used to estimate the +counterfactual is a bagged ensemble extreme learning machines. To further reduce the +computational complexity you can reduce sample_size, num_machines, or num_neurons. # References For a good overview of G-Computation see: @@ -136,17 +148,19 @@ julia> m5 = GComputation(x_df, t_df, y_df) mutable struct GComputation <: CausalEstimator @standard_input_data @model_config average_effect - learner::ExtremeLearningMachine + ensemble::ELMEnsemble function GComputation( X, T, Y; quantity_of_interest::String="ATE", - regularized::Bool=true, activation::Function=relu, + sample_size::Integer=size(X, 1), + num_machines::Integer=100, + num_feats::Integer=Int(round(sqrt(size(X, 2)))), + num_neurons::Integer=round(Int, log10(size(X, 1)) * size(X, 2)), temporal::Bool=true, - num_neurons::Integer=round(Int, log10(size(X, 2)) * size(X, 1)), ) if quantity_of_interest ∉ ("ATE", "ITT", "ATT") throw(ArgumentError("quantity_of_interest must be ATE, ITT, or ATT")) @@ -158,14 +172,16 @@ mutable struct GComputation <: CausalEstimator task = var_type(Y) isa Binary ? "classification" : "regression" return new( - Float64.(X), - Float64.(T), - Float64.(Y), + X, + float(T), + float(Y), quantity_of_interest, temporal, task, - regularized, activation, + sample_size, + num_machines, + num_feats, num_neurons, NaN, ) @@ -184,19 +200,19 @@ Initialize a double machine learning estimator with cross fitting. # Keywords - `W::Any`: array or dataframe of all possible confounders. -- `regularized::Function=true`: whether to use L2 regularization - `activation::Function=relu`: activation function to use. -- `num_neurons::Integer`: number of neurons to use in the extreme learning machine. +- `sample_size::Integer=size(X, 1)`: number of bootstrapped samples for teh extreme + learners. +- `num_machines::Integer=100`: number of extreme learning machines for the ensemble. +- `num_feats::Integer=Int(round(sqrt(size(X, 2))))`: number of features to bootstrap for + each learner in the ensemble. +- `num_neurons::Integer`: number of neurons to use in the extreme learning machines. - `folds::Integer`: number of folds to use for cross fitting. # Notes -If regularized is set to true then the ridge penalty will be estimated using generalized -cross validation. If num_neurons is not specified then the number of neurons will be set to -log₁₀(number of observations) * number of features. - -Unlike other estimators, this method does not support time series or panel data. This method -also does not work as well with smaller datasets because it estimates separate outcome -models for the treatment and control groups. +To reduce computational complexity and overfitting, the model used to estimate the +counterfactual is a bagged ensemble extreme learning machines. To further reduce the +computational complexity you can reduce sample_size, num_machines, or num_neurons. # References For more information see: @@ -229,9 +245,11 @@ function DoubleMachineLearning( T, Y; W=X, - regularized::Bool=true, activation::Function=relu, - num_neurons::Integer=round(Int, log10(size(X, 2)) * size(X, 1)), + sample_size::Integer=size(X, 1), + num_machines::Integer=100, + num_feats::Integer=Int(round(sqrt(size(X, 2)))), + num_neurons::Integer=round(Int, log10(size(X, 1)) * size(X, 2)), folds::Integer=5, ) # Convert to arrays @@ -241,14 +259,16 @@ function DoubleMachineLearning( return DoubleMachineLearning( X, - Float64.(T), - Float64.(Y), - Float64.(W), + float(T), + float(Y), + W, "ATE", false, task, - regularized, activation, + sample_size, + num_machines, + num_feats, num_neurons, NaN, folds, @@ -268,23 +288,22 @@ julia> estimate_causal_effect!(m1) ``` """ function estimate_causal_effect!(its::InterruptedTimeSeries) - if its.regularized - learner = RegularizedExtremeLearner(its.X₀, its.Y₀, its.num_neurons, its.activation) - else - learner = ExtremeLearner(its.X₀, its.Y₀, its.num_neurons, its.activation) - end + learner = ELMEnsemble( + its.X₀, + its.Y₀, + its.sample_size, + its.num_machines, + its.num_feats, + its.num_neurons, + its.activation + ) fit!(learner) - its.causal_effect = predict_counterfactual!(learner, its.X₁) - its.Y₁ + its.causal_effect = predict_mean(learner, its.X₁) - its.Y₁ return its.causal_effect end -function estimate_causal_effect!(g::GComputation) - g.causal_effect = mean(g_formula!(g)) - return g.causal_effect -end - """ estimate_causal_effect!(g) @@ -297,14 +316,34 @@ no periods. For example, given that ividuals 1, 2, ..., i ∈ I recieved either or a placebo in p different periods, the model would estimate the average treatment effect as E[Yᵢ|T₁=1, T₂=1, ... Tₚ=1, Xₚ] - E[Yᵢ|T₁=0, T₂=0, ... Tₚ=0, Xₚ]. +# Examples +```julia +julia> X, T, Y = rand(100, 5), [rand()<0.4 for i in 1:100], rand(100) +julia> m1 = GComputation(X, T, Y) +julia> estimate_causal_effect!(m1) +``` +""" +function estimate_causal_effect!(g::GComputation) + g.causal_effect = mean(g_formula!(g)) + return g.causal_effect +end + +""" + g_formula!(g) + +Compute the G-formula for G-computation and S-learning. + # Examples ```julia julia> X, T, Y = rand(100, 5), [rand()<0.4 for i in 1:100], rand(100) julia> m1 = GComputation(X, T, Y) julia> g_formula!(m1) + +julia> m2 = SLearner(X, T, Y) +julia> g_formula!(m2) ``` """ -function g_formula!(g) +function g_formula!(g) # Keeping this separate enables it to be reused for S-Learning covariates, y = hcat(g.X, g.T), g.Y if g.quantity_of_interest ∈ ("ITT", "ATE", "CATE") @@ -315,19 +354,21 @@ function g_formula!(g) Xᵤ = hcat(covariates[g.T .== 1, 1:(end - 1)], zeros(size(g.T[g.T .== 1], 1))) end - #if g.regularized - #g.learner = RegularizedExtremeLearner(covariates, y, g.num_neurons, g.activation) - #else - #g.learner = ExtremeLearner(covariates, y, g.num_neurons, g.activation) - #end + g.ensemble = ELMEnsemble( + covariates, + y, + g.sample_size, + g.num_machines, + g.num_feats, + g.num_neurons, + g.activation + ) - ensemble = ELMEnsemble(covariates, y, 1000, 100, 10) + fit!(g.ensemble) + + yₜ, yᵤ = predict_mean(g.ensemble, Xₜ), predict_mean(g.ensemble, Xᵤ) - #fit!(g.learner) - return fit!(ensemble) - #yₜ = clip_if_binary(predict(g.learner, Xₜ), var_type(g.Y)) - #yᵤ = clip_if_binary(predict(g.learner, Xᵤ), var_type(g.Y)) - #return vec(yₜ) - vec(yᵤ) + return vec(yₜ) - vec(yᵤ) end """ @@ -408,23 +449,30 @@ julia> predict_residuals(m1, x_train, x_test, y_train, y_test, t_train, t_test) ``` """ function predict_residuals( - D, x_train, x_test, y_train, y_test, t_train, t_test, w_train, w_test + D, + x_train::Array{Float64}, + x_test::Array{Float64}, + y_train::Vector{Float64}, + y_test::Vector{Float64}, + t_train::Vector{Float64}, + t_test::Vector{Float64}, + w_train::Array{Float64}, + w_test::Array{Float64}, ) V = x_train != w_train && x_test != w_test ? reduce(hcat, (x_train, w_train)) : x_train V_test = V == x_train ? x_test : reduce(hcat, (x_test, w_test)) - if D.regularized - y = RegularizedExtremeLearner(V, y_train, D.num_neurons, D.activation) - t = RegularizedExtremeLearner(V, t_train, D.num_neurons, D.activation) - else - y = ExtremeLearner(V, y_train, D.num_neurons, D.activation) - t = ExtremeLearner(V, t_train, D.num_neurons, D.activation) - end + y = ELMEnsemble( + V, y_train, D.sample_size, D.num_machines, D.num_feats, D.num_neurons, D.activation + ) + t = ELMEnsemble( + V, t_train, D.sample_size, D.num_machines, D.num_feats, D.num_neurons, D.activation + ) fit!(y) fit!(t) - y_pred = clip_if_binary(predict(y, V_test), var_type(D.Y)) - t_pred = clip_if_binary(predict(t, V_test), var_type(D.T)) + + y_pred, t_pred = predict_mean(y, V_test), predict_mean(t, V_test) ỹ, t̃ = y_test - y_pred, t_test - t_pred return ỹ, t̃ diff --git a/src/inference.jl b/src/inference.jl index 696ff691..70cda237 100644 --- a/src/inference.jl +++ b/src/inference.jl @@ -43,15 +43,15 @@ function summarize(mod; n=1000, inference=false) end summary_dict = Dict() - double_estimators = (DoubleMachineLearning, DoublyRobustLearner) - task = typeof(mod) in double_estimators ? "regression" : mod.task nicenames = [ "Task", "Quantity of Interest", - "Regularized", "Activation Function", - "Time Series/Panel Data", + "Sample Size", + "Number of Machines", + "Number of Features", "Number of Neurons", + "Time Series/Panel Data", "Causal Effect", "Standard Error", "p-value", @@ -64,12 +64,14 @@ function summarize(mod; n=1000, inference=false) end values = [ - task, + mod.task, mod.quantity_of_interest, - mod.regularized, mod.activation, - mod.temporal, + mod.sample_size, + mod.num_machines, + mod.num_feats, mod.num_neurons, + mod.temporal, mod.causal_effect, stderr, p, @@ -115,6 +117,7 @@ function summarize(its::InterruptedTimeSeries; n=1000, mean_effect=true, inferen end effect = ifelse(mean_effect, mean(its.causal_effect), sum(its.causal_effect)) + qoi = mean_effect ? "Average Difference" : "Cumulative Difference" if inference p, stderr = quantities_of_interest(its, n, mean_effect) @@ -125,19 +128,27 @@ function summarize(its::InterruptedTimeSeries; n=1000, mean_effect=true, inferen summary_dict = Dict() nicenames = [ "Task", - "Regularized", + "Quantity of Interest", "Activation Function", + "Sample Size", + "Number of Machines", + "Number of Features", "Number of Neurons", + "Time Series/Panel Data", "Causal Effect", "Standard Error", "p-value", ] values = [ - "Regression", - its.regularized, + its.task, + qoi, its.activation, + its.sample_size, + its.num_machines, + its.num_feats, its.num_neurons, + its.temporal, effect, stderr, p, diff --git a/src/metalearners.jl b/src/metalearners.jl index e4dbd8d5..7c58db46 100644 --- a/src/metalearners.jl +++ b/src/metalearners.jl @@ -12,25 +12,28 @@ Initialize a S-Learner. - `Y::Any`: an array or DataFrame of outcomes. # Keywords -- `regularized::Function=true`: whether to use L2 regularization - `activation::Function=relu`: the activation function to use. -- `num_neurons::Integer`: number of neurons to use in the extreme learning machine. +- `sample_size::Integer=size(X, 1)`: number of bootstrapped samples for eth extreme + learners. +- `num_machines::Integer=100`: number of extreme learning machines for the ensemble. +- `num_feats::Integer=Int(round(sqrt(size(X, 2))))`: number of features to bootstrap for + each learner in the ensemble. +- `num_neurons::Integer`: number of neurons to use in the extreme learning machines. # Notes -If regularized is set to true then the ridge penalty will be estimated using generalized -cross validation. If num_neurons is not specified then the number of neurons will be set to -log₁₀(number of observations) * number of features. +To reduce computational complexity and overfitting, the model used to estimate the +counterfactual is a bagged ensemble extreme learning machines. To further reduce the +computational complexity you can reduce sample_size, num_machines, or num_neurons. # References For an overview of S-Learners and other metalearners see: -Künzel, Sören R., Jasjeet S. Sekhon, Peter J. Bickel, and Bin Yu. "Metalearners for -estimating heterogeneous treatment effects using machine learning." Proceedings of -the national academy of sciences 116, no. 10 (2019): 4156-4165. + Künzel, Sören R., Jasjeet S. Sekhon, Peter J. Bickel, and Bin Yu. "Metalearners for + estimating heterogeneous treatment effects using machine learning." Proceedings of + the national academy of sciences 116, no. 10 (2019): 4156-4165. For details and a derivation of the generalized cross validation estimator see: -Golub, Gene H., Michael Heath, and Grace Wahba. "Generalized cross-validation as a -method for choosing a good ridge parameter." Technometrics 21, no. 2 (1979): -215-223. + Golub, Gene H., Michael Heath, and Grace Wahba. "Generalized cross-validation as a + method for choosing a good ridge parameter." Technometrics 21, no. 2 (1979): 215-223. # Examples ```julia @@ -47,15 +50,17 @@ julia> m4 = SLearner(x_df, t_df, y_df) mutable struct SLearner <: Metalearner @standard_input_data @model_config individual_effect - learner::ExtremeLearningMachine + ensemble::ELMEnsemble function SLearner( X, T, Y; - regularized::Bool=true, activation::Function=relu, - num_neurons::Integer=round(Int, log10(size(X, 2)) * size(X, 1)), + sample_size::Integer=size(X, 1), + num_machines::Integer=100, + num_feats::Integer=Int(round(sqrt(size(X, 2)))), + num_neurons::Integer=round(Int, log10(size(X, 1)) * size(X, 2)), ) # Convert to arrays @@ -70,8 +75,10 @@ mutable struct SLearner <: Metalearner "CATE", false, task, - regularized, activation, + sample_size, + num_machines, + num_feats, num_neurons, fill(NaN, size(T, 1)), ) @@ -89,25 +96,28 @@ Initialize a T-Learner. - `Y::Any`: an array or DataFrame of outcomes. # Keywords -- `regularized::Function=true`: whether to use L2 regularization - `activation::Function=relu`: the activation function to use. -- `num_neurons::Integer`: number of neurons to use in the extreme learning machine. +- `sample_size::Integer=size(X, 1)`: number of bootstrapped samples for eth extreme + learners. +- `num_machines::Integer=100`: number of extreme learning machines for the ensemble. +- `num_feats::Integer=Int(round(sqrt(size(X, 2))))`: number of features to bootstrap for + each learner in the ensemble. +- `num_neurons::Integer`: number of neurons to use in the extreme learning machines. # Notes -If regularized is set to true then the ridge penalty will be estimated using generalized -cross validation. If num_neurons is not specified then the number of neurons will be set to -log₁₀(number of observations) * number of features. +To reduce computational complexity and overfitting, the model used to estimate the +counterfactual is a bagged ensemble extreme learning machines. To further reduce the +computational complexity you can reduce sample_size, num_machines, or num_neurons. # References For an overview of T-Learners and other metalearners see: -Künzel, Sören R., Jasjeet S. Sekhon, Peter J. Bickel, and Bin Yu. "Metalearners for -estimating heterogeneous treatment effects using machine learning." Proceedings of -the national academy of sciences 116, no. 10 (2019): 4156-4165. + Künzel, Sören R., Jasjeet S. Sekhon, Peter J. Bickel, and Bin Yu. "Metalearners for + estimating heterogeneous treatment effects using machine learning." Proceedings of + the national academy of sciences 116, no. 10 (2019): 4156-4165. For details and a derivation of the generalized cross validation estimator see: -Golub, Gene H., Michael Heath, and Grace Wahba. "Generalized cross-validation as a -method for choosing a good ridge parameter." Technometrics 21, no. 2 (1979): -215-223. + Golub, Gene H., Michael Heath, and Grace Wahba. "Generalized cross-validation as a + method for choosing a good ridge parameter." Technometrics 21, no. 2 (1979): 215-223. # Examples ```julia @@ -123,16 +133,18 @@ julia> m3 = TLearner(x_df, t_df, y_df) mutable struct TLearner <: Metalearner @standard_input_data @model_config individual_effect - μ₀::ExtremeLearningMachine - μ₁::ExtremeLearningMachine + μ₀::ELMEnsemble + μ₁::ELMEnsemble function TLearner( X, T, Y; - regularized::Bool=true, activation::Function=relu, - num_neurons::Integer=round(Int, log10(size(X, 2)) * size(X, 1)), + sample_size::Integer=size(X, 1), + num_machines::Integer=100, + num_feats::Integer=Int(round(sqrt(size(X, 2)))), + num_neurons::Integer=round(Int, log10(size(X, 1)) * size(X, 2)), ) # Convert to arrays X, T, Y = Matrix{Float64}(X), T[:, 1], Y[:, 1] @@ -146,8 +158,10 @@ mutable struct TLearner <: Metalearner "CATE", false, task, - regularized, activation, + sample_size, + num_machines, + num_feats, num_neurons, fill(NaN, size(T, 1)), ) @@ -165,14 +179,18 @@ Initialize an X-Learner. - `Y::Any`: an array or DataFrame of outcomes. # Keywords -- `regularized::Function=true`: whether to use L2 regularization - `activation::Function=relu`: the activation function to use. -- `num_neurons::Integer`: number of neurons to use in the extreme learning machine. +- `sample_size::Integer=size(X, 1)`: number of bootstrapped samples for eth extreme + learners. +- `num_machines::Integer=100`: number of extreme learning machines for the ensemble. +- `num_feats::Integer=Int(round(sqrt(size(X, 2))))`: number of features to bootstrap for + each learner in the ensemble. +- `num_neurons::Integer`: number of neurons to use in the extreme learning machines. # Notes -If regularized is set to true then the ridge penalty will be estimated using generalized -cross validation. If num_neurons is not specified then the number of neurons will be set to -log₁₀(number of observations) * number of features. +To reduce computational complexity and overfitting, the model used to estimate the +counterfactual is a bagged ensemble extreme learning machines. To further reduce the +computational complexity you can reduce sample_size, num_machines, or num_neurons. # References For an overview of X-Learners and other metalearners see: @@ -199,17 +217,19 @@ julia> m3 = XLearner(x_df, t_df, y_df) mutable struct XLearner <: Metalearner @standard_input_data @model_config individual_effect - μ₀::ExtremeLearningMachine - μ₁::ExtremeLearningMachine + μ₀::ELMEnsemble + μ₁::ELMEnsemble ps::Array{Float64} function XLearner( X, T, Y; - regularized::Bool=true, activation::Function=relu, - num_neurons::Integer=round(Int, log10(size(X, 2)) * size(X, 1)), + sample_size::Integer=size(X, 1), + num_machines::Integer=100, + num_feats::Integer=Int(round(sqrt(size(X, 2)))), + num_neurons::Integer=round(Int, log10(size(X, 1)) * size(X, 2)), ) # Convert to arrays X, T, Y = Matrix{Float64}(X), T[:, 1], Y[:, 1] @@ -223,8 +243,10 @@ mutable struct XLearner <: Metalearner "CATE", false, task, - regularized, activation, + sample_size, + num_machines, + num_feats, num_neurons, fill(NaN, size(T, 1)), ) @@ -243,16 +265,18 @@ Initialize an R-Learner. # Keywords - `W::Any` : an array of all possible confounders. -- `regularized::Function=true`: whether to use L2 regularizations - `activation::Function=relu`: the activation function to use. -- `num_neurons::Integer`: number of neurons to use in the extreme learning machine. -- `folds::Integer`: number of folds to use for cross fitting. +- `sample_size::Integer=size(X, 1)`: number of bootstrapped samples for eth extreme + learners. +- `num_machines::Integer=100`: number of extreme learning machines for the ensemble. +- `num_feats::Integer=Int(round(sqrt(size(X, 2))))`: number of features to bootstrap for + each learner in the ensemble. +- `num_neurons::Integer`: number of neurons to use in the extreme learning machines. # Notes -If regularized is set to true then the ridge penalty will be estimated using generalized -cross validation where the maximum number of iterations is 2 * folds for the successive -halving procedure. If num_neurons is not specified then the number of neurons will be set to -log₁₀(number of observations) * number of features. +To reduce computational complexity and overfitting, the model used to estimate the +counterfactual is a bagged ensemble extreme learning machines. To further reduce the +computational complexity you can reduce sample_size, num_machines, or num_neurons. ## References For an explanation of R-Learner estimation see: @@ -288,7 +312,10 @@ function RLearner( Y; W=X, activation::Function=relu, - num_neurons::Integer=round(Int, log10(size(X, 2)) * size(X, 1)), + sample_size::Integer=size(X, 1), + num_machines::Integer=100, + num_feats::Integer=Int(round(sqrt(size(X, 2)))), + num_neurons::Integer=round(Int, log10(size(X, 1)) * size(X, 2)), folds::Integer=5, ) @@ -305,8 +332,10 @@ function RLearner( "CATE", false, task, - true, activation, + sample_size, + num_machines, + num_feats, num_neurons, fill(NaN, size(T, 1)), folds, @@ -324,16 +353,19 @@ Initialize a doubly robust CATE estimator. - `Y::Any`: an array or DataFrame of outcomes. # Keywords -- `W::Any`: an array or dataframe of all possible confounders. -- `regularized::Function=true`: whether to use L2 regularization -- `activation::Function=relu`: activation function to use. -- `num_neurons::Integer`: number of neurons to use in the extreme learning machine. +- `W::Any` : an array of all possible confounders. +- `activation::Function=relu`: the activation function to use. +- `sample_size::Integer=size(X, 1)`: number of bootstrapped samples for eth extreme + learners. +- `num_machines::Integer=100`: number of extreme learning machines for the ensemble. +- `num_feats::Integer=Int(round(sqrt(size(X, 2))))`: number of features to bootstrap for + each learner in the ensemble. +- `num_neurons::Integer`: number of neurons to use in the extreme learning machines. # Notes -If regularized is set to true then the ridge penalty will be estimated using generalized -cross validation where the maximum number of iterations is 2 * folds for the successive -halving procedure. If num_neurons is not specified then the number of neurons will be set to -log₁₀(number of observations) * number of features. +To reduce computational complexity and overfitting, the model used to estimate the +counterfactual is a bagged ensemble extreme learning machines. To further reduce the +computational complexity you can reduce sample_size, num_machines, or num_neurons. # References For an explanation of doubly robust cate estimation see: @@ -368,9 +400,11 @@ function DoublyRobustLearner( T, Y; W=X, - regularized::Bool=true, activation::Function=relu, - num_neurons::Integer=round(Int, log10(size(X, 2)) * size(X, 1)), + sample_size::Integer=size(X, 1), + num_machines::Integer=100, + num_feats::Integer=Int(round(sqrt(size(X, 2)))), + num_neurons::Integer=round(Int, log10(size(X, 1)) * size(X, 2)), folds::Integer=5, ) # Convert to arrays @@ -386,8 +420,10 @@ function DoublyRobustLearner( "CATE", false, task, - regularized, activation, + sample_size, + num_machines, + num_feats, num_neurons, fill(NaN, size(T, 1)), folds, @@ -437,24 +473,19 @@ julia> estimate_causal_effect!(m5) """ function estimate_causal_effect!(t::TLearner) x₀, x₁, y₀, y₁ = t.X[t.T .== 0, :], t.X[t.T .== 1, :], t.Y[t.T .== 0], t.Y[t.T .== 1] - type = var_type(t.Y) - # Only search for the best number of neurons once and use the same number for inference - t.num_neurons = t.num_neurons === 0 ? best_size(t) : t.num_neurons + t.μ₀ = ELMEnsemble( + x₀, y₀, t.sample_size, t.num_machines, t.num_feats, t.num_neurons, t.activation + ) - if t.regularized - t.μ₀ = RegularizedExtremeLearner(x₀, y₀, t.num_neurons, t.activation) - t.μ₁ = RegularizedExtremeLearner(x₁, y₁, t.num_neurons, t.activation) - else - t.μ₀ = ExtremeLearner(x₀, y₀, t.num_neurons, t.activation) - t.μ₁ = ExtremeLearner(x₁, y₁, t.num_neurons, t.activation) - end + t.μ₁ = ELMEnsemble( + x₁, y₁, t.sample_size, t.num_machines, t.num_feats, t.num_neurons, t.activation + ) fit!(t.μ₀) fit!(t.μ₁) - predictionsₜ = clip_if_binary(predict(t.μ₁, t.X), type) - predictionsᵪ = clip_if_binary(predict(t.μ₀, t.X), type) - t.causal_effect = @fastmath vec(predictionsₜ .- predictionsᵪ) + predictionsₜ, predictionsᵪ = predict_mean(t.μ₁, t.X), predict_mean(t.μ₀, t.X) + t.causal_effect = @fastmath vec(predictionsₜ - predictionsᵪ) return t.causal_effect end @@ -478,16 +509,11 @@ julia> estimate_causal_effect!(m1) ``` """ function estimate_causal_effect!(x::XLearner) - # Only search for the best number of neurons once and use the same number for inference - x.num_neurons = x.num_neurons === 0 ? best_size(x) : x.num_neurons - - type = var_type(x.Y) stage1!(x) μχ₀, μχ₁ = stage2!(x) x.causal_effect = @fastmath vec(( - (x.ps .* clip_if_binary(predict(μχ₀, x.X), type)) .+ - ((1 .- x.ps) .* clip_if_binary(predict(μχ₁, x.X), type)) + (x.ps .* predict_mean(μχ₀, x.X)) .+ ((1 .- x.ps) .* predict_mean(μχ₁, x.X)) )) return x.causal_effect @@ -511,38 +537,8 @@ julia> estimate_causal_effect!(m1) ``` """ function estimate_causal_effect!(R::RLearner) - # Uses the same number of neurons for all phases of estimation - R.num_neurons = R.num_neurons === 0 ? best_size(R) : R.num_neurons - - # Just estimate the causal effect using the underlying DML and the weight trick - R.causal_effect = causal_loss(R) - - return R.causal_effect -end - -""" - causal_loss(R) - -Minimize the causal loss function for an R-learner. - -# Notes -This function should not be called directly. - -# References -For an overview of R-learning see: - Nie, Xinkun, and Stefan Wager. "Quasi-oracle estimation of heterogeneous treatment - effects." Biometrika 108, no. 2 (2021): 299-319. - -# Examples -```julia -julia> X, T, Y = rand(100, 5), [rand()<0.4 for i in 1:100], rand(100) -julia> m1 = RLearner(X, T, Y) -julia> causal_loss(m1) -``` -""" -function causal_loss(R::RLearner) X, T, W, Y = make_folds(R) - predictors = Vector{RegularizedExtremeLearner}(undef, R.folds) + predictors = Vector{ELMEnsemble}(undef, R.folds) # Cross fitting by training on the main folds and predicting residuals on the auxillary for fld in 1:(R.folds) @@ -557,12 +553,24 @@ function causal_loss(R::RLearner) # Using the weight trick to get the non-parametric CATE for an R-learner X[fld], Y[fld] = (T̃ .^ 2) .* X_test, (T̃ .^ 2) .* (Ỹ ./ T̃) - mod = RegularizedExtremeLearner(X[fld], Y[fld], R.num_neurons, R.activation) + mod = ELMEnsemble( + X[fld], + Y[fld], + R.sample_size, + R.num_machines, + R.num_feats, + R.num_neurons, + R.activation + ) + fit!(mod) predictors[fld] = mod end - final_predictions = [predict(m, reduce(vcat, X)) for m in predictors] - return vec(mapslices(mean, reduce(hcat, final_predictions); dims=2)) + + final_predictions = [predict_mean(m, reduce(vcat, X)) for m in predictors] + R.causal_effect = vec(mapslices(mean, reduce(hcat, final_predictions); dims=2)) + + return R.causal_effect end """ @@ -587,9 +595,6 @@ function estimate_causal_effect!(DRE::DoublyRobustLearner) Z = DRE.W == DRE.X ? X : [reduce(hcat, (z)) for z in zip(X, W)] causal_effect = zeros(size(DRE.T, 1)) - # Uses the same number of neurons for all phases of estimation - DRE.num_neurons = DRE.num_neurons === 0 ? best_size(DRE) : DRE.num_neurons - # Rotating folds for cross fitting for i in 1:2 causal_effect .+= doubly_robust_formula!(DRE, X, T, Y, Z) @@ -628,20 +633,40 @@ julia> g_formula!(m1, X, T, Y, Z) ``` """ function doubly_robust_formula!(DRE::DoublyRobustLearner, X, T, Y, Z) - π_arg, P = (Z[1], T[1], DRE.num_neurons, σ), var_type(DRE.Y) - μ₀_arg = Z[1][T[1] .== 0, :], Y[1][T[1] .== 0], DRE.num_neurons, DRE.activation - μ₁_arg = Z[1][T[1] .== 1, :], Y[1][T[1] .== 1], DRE.num_neurons, DRE.activation - # Propensity scores - π_e = DRE.regularized ? RegularizedExtremeLearner(π_arg...) : ExtremeLearner(π_arg...) + π_e = ELMEnsemble( + Z[1], + T[1], + DRE.sample_size, + DRE.num_machines, + DRE.num_feats, + DRE.num_neurons, + DRE.activation + ) # Outcome predictions - μ₀ = DRE.regularized ? RegularizedExtremeLearner(μ₀_arg...) : ExtremeLearner(μ₀_arg...) - μ₁ = DRE.regularized ? RegularizedExtremeLearner(μ₁_arg...) : ExtremeLearner(μ₁_arg...) + μ₀ = ELMEnsemble( + Z[1][T[1] .== 0, :], + Y[1][T[1] .== 0], + DRE.sample_size, + DRE.num_machines, + DRE.num_feats, + DRE.num_neurons, + DRE.activation + ) + + μ₁ = ELMEnsemble( + Z[1][T[1] .== 1, :], + Y[1][T[1] .== 1], + DRE.sample_size, + DRE.num_machines, + DRE.num_feats, + DRE.num_neurons, + DRE.activation + ) fit!.((π_e, μ₀, μ₁)) - π̂ = clip_if_binary(predict(π_e, Z[2]), Binary()) - μ₀̂, μ₁̂ = clip_if_binary(predict(μ₀, Z[2]), P), clip_if_binary(predict(μ₁, Z[2]), P) + π̂ , μ₀̂, μ₁̂ = predict_mean(π_e, Z[2]), predict_mean(μ₀, Z[2]), predict_mean(μ₁, Z[2]) # Pseudo outcomes ϕ̂ = @@ -649,11 +674,18 @@ function doubly_robust_formula!(DRE::DoublyRobustLearner, X, T, Y, Z) (Y[2] .- T[2] .* μ₁̂ .- (1 .- T[2]) .* μ₀̂) .+ μ₁̂ .- μ₀̂ # Final model - τ_arg = X[2], ϕ̂, DRE.num_neurons, DRE.activation - τ_est = DRE.regularized ? RegularizedExtremeLearner(τ_arg...) : ExtremeLearner(τ_arg...) + τ_est = ELMEnsemble( + X[2], + ϕ̂, + DRE.sample_size, + DRE.num_machines, + DRE.num_feats, + DRE.num_neurons, + DRE.activation + ) fit!(τ_est) - return clip_if_binary(predict(τ_est, DRE.X), P) + return predict_mean(τ_est, DRE.X) end """ @@ -672,27 +704,33 @@ julia> stage1!(m1) ``` """ function stage1!(x::XLearner) - if x.regularized - g = RegularizedExtremeLearner(x.X, x.T, x.num_neurons, x.activation) - x.μ₀ = RegularizedExtremeLearner( - x.X[x.T .== 0, :], x.Y[x.T .== 0], x.num_neurons, x.activation - ) - x.μ₁ = RegularizedExtremeLearner( - x.X[x.T .== 1, :], x.Y[x.T .== 1], x.num_neurons, x.activation - ) - else - g = ExtremeLearner(x.X, x.T, x.num_neurons, x.activation) - x.μ₀ = ExtremeLearner( - x.X[x.T .== 0, :], x.Y[x.T .== 0], x.num_neurons, x.activation - ) - x.μ₁ = ExtremeLearner( - x.X[x.T .== 1, :], x.Y[x.T .== 1], x.num_neurons, x.activation - ) - end + g = ELMEnsemble( + x.X, x.T, x.sample_size, x.num_machines, x.num_feats, x.num_neurons, x.activation + ) + + x.μ₀ = ELMEnsemble( + x.X[x.T .== 0, :], + x.Y[x.T .== 0], + x.sample_size, + x.num_machines, + x.num_feats, + x.num_neurons, + x.activation + ) + + x.μ₁ = ELMEnsemble( + x.X[x.T .== 1, :], + x.Y[x.T .== 1], + x.sample_size, + x.num_machines, + x.num_feats, + x.num_neurons, + x.activation + ) # Get propensity scores fit!(g) - x.ps = clip_if_binary(predict(g, x.X), Binary()) + x.ps = predict_mean(g, x.X) # Fit first stage outcome models fit!(x.μ₀) @@ -716,21 +754,28 @@ julia> stage2!(m1) ``` """ function stage2!(x::XLearner) - m₁ = clip_if_binary(predict(x.μ₁, x.X .- x.Y), var_type(x.Y)) - m₀ = clip_if_binary(predict(x.μ₀, x.X), var_type(x.Y)) + m₁, m₀ = predict_mean(x.μ₁, x.X .- x.Y), predict_mean(x.μ₀, x.X) d = ifelse(x.T === 0, m₁, x.Y .- m₀) + + μχ₀ = ELMEnsemble( + x.X[x.T .== 0, :], + d[x.T .== 0], + x.sample_size, + x.num_machines, + x.num_feats, + x.num_neurons, + x.activation + ) - if x.regularized - μχ₀ = RegularizedExtremeLearner( - x.X[x.T .== 0, :], d[x.T .== 0], x.num_neurons, x.activation - ) - μχ₁ = RegularizedExtremeLearner( - x.X[x.T .== 1, :], d[x.T .== 1], x.num_neurons, x.activation - ) - else - μχ₀ = ExtremeLearner(x.X[x.T .== 0, :], d[x.T .== 0], x.num_neurons, x.activation) - μχ₁ = ExtremeLearner(x.X[x.T .== 1, :], d[x.T .== 1], x.num_neurons, x.activation) - end + μχ₁ = ELMEnsemble( + x.X[x.T .== 1, :], + d[x.T .== 1], + x.sample_size, + x.num_machines, + x.num_feats, + x.num_neurons, + x.activation + ) fit!(μχ₀) fit!(μχ₁) diff --git a/src/model_validation.jl b/src/model_validation.jl index 46f07a22..5cfd87a2 100644 --- a/src/model_validation.jl +++ b/src/model_validation.jl @@ -174,7 +174,7 @@ function covariate_independence(its::InterruptedTimeSeries; n=1000) x₀ = reduce(hcat, (its.X₀[:, 1:(end - 1)], zeros(size(its.X₀, 1)))) x₁ = reduce(hcat, (its.X₁[:, 1:(end - 1)], ones(size(its.X₁, 1)))) x = reduce(vcat, (x₀, x₁)) - results = Dict{String,Float64}() + results = Dict{String, Float64}() # Estimate a linear regression with each covariate as a dependent variable and all other # covariates and time as independent variables @@ -558,7 +558,7 @@ function risk_ratio(::Nonbinary, mod) # Otherwise, we convert the treatment variable to a binary variable and then # dispatch based on the type of outcome variable else - original_T, binary_T = mod.T, binarize(mod.T, mean(mod.Y)) + original_T, binary_T = mod.T, binarize(mod.T, mean(mod.T)) mod.T = binary_T rr = risk_ratio(Binary(), mod) @@ -575,14 +575,14 @@ function risk_ratio(::Binary, ::Binary, mod) Xₜ, Xᵤ = reduce(hcat, (Xₜ, ones(size(Xₜ, 1)))), reduce(hcat, (Xᵤ, ones(size(Xᵤ, 1)))) # For algorithms that use one model to estimate the outcome - if hasfield(typeof(mod), :learner) - return @fastmath mean(predict(mod.learner, Xₜ)) / mean(predict(mod.learner, Xᵤ)) + if hasfield(typeof(mod), :ensemble) + return @fastmath mean(predict_mean(mod.ensemble, Xₜ)) / mean(predict_mean(mod.ensemble, Xᵤ)) # For models that use separate models for outcomes in the treatment and control group else hasfield(typeof(mod), :μ₀) Xₜ, Xᵤ = mod.X[mod.T .== 1, :], mod.X[mod.T .== 0, :] - return @fastmath mean(predict(mod.μ₁, Xₜ)) / mean(predict(mod.μ₀, Xᵤ)) + return @fastmath mean(predict_mean(mod.μ₁, Xₜ)) / mean(predict_mean(mod.μ₀, Xᵤ)) end end @@ -593,26 +593,27 @@ function risk_ratio(::Binary, ::Count, mod) Xₜ, Xᵤ = reduce(hcat, (Xₜ, ones(m))), reduce(hcat, (Xᵤ, ones(n))) # For estimators with a single model of the outcome variable - if hasfield(typeof(mod), :learner) - return @fastmath (sum(predict(mod.learner, Xₜ)) / m) / - (sum(predict(mod.learner, Xᵤ)) / n) + if hasfield(typeof(mod), :ensemble) + return @fastmath (sum(predict_mean(mod.ensemble, Xₜ)) / m) / + (sum(predict_mean(mod.ensemble, Xᵤ)) / n) # For models that use separate models for outcomes in the treatment and control group elseif hasfield(typeof(mod), :μ₀) Xₜ, Xᵤ = mod.X[mod.T .== 1, :], mod.X[mod.T .== 0, :] - return @fastmath mean(predict(mod.μ₁, Xₜ)) / mean(predict(mod.μ₀, Xᵤ)) + return @fastmath mean(predict_mean(mod.μ₁, Xₜ)) / mean(predict_mean(mod.μ₀, Xᵤ)) else - if mod.regularized - learner = RegularizedExtremeLearner( - reduce(hcat, (mod.X, mod.T)), mod.Y, mod.num_neurons, mod.activation - ) - else - learner = ExtremeLearner( - reduce(hcat, (mod.X, mod.T)), mod.Y, mod.num_neurons, mod.activation + learner = ELMEnsemble( + reduce(hcat, (mod.X, mod.T)), + mod.Y, + mod.sample_size, + mod.num_machines, + mod.num_feats, + mod.num_neurons, + mod.activation ) - end + fit!(learner) - @fastmath (sum(predict(learner, Xₜ)) / m) / (sum(predict(learner, Xᵤ)) / n) + @fastmath mean(predict_mean(learner, Xₜ)) / mean(predict_mean(learner, Xᵤ)) end end @@ -652,16 +653,18 @@ julia> positivity(g_computer) ``` """ function positivity(model, min=1.0e-6, max=1 - min) - if model.regularized - ps_mod = RegularizedExtremeLearner( - model.X, model.T, model.num_neurons, model.activation - ) - else - ps_mod = ExtremeLearner(model.X, model.T, model.num_neurons, model.activation) - end + ps_mod = ELMEnsemble( + model.X, + model.T, + model.sample_size, + model.num_machines, + model.num_feats, + model.num_neurons, + model.activation + ) fit!(ps_mod) - propensity_scores = predict(ps_mod, model.X) + propensity_scores = predict_mean(ps_mod, model.X) # Observations that have a zero probability of treatment or control assignment return reduce( @@ -683,25 +686,3 @@ function positivity(model::XLearner, min=1.0e-6, max=1 - min) ), ) end - -function positivity(model::Union{DoubleMachineLearning,RLearner}, min=1.0e-6, max=1 - min) - if model.regularized - ps_mod = RegularizedExtremeLearner( - model.X, model.T, model.num_neurons, model.activation - ) - else - ps_mod = ExtremeLearner(model.X, model.T, model.num_neurons, model.activation) - end - - fit!(ps_mod) - propensity_scores = predict(ps_mod, model.X) - - # Observations that have a zero probability of treatment or control assignment - return reduce( - hcat, - ( - model.X[propensity_scores .<= min .|| propensity_scores .>= max, :], - propensity_scores[propensity_scores .<= min .|| propensity_scores .>= max], - ), - ) -end diff --git a/src/models.jl b/src/models.jl index a52d6ba6..f8516947 100644 --- a/src/models.jl +++ b/src/models.jl @@ -1,3 +1,6 @@ +using Random: shuffle +using CausalELM: mean, clip_if_binary, var_type + """ ExtremeLearner(X, Y, hidden_neurons, activation) @@ -28,14 +31,13 @@ mutable struct ExtremeLearner hidden_neurons::Int64 activation::Function __fit::Bool - __estimated::Bool weights::Array{Float64} β::Array{Float64} H::Array{Float64} counterfactual::Array{Float64} function ExtremeLearner(X, Y, hidden_neurons, activation) - return new(X, Y, size(X, 1), size(X, 2), hidden_neurons, activation, false, false) + return new(X, Y, size(X, 1), size(X, 2), hidden_neurons, activation, false) end end @@ -49,6 +51,7 @@ Initialize a bagging ensemble of extreme learning machines. - `Y::Array{Float64}`: array of labels to predict. - `sample_size::Integer`: how many data points to use for each extreme learning machine. - `num_machines::Integer`: how many extreme learning machines to use. +- `num_feats::Integer`: how many features to consider for eac exreme learning machine. - `num_neurons::Integer`: how many neurons to use for each extreme learning machine. - `activation::Function`: activation function to use for the extreme learning machines. @@ -59,29 +62,33 @@ but uses the average predicted probability, rather than voting, for classificati # Examples ```julia julia> X, Y = rand(100, 5), rand(100) -julia> m1 = ELMEnsemble(X, Y, 10, 50, 5, CausalELM.relu) +julia> m1 = ELMEnsemble(X, Y, 10, 50, 5, 5, CausalELM.relu) ``` """ mutable struct ELMEnsemble X::Array{Float64} Y::Array{Float64} - elms::Array{CausalELM.ExtremeLearner} + elms::Array{ExtremeLearner} + feat_indices::Vector{Vector{Int64}} end function ELMEnsemble( X::Array{Float64}, Y::Array{Float64}, sample_size::Integer, - num_machines::Integer, + num_machines::Integer, + num_feats::Integer, num_neurons::Integer, activation::Function ) # Sampling from the data with replacement indices = [rand(1:length(Y), sample_size) for i ∈ 1:num_machines] - xs, ys = [X[i, :] for i ∈ indices], [Y[i] for i ∈ indices] + feat_indices = [shuffle(1:size(X, 2))[1:num_feats] for i ∈ 1:num_machines] + xs = [X[indices[i], feat_indices[i]] for i ∈ 1:num_machines] + ys = [Y[indices[i]] for i ∈ 1:num_machines] elms = [ExtremeLearner(xs[i], ys[i], num_neurons, activation) for i ∈ eachindex(xs)] - return ELMEnsemble(X, Y, elms) + return ELMEnsemble(X, Y, elms, feat_indices) end """ @@ -136,7 +143,11 @@ end """ predict(model, X) -Use an ExtremeLearningMachine to make predictions. +Use an ExtremeLearningMachine or ELMEnsemble to make predictions. + +# Notes +If using an ensemble to make predictions, this method returns a maxtirs where each row is a +prediction and each column is a model. # References For more details see: @@ -147,8 +158,12 @@ For more details see: ```julia julia> x, y = [1.0 1.0; 0.0 1.0; 0.0 0.0; 1.0 0.0], [0.0, 1.0, 0.0, 1.0] julia> m1 = ExtremeLearner(x, y, 10, σ) -julia> f1 = fit(m1, sigmoid) +julia> fit!(m1, sigmoid) julia> predict(m1, [1.0 1.0; 0.0 1.0; 0.0 0.0; 1.0 0.0]) + +julia> m2 = ELMEnsemble(X, Y, 10, 50, 5, CausalELM.relu) +julia> fit!(m2) +julia> predict(m2) ``` """ function predict(model::ExtremeLearner, X) @@ -161,6 +176,15 @@ function predict(model::ExtremeLearner, X) return @fastmath clip_if_binary(predictions, var_type(model.Y)) end +@inline function predict(model::ELMEnsemble, X) + return reduce( + hcat, + [predict(model.elms[i], X[:, model.feat_indices[i]]) for i ∈ 1:length(model.elms)] + ) +end + +predict_mean(model::ELMEnsemble, X) = vec(mapslices(mean, predict(model, X), dims=2)) + """ predict_counterfactual!(model, X) @@ -181,7 +205,7 @@ julia> predict_counterfactual!(m1, [1.0 1.0; 0.0 1.0; 0.0 0.0; 1.0 0.0]) ``` """ function predict_counterfactual!(model::ExtremeLearner, X) - model.counterfactual, model.__estimated = predict(model, X), true + model.counterfactual = predict(model, X) return model.counterfactual end @@ -209,7 +233,7 @@ julia> placebo_test(m1) """ function placebo_test(model::ExtremeLearner) m = "Use predict_counterfactual! to estimate a counterfactual before using placebo_test" - if !model.__estimated + if !isdefined(model, :counterfactual) throw(ErrorException(m)) end return predict(model, model.X), model.counterfactual @@ -247,3 +271,9 @@ function Base.show(io::IO, model::ExtremeLearner) io, "Extreme Learning Machine with ", model.hidden_neurons, " hidden neurons" ) end + +function Base.show(io::IO, model::ELMEnsemble) + return print( + io, "Extreme Learning Machine Ensemble with ", length(model.elms), " learners" + ) +end diff --git a/src/utilities.jl b/src/utilities.jl index b4bb7c02..24ed2130 100644 --- a/src/utilities.jl +++ b/src/utilities.jl @@ -23,6 +23,7 @@ CausalELM.Count() """ function var_type(x::Array{<:Real}) x_set = Set(x) + if x_set == Set([0, 1]) || x_set == Set([0]) || x_set == Set([1]) return Binary() elseif x_set == Set(round.(x_set)) @@ -137,9 +138,11 @@ macro model_config(effect_type) quantity_of_interest::String temporal::Bool task::String - regularized::Bool activation::Function - num_neurons::Int64 + sample_size::Integer + num_machines::Integer + num_feats::Integer + num_neurons::Integer causal_effect::$field_type end return esc(fields) diff --git a/test/runtests.jl b/test/runtests.jl index 02c71439..a5b44fcf 100644 --- a/test/runtests.jl +++ b/test/runtests.jl @@ -4,13 +4,13 @@ using CausalELM include("test_activation.jl") include("test_models.jl") -#include("test_metrics.jl") -#include("test_estimators.jl") -#include("test_metalearners.jl") -#include("test_inference.jl") -#include("test_model_validation.jl") -#include("test_utilities.jl") -#include("test_aqua.jl") +include("test_metrics.jl") +include("test_estimators.jl") +include("test_metalearners.jl") +include("test_inference.jl") +include("test_model_validation.jl") +include("test_utilities.jl") +include("test_aqua.jl") -#DocMeta.setdocmeta!(CausalELM, :DocTestSetup, :(using CausalELM); recursive=true) -#doctest(CausalELM) +DocMeta.setdocmeta!(CausalELM, :DocTestSetup, :(using CausalELM); recursive=true) +doctest(CausalELM) diff --git a/test/test_estimators.jl b/test/test_estimators.jl index e20b7a5b..c437ed55 100644 --- a/test/test_estimators.jl +++ b/test/test_estimators.jl @@ -19,10 +19,6 @@ its_df = InterruptedTimeSeries(x₀_df, y₀_df, x₁_df, y₁_df) its_no_ar = InterruptedTimeSeries(x₀, y₀, x₁, y₁) estimate_causal_effect!(its_no_ar) -# Testing without regularization -its_noreg = InterruptedTimeSeries(x₀, y₀, x₁, y₁; regularized=false) -estimate_causal_effect!(its_noreg) - x, t, y = rand(100, 5), rand(0:1, 100), vec(rand(1:100, 100, 1)) g_computer = GComputation(x, t, y; temporal=false) estimate_causal_effect!(g_computer) @@ -37,16 +33,14 @@ t_df, y_df = DataFrame(; t=rand(0:1, 100)), DataFrame(; y=rand(100)) g_computer_df = GComputation(x_df, t_df, y_df) gcomputer_att = GComputation(x, t, y; quantity_of_interest="ATT", temporal=false) estimate_causal_effect!(gcomputer_att) -gcomputer_noreg = GComputation(x, t, y; regularized=false) -estimate_causal_effect!(gcomputer_noreg) # Make sure the data isn't shuffled g_computer_ts = GComputation( float.(hcat([1:10;], 11:20)), Float64.([rand() < 0.4 for i in 1:10]), rand(10) ) -big_x, big_t, big_y = rand(10000, 5), rand(0:1, 10000), vec(rand(1:100, 10000, 1)) -dm = DoubleMachineLearning(big_x, big_t, big_y, regularized=false) +big_x, big_t, big_y = rand(10000, 8), rand(0:1, 10000), vec(rand(1:100, 10000, 1)) +dm = DoubleMachineLearning(big_x, big_t, big_y) estimate_causal_effect!(dm) # Testing with a binary outcome @@ -56,10 +50,6 @@ estimate_causal_effect!(dm_binary_out) # With dataframes instead of arrays dm_df = DoubleMachineLearning(x_df, t_df, y_df) -# No regularization -dm_noreg = DoubleMachineLearning(x, t, y; regularized=false) -estimate_causal_effect!(dm_noreg) - # Specifying W dm_w = DoubleMachineLearning(x, t, y; W=rand(100, 4)) estimate_causal_effect!(dm_w) @@ -74,10 +64,9 @@ x_fold, t_fold, w_fold, y_fold = CausalELM.make_folds(dm) # Test predicting residuals x_train, x_test = x[1:80, :], x[81:end, :] -t_train, t_test = t[1:80], t[81:100] -y_train, y_test = y[1:80], y[81:end] -residual_predictor = DoubleMachineLearning(x, t, y) -residual_predictor.num_neurons = 5 +t_train, t_test = float(t[1:80]), float(t[81:end]) +y_train, y_test = float(y[1:80]), float(y[81:end]) +residual_predictor = DoubleMachineLearning(x, t, y, num_neurons=5) residuals = CausalELM.predict_residuals( residual_predictor, x_train, x_test, y_train, y_test, t_train, t_test, x_train, x_test ) @@ -107,9 +96,6 @@ residuals = CausalELM.predict_residuals( # Without autocorrelation @test isa(its_no_ar.causal_effect, Array) - - # Without regularization - @test isa(its_noreg.causal_effect, Array) end end @@ -133,9 +119,6 @@ end @testset "G-Computation Estimation" begin @test isa(g_computer.causal_effect, Float64) - - # Estimation without regularization - @test isa(gcomputer_noreg.causal_effect, Float64) @test isa(g_computer_binary_out.causal_effect, Float64) # Check that the estimats for ATE and ATT are different @@ -149,11 +132,6 @@ end @test dm.T !== Nothing @test dm.Y !== Nothing - # No regularization - @test dm_noreg.X !== Nothing - @test dm_noreg.T !== Nothing - @test dm_noreg.Y !== Nothing - # Intialized with dataframes @test dm_df.X !== Nothing @test dm_df.T !== Nothing @@ -174,12 +152,11 @@ end @testset "Double Machine Learning Post-estimation Structure" begin @test dm.causal_effect isa Float64 @test dm_binary_out.causal_effect isa Float64 - @test dm_noreg.causal_effect isa Float64 @test dm_w.causal_effect isa Float64 end end -@testset "Summarization and Inference" begin +@testset "Miscellaneous Tests" begin @testset "Quanities of Interest Errors" begin @test_throws ArgumentError GComputation(x, y, t, quantity_of_interest="abc") end diff --git a/test/test_inference.jl b/test/test_inference.jl index 7ff2dda2..116857e4 100644 --- a/test/test_inference.jl +++ b/test/test_inference.jl @@ -56,7 +56,7 @@ rlearner = RLearner(x, t, y) estimate_causal_effect!(rlearner) summary9 = summarize(rlearner, n=10) -dr_learner = DoublyRobustLearner(x, t, y, regularized=false) +dr_learner = DoublyRobustLearner(x, t, y) estimate_causal_effect!(dr_learner) dr_learner_inference = CausalELM.generate_null_distribution(dr_learner, 10) p8, stderr8 = CausalELM.quantities_of_interest(dr_learner, 10) diff --git a/test/test_metalearners.jl b/test/test_metalearners.jl index 149ab031..91d35e37 100644 --- a/test/test_metalearners.jl +++ b/test/test_metalearners.jl @@ -5,9 +5,8 @@ using DataFrames include("../src/models.jl") x, t, y = rand(100, 5), Float64.([rand() < 0.4 for i in 1:100]), vec(rand(1:100, 100, 1)) -slearner1, slearner2 = SLearner(x, t, y), SLearner(x, t, y; regularized=false) -estimate_causal_effect!(slearner1); -estimate_causal_effect!(slearner2); +slearner1 = SLearner(x, t, y) +estimate_causal_effect!(slearner1) # S-learner with a binary outcome s_learner_binary = SLearner(x, y, t) @@ -19,12 +18,11 @@ t_df, y_df = DataFrame(; t=rand(0:1, 100)), DataFrame(; y=rand(100)) s_learner_df = SLearner(x_df, t_df, y_df) -tlearner1, tlearner2 = TLearner(x, t, y), TLearner(x, t, y; regularized=false) -estimate_causal_effect!(tlearner1); -estimate_causal_effect!(tlearner2); +tlearner1 = TLearner(x, t, y) +estimate_causal_effect!(tlearner1) # T-learner initialized with DataFrames -t_learner_df = TLearner(x_df, t_df, y_df, regularized=false) +t_learner_df = TLearner(x_df, t_df, y_df) # Testing with a binary outcome t_learner_binary = TLearner(x, t, Float64.([rand() < 0.8 for i in 1:100])) @@ -35,7 +33,7 @@ xlearner1.num_neurons = 5 CausalELM.stage1!(xlearner1) stage21 = CausalELM.stage2!(xlearner1) -xlearner2 = XLearner(x, t, y; regularized=false) +xlearner2 = XLearner(x, t, y) xlearner2.num_neurons = 5 CausalELM.stage1!(xlearner2); CausalELM.stage2!(xlearner2); @@ -44,9 +42,6 @@ stage22 = CausalELM.stage2!(xlearner1) xlearner3 = XLearner(x, t, y) estimate_causal_effect!(xlearner3) -xlearner4 = XLearner(x, t, y; regularized=true) -estimate_causal_effect!(xlearner4) - # Testing initialization with DataFrames x_learner_df = XLearner(x_df, t_df, y_df) @@ -75,10 +70,6 @@ W = [fl[:, (size(dr_learner.W, 2) + 2):end] for fl in X_T] τ̂ = CausalELM.doubly_robust_formula!(dr_learner, X, T, Y, reduce(hcat, (W, X))) estimate_causal_effect!(dr_learner) -# Doubly Robust Estimation with no regularization -dr_no_reg = DoublyRobustLearner(x, t, y; W=rand(100, 4), regularized=false) -estimate_causal_effect!(dr_no_reg) - # Testing Doubly Robust Estimation with a binary outcome dr_learner_binary = DoublyRobustLearner(x, t, Float64.([rand() < 0.8 for i in 1:100])) estimate_causal_effect!(dr_learner_binary) @@ -93,10 +84,6 @@ estimate_causal_effect!(dr_learner_df) @test slearner1.T isa Array{Float64} @test slearner1.Y isa Array{Float64} - @test slearner2.X isa Array{Float64} - @test slearner2.T isa Array{Float64} - @test slearner2.Y isa Array{Float64} - @test s_learner_df.X isa Array{Float64} @test s_learner_df.T isa Array{Float64} @test s_learner_df.Y isa Array{Float64} @@ -104,7 +91,6 @@ estimate_causal_effect!(dr_learner_df) @testset "S-Learner Estimation" begin @test isa(slearner1.causal_effect, Array{Float64}) - @test isa(slearner2.causal_effect, Array{Float64}) @test isa(s_learner_binary.causal_effect, Array{Float64}) end end @@ -114,9 +100,6 @@ end @test tlearner1.X !== Nothing @test tlearner1.T !== Nothing @test tlearner1.Y !== Nothing - @test tlearner2.X !== Nothing - @test tlearner2.T !== Nothing - @test tlearner2.Y !== Nothing @test t_learner_df.X !== Nothing @test t_learner_df.T !== Nothing @test t_learner_df.Y !== Nothing @@ -124,47 +107,39 @@ end @testset "T-Learner Estimation" begin @test isa(tlearner1.causal_effect, Array{Float64}) - @test isa(tlearner2.causal_effect, Array{Float64}) @test isa(t_learner_binary.causal_effect, Array{Float64}) end end @testset "X-Learners" begin @testset "First Stage X-Learner" begin - @test typeof(xlearner1.μ₀) <: CausalELM.ExtremeLearningMachine - @test typeof(xlearner1.μ₁) <: CausalELM.ExtremeLearningMachine + @test typeof(xlearner1.μ₀) <: CausalELM.ELMEnsemble + @test typeof(xlearner1.μ₁) <: CausalELM.ELMEnsemble @test xlearner1.ps isa Array{Float64} - @test xlearner1.μ₀.__fit === true - @test xlearner1.μ₁.__fit === true - @test typeof(xlearner2.μ₀) <: CausalELM.ExtremeLearningMachine - @test typeof(xlearner2.μ₁) <: CausalELM.ExtremeLearningMachine + @test typeof(xlearner2.μ₀) <: CausalELM.ELMEnsemble + @test typeof(xlearner2.μ₁) <: CausalELM.ELMEnsemble @test xlearner2.ps isa Array{Float64} - @test xlearner2.μ₀.__fit === true - @test xlearner2.μ₁.__fit === true end @testset "Second Stage X-Learner" begin @test length(stage21) == 2 - @test eltype(stage21) <: CausalELM.ExtremeLearningMachine + @test eltype(stage21) <: CausalELM.ELMEnsemble @test length(stage22) == 2 - @test eltype(stage22) <: CausalELM.ExtremeLearningMachine + @test eltype(stage22) <: CausalELM.ELMEnsemble end @testset "X-Learner Structure" begin @test xlearner3.X !== Nothing @test xlearner3.T !== Nothing @test xlearner3.Y !== Nothing - @test xlearner4.X !== Nothing - @test xlearner4.T !== Nothing - @test xlearner4.Y !== Nothing @test x_learner_df.X !== Nothing @test x_learner_df.T !== Nothing @test x_learner_df.Y !== Nothing end @testset "X-Learner Estimation" begin - @test typeof(xlearner3.μ₀) <: CausalELM.ExtremeLearningMachine - @test typeof(xlearner3.μ₁) <: CausalELM.ExtremeLearningMachine + @test typeof(xlearner3.μ₀) <: CausalELM.ELMEnsemble + @test typeof(xlearner3.μ₁) <: CausalELM.ELMEnsemble @test xlearner3.ps isa Array{Float64} @test xlearner3.causal_effect isa Array{Float64} @test x_learner_binary.causal_effect isa Array{Float64} @@ -218,8 +193,5 @@ end @test dr_learner_binary.causal_effect isa Vector @test length(dr_learner_binary.causal_effect) === length(y) @test eltype(dr_learner_binary.causal_effect) == Float64 - @test dr_no_reg.causal_effect isa Vector - @test length(dr_no_reg.causal_effect) === length(y) - @test eltype(dr_no_reg.causal_effect) == Float64 end end diff --git a/test/test_model_validation.jl b/test/test_model_validation.jl index f855fe35..95385c93 100644 --- a/test/test_model_validation.jl +++ b/test/test_model_validation.jl @@ -37,10 +37,6 @@ discrete_counterfactual_violations = CausalELM.simulate_counterfactual_violation dml = DoubleMachineLearning(x, t, y) estimate_causal_effect!(dml) -# Create double machine learning estimator without regularization -dml_noreg = DoubleMachineLearning(x, t, y; regularized=false) -estimate_causal_effect!(dml_noreg) - # Testing the risk ratio with a nonbinary treatment variable nonbinary_dml = DoubleMachineLearning(x, rand(1:3, 100), y) estimate_causal_effect!(nonbinary_dml) @@ -141,7 +137,7 @@ end @test_throws ErrorException CausalELM.omitted_predictor( InterruptedTimeSeries(x₀, y₀, x₁, y₁) ) - @test ovb isa Dict{String,Float64} + @test ovb isa Dict{String, Float64} @test isa.(values(ovb), Float64) == Bool[1, 1, 1, 1] end @@ -158,7 +154,6 @@ end @test CausalELM.e_value(count_g_computer) isa Real @test CausalELM.e_value(g_computer) isa Real @test CausalELM.e_value(dml) isa Real - @test CausalELM.e_value(dml_noreg) isa Real @test CausalELM.e_value(t_learner) isa Real @test CausalELM.e_value(x_learner) isa Real @test CausalELM.e_value(dr_learner) isa Real @@ -188,7 +183,6 @@ end @test size(CausalELM.positivity(count_g_computer), 2) == size(count_g_computer.X, 2) + 1 @test size(CausalELM.positivity(g_computer), 2) == size(g_computer.X, 2) + 1 - @test size(CausalELM.positivity(dm_noreg), 2) == size(dm_noreg.X, 2) + 1 end @testset "All Assumptions for G-computation" begin diff --git a/test/test_models.jl b/test/test_models.jl index 17beb158..18dda773 100644 --- a/test/test_models.jl +++ b/test/test_models.jl @@ -9,22 +9,20 @@ x = [1.0 1.0; 0.0 1.0; 0.0 0.0; 1.0 0.0] y = [0.0, 1.0, 0.0, 1.0] x_test = [1.0 1.0; 0.0 1.0; 0.0 0.0] +big_x, big_y = rand(10000, 7), rand(10000) + x1 = rand(20, 5) y1 = rand(20) x1test = rand(30, 5) +mock_model = ExtremeLearner(x, y, 10, σ) + m1 = ExtremeLearner(x, y, 10, σ) f1 = fit!(m1) predictions1 = predict(m1, x_test) predict_counterfactual!(m1, x_test) placebo1 = placebo_test(m1) -m2 = RegularizedExtremeLearner(x1, y1, 10, σ) -f2 = fit!(m2) -predictions2 = predict(m2, x1test) -predict_counterfactual!(m2, x1test) -placebo2 = placebo_test(m2) - m3 = ExtremeLearner(x1, y1, 10, σ) fit!(m3) predictions3 = predict(m3, x1test) @@ -32,58 +30,81 @@ predictions3 = predict(m3, x1test) m4 = ExtremeLearner(rand(100, 5), rand(100), 5, relu) fit!(m4) -m5 = RegularizedExtremeLearner(rand(100, 5), rand(100), 5, relu) -fit!(m5) - nofit = ExtremeLearner(x1, y1, 10, σ) - -helper_elm = RegularizedExtremeLearner(x1, y1, 5, σ) -set_weights_biases(helper_elm) -k = ridge_constant(helper_elm) - -@testset "Model Fit" begin - @test length(m1.β) == 10 - @test size(m1.weights) == (2, 10) - @test size(helper_elm.H) == (20, 5) - @test length(m4.β) == size(m4.X, 2) - @test length(m5.β) == size(m5.X, 2) -end - -@testset "Regularization" begin - @test k isa Float64 -end - -@testset "Model Predictions" begin - @test predictions1[1] < 0.1 - @test predictions1[2] > 0.9 - @test predictions1[3] < 0.1 - - # Regularized case - @test predictions1[1] < 0.1 - @test predictions1[2] > 0.9 - @test predictions1[3] < 0.1 - - # Ensure the counterfactual attribute gets step - @test m1.counterfactual == predictions1 - @test m2.counterfactual == predictions2 - - # Ensure we can predict with a test set with more data points than the training set - @test isa(predictions3, Array{Float64}) -end - -@testset "Placebo Test" begin - @test length(placebo1) == 2 - @test length(placebo2) == 2 -end - -@testset "Predict Before Fit" begin - @test_throws ErrorException predict(nofit, x1test) - @test_throws ErrorException placebo_test(nofit) +set_weights_biases(nofit) + +ensemble = ELMEnsemble(big_x, big_y, 10000, 100, 5, 10, relu) +fit!(ensemble) +predictions = predict(ensemble, big_x) +mean_predictions = predict_mean(ensemble, big_x) + +@testset "Extreme Learning Machines" begin + @testset "Extreme Learning Machine Structure" begin + @test mock_model.X isa Array{Float64} + @test mock_model.Y isa Array{Float64} + @test mock_model.training_samples == size(x, 1) + @test mock_model.hidden_neurons == 10 + @test mock_model.activation == σ + @test mock_model.__fit == false + end + + @testset "Model Fit" begin + @test length(m1.β) == 10 + @test size(m1.weights) == (2, 10) + @test length(m4.β) == size(m4.X, 2) + end + + @testset "Model Predictions" begin + @test predictions1[1] < 0.1 + @test predictions1[2] > 0.9 + @test predictions1[3] < 0.1 + + # Ensure the counterfactual attribute gets step + @test m1.counterfactual == predictions1 + + # Ensure we can predict with a test set with more data points than the training set + @test isa(predictions3, Array{Float64}) + end + + @testset "Placebo Test" begin + @test length(placebo1) == 2 + end + + @testset "Predict Before Fit" begin + @test isdefined(nofit, :H) == true + @test_throws ErrorException predict(nofit, x1test) + @test_throws ErrorException placebo_test(nofit) + end + + @testset "Print Models" begin + msg1, msg2 = "Extreme Learning Machine with ", "hidden neurons" + msg3 = "Regularized " * msg1 + @test sprint(print, m1) === msg1 * string(m1.hidden_neurons) * " " * msg2 + end end -@testset "Print Models" begin - msg1, msg2 = "Extreme Learning Machine with ", "hidden neurons" - msg3 = "Regularized " * msg1 - @test sprint(print, m1) === msg1 * string(m1.hidden_neurons) * " " * msg2 - @test sprint(print, m2) === msg3 * string(m2.hidden_neurons) * " " * msg2 +@testset "Extreme Learning Machine Ensembles" begin + @testset "Initializing Ensembles" begin + @test ensemble isa ELMEnsemble + @test ensemble.X isa Array{Float64} + @test ensemble.Y isa Array{Float64} + @test ensemble.elms isa Array{ExtremeLearner} + @test length(ensemble.elms) == 100 + @test ensemble.feat_indices isa Vector{Vector{Int64}} + @test length(ensemble.feat_indices) == 100 + end + + @testset "Ensemble Fitting and Prediction" begin + @test all([elm.__fit for elm in ensemble.elms]) == true + @test predictions isa Matrix{Float64} + @test size(predictions) == (10000, 100) + @test mean_predictions isa Vector{Float64} + @test length(mean_predictions) == 10000 + end + + @testset "Print Models" begin + msg1, msg2 = "Extreme Learning Machine Ensemble with ", "learners" + msg3 = "Regularized " * msg1 + @test sprint(print, ensemble) === msg1 * string(length(ensemble.elms)) * " " * msg2 + end end diff --git a/test/test_utilities.jl b/test/test_utilities.jl index 20b8f0ac..60e0420b 100644 --- a/test/test_utilities.jl +++ b/test/test_utilities.jl @@ -1,27 +1,19 @@ using Test - -include("../src/utilities.jl") - -struct Binary end -struct Count end +using CausalELM # Variables for checking the output of the model_config macro because it is difficult -model_config_avg_expr = @macroexpand @model_config average_effect -model_config_ind_expr = @macroexpand @model_config individual_effect -model_config_avg_idx = Int64.(collect(range(2, 26, 13))) -model_config_ind_idx = Int64.(collect(range(2, 26, 13))) +model_config_avg_expr = @macroexpand CausalELM.@model_config average_effect +model_config_ind_expr = @macroexpand CausalELM.@model_config individual_effect +model_config_avg_idx = Int64.(collect(range(2, 18, 9))) +model_config_ind_idx = Int64.(collect(range(2, 18, 9))) model_config_avg_ground_truth = quote quantity_of_interest::String temporal::Bool task::String - regularized::Bool activation::Function - validation_metric::Function - min_neurons::Int64 - max_neurons::Int64 - folds::Int64 - iterations::Int64 - approximator_neurons::Int64 + sample_size::Integer + num_machines::Integer + num_feats::Integer num_neurons::Int64 causal_effect::Float64 end @@ -32,18 +24,15 @@ model_config_ind_ground_truth = quote task::String regularized::Bool activation::Function - validation_metric::Function - min_neurons::Int64 - max_neurons::Int64 - folds::Int64 - iterations::Int64 - approximator_neurons::Int64 + sample_size::Integer + num_machines::Integer + num_feats::Integer num_neurons::Int64 causal_effect::Array{Float64} end # Fields for the user supplied data -standard_input_expr = @macroexpand @standard_input_data +standard_input_expr = @macroexpand CausalELM.@standard_input_data standard_input_idx = [2, 4, 6] standard_input_ground_truth = quote X::Array{Float64} @@ -52,7 +41,7 @@ standard_input_ground_truth = quote end # Fields for the user supplied data -double_model_input_expr = @macroexpand @standard_input_data +double_model_input_expr = @macroexpand CausalELM.@standard_input_data double_model_input_idx = [2, 4, 6] double_model_input_ground_truth = quote X::Array{Float64} @@ -63,16 +52,16 @@ end @testset "Moments" begin @test mean([1, 2, 3]) == 2 - @test var([1, 2, 3]) == 1 + @test CausalELM.var([1, 2, 3]) == 1 end @testset "One Hot Encoding" begin - @test one_hot_encode([1, 2, 3]) == [1 0 0; 0 1 0; 0 0 1] + @test CausalELM.one_hot_encode([1, 2, 3]) == [1 0 0; 0 1 0; 0 0 1] end @testset "Clipping" begin - @test clip_if_binary([1.2, -0.02], Binary()) == [0.9999999, 1.0e-7] - @test clip_if_binary([1.2, -0.02], Count()) == [1.2, -0.02] + @test CausalELM.clip_if_binary([1.2, -0.02], CausalELM.Binary()) == [0.9999999, 1.0e-7] + @test CausalELM.clip_if_binary([1.2, -0.02], CausalELM.Count()) == [1.2, -0.02] end @testset "Generating Fields with Macros" begin @@ -91,7 +80,7 @@ end model_config_ind_ground_truth.args[model_config_avg_idx] ) - @test_throws ArgumentError @macroexpand @model_config mean + @test_throws ArgumentError @macroexpand CausalELM.@model_config mean @test standard_input_expr.head == standard_input_ground_truth.head diff --git a/testing.ipynb b/testing.ipynb index dde92722..5c662d20 100644 --- a/testing.ipynb +++ b/testing.ipynb @@ -2,7 +2,7 @@ "cells": [ { "cell_type": "code", - "execution_count": 14, + "execution_count": 1, "metadata": {}, "outputs": [], "source": [ @@ -14,7 +14,7 @@ }, { "cell_type": "code", - "execution_count": 9, + "execution_count": 2, "metadata": {}, "outputs": [ { @@ -55,13 +55,13 @@ }, { "cell_type": "code", - "execution_count": 63, + "execution_count": 14, "metadata": {}, "outputs": [ { "data": { "text/plain": [ - "DoubleMachineLearning([31.0 28146.0 … 0.0 1.0; 52.0 32634.0 … 0.0 1.0; … ; 41.0 56190.0 … 0.0 1.0; 28.0 26205.0 … 0.0 0.0], [0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0 … 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0], [-3300.0, 61010.0, 8849.0, -6013.0, -2375.0, -11000.0, -16901.0, 1000.0, 0.0, 6400.0 … -1436.0, 4500.0, 34739.0, -750.0, 40000.0, 172.0, 836.0, 6150.0, 14499.0, -5400.0], [31.0 28146.0 … 0.0 1.0; 52.0 32634.0 … 0.0 1.0; … ; 41.0 56190.0 … 0.0 1.0; 28.0 26205.0 … 0.0 0.0], \"ATE\", false, \"regression\", true, CausalELM.relu, 8954, NaN, 5)" + "DoubleMachineLearning([31.0 28146.0 … 0.0 1.0; 52.0 32634.0 … 0.0 1.0; … ; 41.0 56190.0 … 0.0 1.0; 28.0 26205.0 … 0.0 0.0], [0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0 … 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0], [-3300.0, 61010.0, 8849.0, -6013.0, -2375.0, -11000.0, -16901.0, 1000.0, 0.0, 6400.0 … -1436.0, 4500.0, 34739.0, -750.0, 40000.0, 172.0, 836.0, 6150.0, 14499.0, -5400.0], [31.0 28146.0 … 0.0 1.0; 52.0 32634.0 … 0.0 1.0; … ; 41.0 56190.0 … 0.0 1.0; 28.0 26205.0 … 0.0 0.0], \"ATE\", false, \"regression\", CausalELM.relu, 9915, 100, 6, 32, NaN, 5)" ] }, "metadata": {}, @@ -69,130 +69,60 @@ } ], "source": [ - "glearner = DoubleMachineLearning(covariates, treatment, outcome)" - ] - }, - { - "cell_type": "code", - "execution_count": 66, - "metadata": {}, - "outputs": [], - "source": [ - "estimate_causal_effect!(glearner)" + "dr_learner = DoubleMachineLearning(covariates, treatment, outcome, num_feats=6)" ] }, { "cell_type": "code", - "execution_count": 38, + "execution_count": 18, "metadata": {}, "outputs": [ { "data": { "text/plain": [ - "([0.23716522406873197 0.08463142909640708 … 0.30968748590862305 0.04725439908425155; 0.13055165056767004 0.9220378350184131 … 0.572606572207097 0.3884781806564631; … ; 0.5640916988721004 0.853346124678495 … 0.8469263452425522 0.1257190755169607; 0.6679763039334277 0.47972447662761064 … 0.37811702580338935 0.617016732528424], [0.6491269811582214, 0.5932565556655242, 0.8565916760297303, 0.7021098498625459, 0.5264840904652793, 0.7432901746261853, 0.7807974247740146, 0.540402591727013, 0.6592750061253853, 0.8705468971445318 … 0.27613447847948525, 0.23299375275857093, 0.9834654852036273, 0.26905537667480783, 0.2977201330273679, 0.2251454190526, 0.22413247851994167, 0.0759353440270586, 0.11762273465665674, 0.7904463339844465])" + "0.1134771453284956" ] }, "metadata": {}, "output_type": "display_data" } ], + "source": [ + "estimate_causal_effect!(dr_learner)" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], "source": [ "x, y = rand(10000, 7), rand(10000)" ] }, { "cell_type": "code", - "execution_count": 45, + "execution_count": null, "metadata": {}, - "outputs": [ - { - "data": { - "text/plain": [ - "Regularized Extreme Learning Machine with 32 hidden neurons" - ] - }, - "metadata": {}, - "output_type": "display_data" - } - ], + "outputs": [], "source": [ "learner = CausalELM.RegularizedExtremeLearner(x, y, 32, CausalELM.relu)" ] }, { "cell_type": "code", - "execution_count": 46, + "execution_count": null, "metadata": {}, - "outputs": [ - { - "data": { - "text/plain": [ - "32-element Vector{Float64}:\n", - " 0.026749830711221247\n", - " 0.21033200016686496\n", - " 0.0998447220434613\n", - " -0.0016226945603700442\n", - " 0.3597543007214425\n", - " -0.043393923445557585\n", - " -0.0965275383555918\n", - " 0.16851120953021403\n", - " -0.557573006115525\n", - " -0.2778346924700644\n", - " ⋮\n", - " 0.5212664218550033\n", - " 0.13173644509429325\n", - " 0.5211474953702191\n", - " -0.20661927597795182\n", - " 0.08922154206186592\n", - " 0.16653105344587832\n", - " 0.28420105086226877\n", - " 0.14469922378022404\n", - " 0.23991509930469146" - ] - }, - "metadata": {}, - "output_type": "display_data" - } - ], + "outputs": [], "source": [ "CausalELM.fit!(learner)" ] }, { "cell_type": "code", - "execution_count": 37, + "execution_count": null, "metadata": {}, - "outputs": [ - { - "data": { - "text/plain": [ - "100-element Vector{Vector{Float64}}:\n", - " [0.33563059342914375, 1.554096183061739, 0.34175856928495607, 1.4843766215556682, -0.1271150310066662]\n", - " [-0.17343604358378908, 0.12755980344503404, 0.4879726895099466, 0.4237855857253079, 0.33327314853638307]\n", - " [0.6867049618284538, 1.7639485392494731, -0.1769622610416582, 0.8025175209234753, 0.3162124425261725]\n", - " [0.4311107417441136, 0.3815772807360452, 0.04724625538049302, 0.35167417631976233, -0.22961157745956168]\n", - " [0.07929165744768467, 0.42503570736716156, 0.11718878236558518, 0.6794679592330893, 0.2097825511197849]\n", - " [0.0, -0.10187284552293427, 0.3254677777717854, 3.202266196543033e-17, 0.19784989559926286]\n", - " [0.3612678189475889, 0.3231944876545776, -3.10093526107407e-15, 0.7815001221603154, 0.06663446895775363]\n", - " [1.2569802097480374, -3.0084525386329504, -0.6188530616095848, 0.4304718396128743, 0.5344934682266744]\n", - " [0.3410220874955934, 0.4997803635021601, 0.15743896412842878, 0.4836342090809235, -0.009722499096015656]\n", - " [0.25605571278411066, 0.4139552997221257, 0.24509473398353754, -0.2951807601203683, 0.481253052059495]\n", - " ⋮\n", - " [0.3288054483267889, 0.9013569758236797, 0.6578316039798714, 0.15582113363566913, 0.5738668694380774]\n", - " [3.248579620102745, 0.40409889685896394, 0.0985940078506724, 0.0067590730144703615, 1.2317304730902332]\n", - " [0.5369175126794183, -0.015930203977996292, 3.5387922344531497, 0.0, 0.33289240822647176]\n", - " [0.4198364812057246, 0.08732942450079251, 0.24260485315730573, 0.3572921516525323, 0.5746169223073783]\n", - " [0.31779097678518065, 0.07942042685607537, 1.3334033473644795, -0.14338187719100173, 8.836720786077997]\n", - " [0.16254422052556974, -0.1802461953026333, 0.14242076117583533, 1.1571796204354574, 0.28481885986823574]\n", - " [0.685903612597394, 0.31148278612632635, -0.5170648985089248, -0.9241162798988115, 0.5149519883264604]\n", - " [-0.8330554768181385, 0.8461605570419718, 2.2803866099371377, 0.603911556736617, 0.32424145127162707]\n", - " [0.15366760321947498, 0.15943453750552228, 0.1835045671943382, 0.35920664108713546, 0.5726955152306309]" - ] - }, - "metadata": {}, - "output_type": "display_data" - } - ], + "outputs": [], "source": [ "xs = [rand(1000, 8) for i in 1:100]\n", "ys = [rand(1000) for i in 1:100]\n", @@ -203,19 +133,9 @@ }, { "cell_type": "code", - "execution_count": 39, + "execution_count": null, "metadata": {}, - "outputs": [ - { - "data": { - "text/plain": [ - "fit! (generic function with 1 method)" - ] - }, - "metadata": {}, - "output_type": "display_data" - } - ], + "outputs": [], "source": [ "mutable struct ELMEnsemble\n", " X::Array{Float64}\n", @@ -243,96 +163,36 @@ }, { "cell_type": "code", - "execution_count": 50, + "execution_count": null, "metadata": {}, - "outputs": [ - { - "data": { - "text/plain": [ - "ELMEnsemble([31.0 28146.0 … 0.0 1.0; 52.0 32634.0 … 0.0 1.0; … ; 41.0 56190.0 … 0.0 1.0; 28.0 26205.0 … 0.0 0.0], [-3300.0, 61010.0, 8849.0, -6013.0, -2375.0, -11000.0, -16901.0, 1000.0, 0.0, 6400.0 … -1436.0, 4500.0, 34739.0, -750.0, 40000.0, 172.0, 836.0, 6150.0, 14499.0, -5400.0], CausalELM.ExtremeLearner[Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons … Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons, Extreme Learning Machine with 10 hidden neurons])" - ] - }, - "metadata": {}, - "output_type": "display_data" - } - ], + "outputs": [], "source": [ "ensemble = ELMEnsemble(Matrix{Float64}(covariates), Float64.(outcome[:, 1]), 10000, 100, 10)" ] }, { "cell_type": "code", - "execution_count": 59, + "execution_count": null, "metadata": {}, - "outputs": [ - { - "data": { - "text/plain": [ - "100-element Vector{Vector{Float64}}:\n", - " [6211.408699229452, 1.5821332294031651, -13735.18658175283, 0.6524374453029926, 260.79520738555453, 1.4013393161668026, -1351.18915422185, 14631.142361137296, 0.9738553598743988, 1.1907620936611532]\n", - " [-14401.515405970058, 71237.03121623177, -12585.477651933446, 14439.162597071294, -10985.595229244644, 23574.843298215033, 23123.869962055618, 23070.273691837538, 493.1701340561063, -56151.84544187152]\n", - " [-180.9263418876608, 0.0, 2873.5351527420603, -1985.5623964348392, -2686.811852048377, 4511.355299849305, -9875.408841485112, -1349.9293238605605, 5779.2168040718025, -120.24340400725902]\n", - " [0.0, -6257.710632510187, -19899.275681606392, -16954.679812461578, 0.0, 0.0, 22644.406308937705, 12385.177066525117, 51354.12427458451, 15260.878775158537]\n", - 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] - }, - "metadata": {}, - "output_type": "display_data" - } - ], + "outputs": [], "source": [ "m1 = GComputation(x, rand(0:1, 10000), y, regularized=false)" ] }, { "cell_type": "code", - "execution_count": 14, + "execution_count": null, "metadata": {}, - "outputs": [ - { - "data": { - "text/plain": [ - "0.5764691423345073" - ] - }, - "metadata": {}, - "output_type": "display_data" - } - ], + "outputs": [], "source": [ "estimate_causal_effect!(m1)" ] From fe540c0fa16d631a1c54ebbe476a7cfb1cd192c9 Mon Sep 17 00:00:00 2001 From: Darren Colby Date: Sat, 29 Jun 2024 21:39:56 -0500 Subject: [PATCH 06/24] Fixed double machine learning estimation --- src/estimators.jl | 50 +++++-------- src/models.jl | 3 +- testing.ipynb | 185 ++++++++++++++++++++-------------------------- 3 files changed, 100 insertions(+), 138 deletions(-) diff --git a/src/estimators.jl b/src/estimators.jl index 7dafe935..a1735e13 100644 --- a/src/estimators.jl +++ b/src/estimators.jl @@ -388,31 +388,6 @@ julia> estimate_causal_effect!(m2) ``` """ function estimate_causal_effect!(DML::DoubleMachineLearning) - causal_loss!(DML) - DML.causal_effect /= DML.folds - - return DML.causal_effect -end - -""" - causal_loss!(DML, [,cate]) - -Minimize the causal loss function for double machine learning. - -# Notes -This method should not be called directly. - -# Arguments -- `DML::DoubleMachineLearning`: the DoubleMachineLearning struct to estimate the effect for. - -# Examples -```julia -julia> X, T, Y = rand(100, 5), [rand()<0.4 for i in 1:100], rand(100) -julia> m1 = DoubleMachineLearning(X, T, Y) -julia> causal_loss!(m1) -``` -""" -function causal_loss!(DML::DoubleMachineLearning) X, T, W, Y = make_folds(DML) DML.causal_effect = 0 @@ -426,8 +401,12 @@ function causal_loss!(DML::DoubleMachineLearning) Ỹ, T̃ = predict_residuals( DML, X_train, X_test, Y_train, Y_test, T_train, T_test, W_train, W_test ) - DML.causal_effect += (vec(sum(T̃ .* X_test; dims=2)) \ Ỹ)[1] + + DML.causal_effect += T̃\Ỹ end + DML.causal_effect /= DML.folds + + return DML.causal_effect end """ @@ -462,11 +441,22 @@ function predict_residuals( V = x_train != w_train && x_test != w_test ? reduce(hcat, (x_train, w_train)) : x_train V_test = V == x_train ? x_test : reduce(hcat, (x_test, w_test)) - y = ELMEnsemble( - V, y_train, D.sample_size, D.num_machines, D.num_feats, D.num_neurons, D.activation + y = ELMEnsemble(V, + y_train, + D.sample_size, + D.num_machines, + D.num_feats, + D.num_neurons, + D.activation ) - t = ELMEnsemble( - V, t_train, D.sample_size, D.num_machines, D.num_feats, D.num_neurons, D.activation + + t = ELMEnsemble(V, + t_train, + D.sample_size, + D.num_machines, + D.num_feats, + D.num_neurons, + D.activation ) fit!(y) diff --git a/src/models.jl b/src/models.jl index f8516947..9ed75c77 100644 --- a/src/models.jl +++ b/src/models.jl @@ -259,8 +259,7 @@ julia> set_weights_biases(m1) ``` """ function set_weights_biases(model::ExtremeLearner) - n_in, n_out = size(model.X, 2), model.hidden_neurons - a, b = -sqrt(6) / sqrt(n_in + n_out), sqrt(6) / sqrt(n_in + n_out) + a, b = -1, 1 model.weights = @fastmath a .+ ((b - a) .* rand(model.features, model.hidden_neurons)) return model.H = @fastmath model.activation((model.X * model.weights)) diff --git a/testing.ipynb b/testing.ipynb index 5c662d20..f7f1c71d 100644 --- a/testing.ipynb +++ b/testing.ipynb @@ -14,7 +14,7 @@ }, { "cell_type": "code", - "execution_count": 2, + "execution_count": 8, "metadata": {}, "outputs": [ { @@ -55,13 +55,69 @@ }, { "cell_type": "code", - "execution_count": 14, + "execution_count": 17, "metadata": {}, "outputs": [ { "data": { + "text/html": [ + "
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"DoubleMachineLearning([31.0 28146.0 … 0.0 1.0; 52.0 32634.0 … 0.0 1.0; … ; 41.0 56190.0 … 0.0 1.0; 28.0 26205.0 … 0.0 0.0], [0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0 … 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0], [-3300.0, 61010.0, 8849.0, -6013.0, -2375.0, -11000.0, -16901.0, 1000.0, 0.0, 6400.0 … -1436.0, 4500.0, 34739.0, -750.0, 40000.0, 172.0, 836.0, 6150.0, 14499.0, -5400.0], [31.0 28146.0 … 0.0 1.0; 52.0 32634.0 … 0.0 1.0; … ; 41.0 56190.0 … 0.0 1.0; 28.0 26205.0 … 0.0 0.0], \"ATE\", false, \"regression\", CausalELM.relu, 9915, 100, 6, 32, NaN, 5)" + "\u001b[1m9915×8 DataFrame\u001b[0m\n", + "\u001b[1m Row \u001b[0m│\u001b[1m age \u001b[0m\u001b[1m inc \u001b[0m\u001b[1m fsize \u001b[0m\u001b[1m marr \u001b[0m\u001b[1m twoearn \u001b[0m\u001b[1m db \u001b[0m\u001b[1m pira \u001b[0m\u001b[1m hown \u001b[0m ⋯\n", + " │\u001b[90m Float64 \u001b[0m\u001b[90m Float64 \u001b[0m\u001b[90m Float64 \u001b[0m\u001b[90m Float64 \u001b[0m\u001b[90m Int64 \u001b[0m\u001b[90m Int64 \u001b[0m\u001b[90m Int64 \u001b[0m\u001b[90m Int64\u001b[0m ⋯\n", + "──────┼─────────────────────────────────────────────────────────────────────────\n", + " 1 │ 0.153846 0.125821 0.333333 1.0 0 0 0 1 ⋯\n", + " 2 │ 0.692308 0.144156 0.333333 0.0 0 0 0 1\n", + " 3 │ 0.641026 0.224115 0.166667 1.0 1 0 1 1\n", + " 4 │ 0.0769231 0.195705 0.25 1.0 1 0 0 0\n", + " 5 │ 0.435897 0.146166 0.166667 0.0 0 1 0 1 ⋯\n", + " 6 │ 0.615385 0.324836 0.416667 1.0 1 1 0 1\n", + " 7 │ 0.384615 0.245649 0.25 1.0 1 1 0 1\n", + " 8 │ 0.846154 0.0706319 0.0 0.0 0 0 0 0\n", + " ⋮ │ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋱\n", + " 9909 │ 0.0769231 0.141264 0.0833333 1.0 1 0 0 0 ⋯\n", + " 9910 │ 0.615385 0.273176 0.25 1.0 1 0 1 1\n", + " 9911 │ 0.230769 0.0659869 0.0 0.0 0 1 0 0\n", + " 9912 │ 0.205128 0.170274 0.166667 1.0 0 1 0 1\n", + " 9913 │ 0.230769 0.266644 0.25 1.0 1 0 0 1 ⋯\n", + " 9914 │ 0.410256 0.240391 0.166667 1.0 1 1 0 1\n", + " 9915 │ 0.0769231 0.117891 0.25 1.0 1 0 0 0\n", + "\u001b[36m 9900 rows omitted\u001b[0m" ] }, "metadata": {}, @@ -69,7 +125,11 @@ } ], "source": [ - "dr_learner = DoubleMachineLearning(covariates, treatment, outcome, num_feats=6)" + "covariates.inc = (covariates.inc .- minimum(covariates.inc))/(maximum(covariates.inc) - minimum(covariates.inc))\n", + "covariates.age = (covariates.age .- minimum(covariates.age))/(maximum(covariates.age) - minimum(covariates.age))\n", + "covariates.fsize = (covariates.fsize .- minimum(covariates.fsize))/(maximum(covariates.fsize) - minimum(covariates.fsize))\n", + "covariates.marr = (covariates.marr .- minimum(covariates.marr))/(maximum(covariates.marr) - minimum(covariates.marr))\n", + "covariates" ] }, { @@ -80,7 +140,7 @@ { "data": { "text/plain": [ - "0.1134771453284956" + "DoubleMachineLearning([0.15384615384615385 0.1258211589371507 … 0.0 1.0; 0.6923076923076923 0.1441562898323365 … 0.0 1.0; … ; 0.41025641025641024 0.24039121482498285 … 0.0 1.0; 0.07692307692307693 0.11789145994705363 … 0.0 0.0], [0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0 … 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0], [-3300.0, 61010.0, 8849.0, -6013.0, -2375.0, -11000.0, -16901.0, 1000.0, 0.0, 6400.0 … -1436.0, 4500.0, 34739.0, -750.0, 40000.0, 172.0, 836.0, 6150.0, 14499.0, -5400.0], [0.15384615384615385 0.1258211589371507 … 0.0 1.0; 0.6923076923076923 0.1441562898323365 … 0.0 1.0; … ; 0.41025641025641024 0.24039121482498285 … 0.0 1.0; 0.07692307692307693 0.11789145994705363 … 0.0 0.0], \"ATE\", false, \"regression\", CausalELM.relu, 9915, 100, 3, 32, NaN, 5)" ] }, "metadata": {}, @@ -88,113 +148,26 @@ } ], "source": [ - "estimate_causal_effect!(dr_learner)" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ - "x, y = rand(10000, 7), rand(10000)" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ - "learner = CausalELM.RegularizedExtremeLearner(x, y, 32, CausalELM.relu)" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ - "CausalELM.fit!(learner)" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ - "xs = [rand(1000, 8) for i in 1:100]\n", - "ys = [rand(1000) for i in 1:100]\n", - "\n", - "learners = [CausalELM.ExtremeLearner(xs[i], ys[i], 5, CausalELM.relu) for i in 1:100]\n", - "CausalELM.fit!.(learners)" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ - "mutable struct ELMEnsemble\n", - " X::Array{Float64}\n", - " Y::Array{Float64}\n", - " elms::Array{CausalELM.ExtremeLearner}\n", - "end\n", - "\n", - "function ELMEnsemble(\n", - " X::Array{Float64}, \n", - " Y::Array{Float64}, \n", - " sample_size::Integer, \n", - " num_machines::Integer, \n", - " num_neurons::Integer\n", - ")\n", - " rows = [rand(1:length(Y), length(Y)) for i in 1:num_machines]\n", - " cols = [randperm(size(X, 2))[1:floor(Int64, sqrt(size(X, 2)))] for i ∈ 1:num_machines]\n", - " xs, ys = [X[rows[i], cols[i]] for i ∈ eachindex(rows)], [Y[rows[i]] for i ∈ eachindex(rows)]\n", - " elms = [CausalELM.ExtremeLearner(xs[i], ys[i], num_neurons, CausalELM.relu) for i ∈ 1:num_machines]\n", - "\n", - " return ELMEnsemble(X, Y, elms)\n", - "end\n", - "\n", - "fit!(mod::ELMEnsemble) = CausalELM.fit!.(mod.elms)" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ - "ensemble = ELMEnsemble(Matrix{Float64}(covariates), Float64.(outcome[:, 1]), 10000, 100, 10)" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ - "fit!(ensemble)" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ - "m1 = GComputation(x, rand(0:1, 10000), y, regularized=false)" + "dr_learner = DoubleMachineLearning(covariates, treatment, outcome, num_feats=6)" ] }, { "cell_type": "code", - "execution_count": null, + "execution_count": 20, "metadata": {}, - "outputs": [], + "outputs": [ + { + "data": { + "text/plain": [ + "1.1512122572730373e10" + ] + }, + "metadata": {}, + "output_type": "display_data" + } + ], "source": [ - "estimate_causal_effect!(m1)" + "estimate_causal_effect!(dr_learner)" ] } ], From da335b119d8376d6e5c1a0c6aa2b4e5deb22c3bc Mon Sep 17 00:00:00 2001 From: Darren Colby Date: Sat, 29 Jun 2024 23:38:30 -0500 Subject: [PATCH 07/24] Added multithreading for generating null distributions --- src/inference.jl | 4 ++-- testing.ipynb | 61 +++++++++++++++++++++++++++++++++++++++++++----- 2 files changed, 57 insertions(+), 8 deletions(-) diff --git a/src/inference.jl b/src/inference.jl index 70cda237..49d9f187 100644 --- a/src/inference.jl +++ b/src/inference.jl @@ -194,7 +194,7 @@ function generate_null_distribution(mod, n) results = Vector{Float64}(undef, n) # Generate random treatment assignments and estimate the causal effects - for iter in 1:n + Threads.@threads for iter in 1:n # Sample from a continuous distribution if the treatment is continuous if var_type(mod.T) isa Continuous @@ -234,7 +234,7 @@ function generate_null_distribution(its::InterruptedTimeSeries, n, mean_effect) data = reduce(hcat, (reduce(vcat, (its.X₀, its.X₁)), reduce(vcat, (its.Y₀, its.Y₁)))) # Generate random treatment assignments and estimate the causal effects - for iter in 1:n + Threads.@threads for iter in 1:n permuted_data = data[shuffle(1:end), :] permuted_x₀ = permuted_data[1:split_idx, 1:(end - 1)] permuted_x₁ = permuted_data[(split_idx + 1):end, 1:(end - 1)] diff --git a/testing.ipynb b/testing.ipynb index f7f1c71d..f1ab5145 100644 --- a/testing.ipynb +++ b/testing.ipynb @@ -14,7 +14,7 @@ }, { "cell_type": "code", - "execution_count": 8, + "execution_count": 2, "metadata": {}, "outputs": [ { @@ -55,7 +55,7 @@ }, { "cell_type": "code", - "execution_count": 17, + "execution_count": 3, "metadata": {}, "outputs": [ { @@ -134,13 +134,13 @@ }, { "cell_type": "code", - "execution_count": 18, + "execution_count": 4, "metadata": {}, "outputs": [ { "data": { "text/plain": [ - "DoubleMachineLearning([0.15384615384615385 0.1258211589371507 … 0.0 1.0; 0.6923076923076923 0.1441562898323365 … 0.0 1.0; … ; 0.41025641025641024 0.24039121482498285 … 0.0 1.0; 0.07692307692307693 0.11789145994705363 … 0.0 0.0], [0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0 … 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0], [-3300.0, 61010.0, 8849.0, -6013.0, -2375.0, -11000.0, -16901.0, 1000.0, 0.0, 6400.0 … -1436.0, 4500.0, 34739.0, -750.0, 40000.0, 172.0, 836.0, 6150.0, 14499.0, -5400.0], [0.15384615384615385 0.1258211589371507 … 0.0 1.0; 0.6923076923076923 0.1441562898323365 … 0.0 1.0; … ; 0.41025641025641024 0.24039121482498285 … 0.0 1.0; 0.07692307692307693 0.11789145994705363 … 0.0 0.0], \"ATE\", false, \"regression\", CausalELM.relu, 9915, 100, 3, 32, NaN, 5)" + "DoubleMachineLearning([0.15384615384615385 0.1258211589371507 … 0.0 1.0; 0.6923076923076923 0.1441562898323365 … 0.0 1.0; … ; 0.41025641025641024 0.24039121482498285 … 0.0 1.0; 0.07692307692307693 0.11789145994705363 … 0.0 0.0], [0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0 … 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0], [-3300.0, 61010.0, 8849.0, -6013.0, -2375.0, -11000.0, -16901.0, 1000.0, 0.0, 6400.0 … -1436.0, 4500.0, 34739.0, -750.0, 40000.0, 172.0, 836.0, 6150.0, 14499.0, -5400.0], [0.15384615384615385 0.1258211589371507 … 0.0 1.0; 0.6923076923076923 0.1441562898323365 … 0.0 1.0; … ; 0.41025641025641024 0.24039121482498285 … 0.0 1.0; 0.07692307692307693 0.11789145994705363 … 0.0 0.0], \"ATE\", false, \"regression\", CausalELM.relu, 9915, 100, 6, 32, NaN, 5)" ] }, "metadata": {}, @@ -153,13 +153,13 @@ }, { "cell_type": "code", - "execution_count": 20, + "execution_count": 5, "metadata": {}, "outputs": [ { "data": { "text/plain": [ - "1.1512122572730373e10" + "9033.493578983765" ] }, "metadata": {}, @@ -169,6 +169,55 @@ "source": [ "estimate_causal_effect!(dr_learner)" ] + }, + { + "cell_type": "code", + "execution_count": 6, + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "Dict{Any, Any} with 11 entries:\n", + " \"Activation Function\" => relu\n", + " \"Quantity of Interest\" => \"ATE\"\n", + " \"Sample Size\" => 9915\n", + " \"Number of Machines\" => 100\n", + " \"Causal Effect\" => 9033.49\n", + " \"Number of Neurons\" => 32\n", + " \"Task\" => \"regression\"\n", + " \"Time Series/Panel Data\" => false\n", + " \"Standard Error\" => NaN\n", + " \"p-value\" => NaN\n", + " \"Number of Features\" => 6" + ] + }, + "metadata": {}, + "output_type": "display_data" + } + ], + "source": [ + "summarize(dr_learner)" + ] + }, + { + "cell_type": "code", + "execution_count": 8, + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "(Dict(0.025 => -4476.677196794664, 0.075 => -10907.740036294652, 0.1 => -7481.868340004905, 0.05 => -12111.35624853631), 2.7865714374354598, Matrix{Float64}(undef, 0, 9))" + ] + }, + "metadata": {}, + "output_type": "display_data" + } + ], + "source": [ + "validate(dr_learner)" + ] } ], "metadata": { From e9055068d5bd364b7d7c2fc1b3fce5f1740cfe4a Mon Sep 17 00:00:00 2001 From: Darren Colby Date: Sun, 30 Jun 2024 18:40:31 -0500 Subject: [PATCH 08/24] Removed redundant W argument --- Manifest.toml | 232 +----------------------- Project.toml | 2 - docs/src/guide/doublemachinelearning.md | 30 +-- docs/src/guide/gcomputation.md | 17 +- docs/src/guide/its.md | 18 +- docs/src/guide/metalearners.md | 17 +- docs/src/index.md | 18 +- docs/src/release_notes.md | 5 +- src/estimators.jl | 130 ++++--------- src/metalearners.jl | 71 ++------ src/utilities.jl | 22 --- test/test_estimators.jl | 17 +- test/test_metalearners.jl | 22 +-- testing.ipynb | 16 +- 14 files changed, 116 insertions(+), 501 deletions(-) diff --git a/Manifest.toml b/Manifest.toml index 5294738f..5fcff0eb 100644 --- a/Manifest.toml +++ b/Manifest.toml @@ -2,103 +2,16 @@ julia_version = "1.8.5" manifest_format = "2.0" -project_hash = "a71c3dc546f65e5c8baf2d15aa5d41355e85fe6c" +project_hash = "18a38d2a3c0a24ffa847859ade56a5a957640011" [[deps.Artifacts]] uuid = "56f22d72-fd6d-98f1-02f0-08ddc0907c33" -[[deps.Base64]] -uuid = "2a0f44e3-6c83-55bd-87e4-b1978d98bd5f" - -[[deps.CSV]] -deps = ["CodecZlib", "Dates", "FilePathsBase", "InlineStrings", "Mmap", "Parsers", "PooledArrays", "PrecompileTools", "SentinelArrays", "Tables", "Unicode", "WeakRefStrings", "WorkerUtilities"] -git-tree-sha1 = "6c834533dc1fabd820c1db03c839bf97e45a3fab" -uuid = "336ed68f-0bac-5ca0-87d4-7b16caf5d00b" -version = "0.10.14" - 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This is a semiparametric model in the sense that the first stage models can take on any functional form but the final stage model is linear. -!!! note - If regularized is set to true then the ridge penalty will be estimated using generalized - cross validation where the maximum number of iterations is 2 * folds for the successive - halving procedure. However, if the penalty in on iteration is approximately the same as in - the previous penalty, then the procedure will stop early. - !!! note For more information see: @@ -19,13 +13,10 @@ models can take on any functional form but the final stage model is linear. Whitney Newey, and James Robins. "Double/debiased machine learning for treatment and structural parameters." (2018): C1-C68. - ## Step 1: Initialize a Model The DoubleMachineLearning constructor takes at least three arguments, an array of covariates, a treatment vector, and an outcome vector. This estimator supports binary, count, -or continuous treatments and binary, count, continuous, or time to event outcomes. You can -also specify confounders that you do not want to estimate the CATE for by passing a parameter -to the W argument. Otherwise, the model assumes all possible confounders are contained in X. +or continuous treatments and binary, count, continuous, or time to event outcomes. !!! note Internally, the outcome and treatment models are treated as a regression since extreme @@ -36,23 +27,22 @@ to the W argument. Otherwise, the model assumes all possible confounders are con variables. !!! tip - You can also specify the following options: whether to use L2 regularization, the - activation function, the number of folds to use for cross fitting, and the number of - iterations to perform cross validation. These arguments are specified with the following - keyword arguments: regularized, activation, folds, and num\_neurons. + You can also specify the the number of folds to use for cross-fitting, the number of + extreme learning machines to incorporate in the ensemble, the number of features to + consider for each extreme learning machine, the activation function to use, the number + of observations to bootstrap in each extreme learning machine, and the number of neurons + in each extreme learning machine. These arguments are specified with the folds, + num_machines, num_features, activation, sample_size, and num\_neurons keywords. + ```julia # Create some data with a binary treatment X, T, Y, W = rand(100, 5), [rand()<0.4 for i in 1:100], rand(100), rand(100, 4) -# We could also use DataFrames +# We could also use DataFrames or any other package implementing the Tables.jl API # using DataFrames # X = DataFrame(x1=rand(100), x2=rand(100), x3=rand(100), x4=rand(100), x5=rand(100)) # T, Y = DataFrame(t=[rand()<0.4 for i in 1:100]), DataFrame(y=rand(100)) -# W = DataFrame(w1=rand(100), w2=rand(100), w3=rand(100), w4=rand(100)) - -# W is optional and means there are confounders that you are not interested in estimating -# the CATE for -dml = DoubleMachineLearning(X, T, Y, W=W) +dml = DoubleMachineLearning(X, T, Y) ``` ## Step 2: Estimate the Causal Effect diff --git a/docs/src/guide/gcomputation.md b/docs/src/guide/gcomputation.md index 3bb28081..c0358901 100644 --- a/docs/src/guide/gcomputation.md +++ b/docs/src/guide/gcomputation.md @@ -5,12 +5,6 @@ given at multiple times whose status depends on the health of the patient at a g One way to get an unbiased estimate of the causal effect is to use G-computation. The basic steps for using G-computation in CausalELM are below. -!!! note - If regularized is set to true then the ridge penalty will be estimated using generalized - cross validation where the maximum number of iterations is 2 * folds for the successive - halving procedure. However, if the penalty in on iteration is approximately the same as in - the previous penalty, then the procedure will stop early. - !!! note For a good overview of G-Computation see: @@ -26,10 +20,13 @@ treatment statuses, and an outcome vector. It can support binary treatments and continuous, time to event, and count outcome variables. !!! tip - You can also specify the causal estimand, whether to employ L2 regularization, which - activation function to use, whether the data is of a temporal nature, and the number of + You can also specify the causal estimand, which activation function to use, whether the + data is of a temporal nature, the number of extreme learning machines to use, the + number of features to consider for each extreme learning machine, the number of + bootstrapped observations to include in each extreme learning machine, and the number of neurons to use during estimation. These options are specified with the following keyword - arguments: quantity\_of\_interest, regularized, activation, temporal, and num\_neurons. + arguments: quantity\_of\_interest, activation, temporal, num_machines, num_feats, + sample_size, and num\_neurons. !!! note Internally, the outcome model is treated as a regression since extreme learning machines @@ -42,7 +39,7 @@ continuous, time to event, and count outcome variables. # Create some data with a binary treatment X, T, Y = rand(1000, 5), [rand()<0.4 for i in 1:1000], rand(1000) -# We could also use DataFrames +# We could also use DataFrames or any other package that implements the Tables.jl API # using DataFrames # X = DataFrame(x1=rand(1000), x2=rand(1000), x3=rand(1000), x4=rand(1000), x5=rand(1000)) # T, Y = DataFrame(t=[rand()<0.4 for i in 1:1000]), DataFrame(y=rand(1000)) diff --git a/docs/src/guide/its.md b/docs/src/guide/its.md index bd9c2678..94ea06a3 100644 --- a/docs/src/guide/its.md +++ b/docs/src/guide/its.md @@ -10,12 +10,6 @@ differences between the predicted post-event counterfactual outcomes and the obs post-event outcomes, which can also be aggregated to mean or cumulative effects. Estimating an interrupted time series design in CausalELM consists of three steps. -!!! note - If regularized is set to true then the ridge penalty will be estimated using generalized - cross validation where the maximum number of iterations is 2 * folds for the successive - halving procedure. However, if the penalty in on iteration is approximately the same as in - the previous penalty, then the procedure will stop early. - !!! note For a deeper dive on interrupted time series estimation see: @@ -45,16 +39,18 @@ continuous, count, or time to event variables. continuous variables. !!! tip - You can also specify whether or not to use L2 regularization, which activation function - to use, the number of neurons to use during estimation, and whether to include a rolling - average autoregressive term. These options can be specified using the keyword arguments - regularized, activation, num\_neurons, and autoregression. + You can also specify which activation function to use, whether the data is of a temporal + nature, the number of extreme learning machines to use, the number of features to + consider for each extreme learning machine, the number of bootstrapped observations to + include in each extreme learning machine, and the number of neurons to use during + estimation. These options are specified with the following keyword arguments: + activation, temporal, num_machines, num_feats, sample_size, and num\_neurons. ```julia # Generate some data to use X₀, Y₀, X₁, Y₁ = rand(1000, 5), rand(1000), rand(100, 5), rand(100) -# We could also use DataFrames +# We could also use DataFrames or any other package that implements the Tables.jl API # using DataFrames # X₀ = DataFrame(x1=rand(1000), x2=rand(1000), x3=rand(1000), x4=rand(1000), x5=rand(1000)) # X₁ = DataFrame(x1=rand(1000), x2=rand(1000), x3=rand(1000), x4=rand(1000), x5=rand(1000)) diff --git a/docs/src/guide/metalearners.md b/docs/src/guide/metalearners.md index b947aafb..dad7b22a 100644 --- a/docs/src/guide/metalearners.md +++ b/docs/src/guide/metalearners.md @@ -50,15 +50,18 @@ event outcomes. variables. !!! tip - Additional options can be specified for each type of metalearner using its keyword arguments. + You can also specify the the number of folds to use for cross-fitting, the number of + extreme learning machines to incorporate in the ensemble, the number of features to + consider for each extreme learning machine, the activation function to use, the number + of observations to bootstrap in each extreme learning machine, and the number of neurons + in each extreme learning machine. These arguments are specified with the folds, + num_machines, num_features, activation, sample_size, and num\_neurons keywords. + ```julia # Generate data to use X, Y, T = rand(1000, 5), rand(1000), [rand()<0.4 for i in 1:1000] -# We can also speficy potential confounders that we are not interested in -W = randn(1000, 6) - -# We could also use DataFrames +# We could also use DataFrames or any other package that implements the Tables.jl API # using DataFrames # X = DataFrame(x1=rand(1000), x2=rand(1000), x3=rand(1000), x4=rand(1000), x5=rand(1000)) # T, Y = DataFrame(t=[rand()<0.4 for i in 1:1000]), DataFrame(y=rand(1000)) @@ -66,8 +69,8 @@ W = randn(1000, 6) s_learner = SLearner(X, Y, T) t_learner = TLearner(X, Y, T) x_learner = XLearner(X, Y, T) -r_learner = RLearner(X, Y, T, W=W) -dr_learner = DoublyRobustLearner(X, T, Y, W=W) +r_learner = RLearner(X, Y, T) +dr_learner = DoublyRobustLearner(X, T, Y) ``` # Estimate the CATE diff --git a/docs/src/index.md b/docs/src/index.md index 049798a1..8d435eae 100644 --- a/docs/src/index.md +++ b/docs/src/index.md @@ -19,22 +19,22 @@ or infeasible. To enable this, CausalELM provides a simple API to initialize a m estimate a causal effect, get a summary from the model, and test the robustness of the model. CausalELM includes estimators for interupted time series analysis, G-Computation, double machine learning, S-Learning, T-Learning, X-Learning, R-learning, and doubly robust -estimation. Underlying all these estimators are extreme learning machines. Like tree-based -learners, which are often used in causal machine learning, extreme learning machines are -simple and can capture non-linear relationships. However, unlike random forests or other -ensemble models, they essentially only require two hyperparameters—the number of neurons, -and the L2 penalty (when using regularization)—which are automatically tuned when -estimate_causal_effect! is called. This makes CausalELM both very simple and very powerful -for estimating treatment effects. +estimation. Underlying all these estimators are bagged extreme learning machines. Extreme +learning machines are a single layer feedfoward neural network that relies on randomized +weights and least squares optimization, making them expressive, simple, and computationally +efficient. Combining them with bagging reduces the variance due to their randomized weights +and provides a form of regularization that does not have to be tuned through cross +validation.These attributes make CausalELM a very simple and powerful package for estimating +treatment effects. ### Features * Estimate a causal effect, get a summary, and validate assumptions in just four lines of code -* All models automatically select the best number of neurons and L2 penalty +* Bagging improves performance and reduces variance without the need to tune a regularization parameter * Enables using the same structs for regression and classification * Includes 13 activation functions and allows user-defined activation functions * Most inference and validation tests do not assume functional or distributional forms * Implements the latest techniques form statistics, econometrics, and biostatistics -* Works out of the box with arrays or any data structure that implements teh Tables.jl interface +* Works out of the box with arrays or any data structure that implements the Tables.jl interface * Codebase is high-quality, well tested, and regularly updated ### What's New? diff --git a/docs/src/release_notes.md b/docs/src/release_notes.md index 2cfd6ca5..4c150977 100644 --- a/docs/src/release_notes.md +++ b/docs/src/release_notes.md @@ -1,12 +1,13 @@ # Release Notes These release notes adhere to the [keep a changelog](https://keepachangelog.com/en/1.0.0/) format. Below is a list of changes since CausalELM was first released. -## Version [v0.6.1](https://github.com/dscolby/CausalELM.jl/releases/tag/v0.6.1) - 2024-06-22 +## Version [v0.7.0](https://github.com/dscolby/CausalELM.jl/releases/tag/v0.6.1) - 2024-06-22 ### Added - +* Implemented bagged ensemble of extreme learning machines to use with estimators [#67](https://github.com/dscolby/CausalELM.jl/issues/67) ### Changed * Compute the number of neurons to use with log heuristic instead of cross validation [#62](https://github.com/dscolby/CausalELM.jl/issues/62) * Made calculation of p-values and standard errors optional and not executed by default in summarize methods [#65](https://github.com/dscolby/CausalELM.jl/issues/65) +* Removed redundant W argument for double machine learning, R-learning, and doubly robust estimation [#68](https://github.com/dscolby/CausalELM.jl/issues/68) ### Fixed ## Version [v0.6.0](https://github.com/dscolby/CausalELM.jl/releases/tag/v0.6.0) - 2024-06-15 diff --git a/src/estimators.jl b/src/estimators.jl index a1735e13..6162ac5d 100644 --- a/src/estimators.jl +++ b/src/estimators.jl @@ -7,10 +7,10 @@ abstract type CausalEstimator end Initialize an interrupted time series estimator. # Arguments -- `X₀::Any`: an array or DataFrame of covariates from the pre-treatment period. -- `Y₁::Any`: an array or DataFrame of outcomes from the pre-treatment period. -- `X₁::Any`: an array or DataFrame of covariates from the post-treatment period. -- `Y₁::Any`: an array or DataFrame of outcomes from the post-treatment period. +- `X₀::Any`: array or DataFrame of covariates from the pre-treatment period. +- `Y₁::Any`: array or DataFrame of outcomes from the pre-treatment period. +- `X₁::Any`: array or DataFrame of covariates from the post-treatment period. +- `Y₁::Any`: array or DataFrame of outcomes from the post-treatment period. # Keywords - `activation::Function=relu`: activation function to use. @@ -32,10 +32,6 @@ For a simple linear regression-based tutorial on interrupted time series analysi regression for the evaluation of public health interventions: a tutorial." International journal of epidemiology 46, no. 1 (2017): 348-355. -For details and a derivation of the generalized cross validation estimator see: - Golub, Gene H., Michael Heath, and Grace Wahba. "Generalized cross-validation as a - method for choosing a good ridge parameter." Technometrics 21, no. 2 (1979): 215-223. - # Examples ```julia julia> X₀, Y₀, X₁, Y₁ = rand(100, 5), rand(100), rand(10, 5), rand(10) @@ -100,9 +96,9 @@ end Initialize a G-Computation estimator. # Arguments -- `X::Any`: an array or DataFrame of covariates. -- `T::Any`: an vector or DataFrame of treatment statuses. -- `Y::Any`: an array or DataFrame of outcomes. +- `X::Any`: array or DataFrame of covariates. +- `T::Any`: vector or DataFrame of treatment statuses. +- `Y::Any`: array or DataFrame of outcomes. # Keywords - `quantity_of_interest::String`: ATE for average treatment effect or ATT for average @@ -128,11 +124,6 @@ For a good overview of G-Computation see: estimator for causal inference with different covariates sets: a comparative simulation study." Scientific reports 10, no. 1 (2020): 9219. - -For details and a derivation of the generalized cross validation estimator see: - Golub, Gene H., Michael Heath, and Grace Wahba. "Generalized cross-validation as a - method for choosing a good ridge parameter." Technometrics 21, no. 2 (1979): 215-223. - # Examples ```julia julia> X, T, Y = rand(100, 5), rand(100), [rand()<0.4 for i in 1:100] @@ -194,12 +185,11 @@ end Initialize a double machine learning estimator with cross fitting. # Arguments -- `X::Any`: an array or DataFrame of covariates of interest. -- `T::Any`: an vector or DataFrame of treatment statuses. -- `Y::Any`: an array or DataFrame of outcomes. +- `X::Any`: array or DataFrame of covariates of interest. +- `T::Any`: vector or DataFrame of treatment statuses. +- `Y::Any`: array or DataFrame of outcomes. # Keywords -- `W::Any`: array or dataframe of all possible confounders. - `activation::Function=relu`: activation function to use. - `sample_size::Integer=size(X, 1)`: number of bootstrapped samples for teh extreme learners. @@ -220,10 +210,6 @@ For more information see: Whitney Newey, and James Robins. "Double/debiased machine learning for treatment and structural parameters." (2016): C1-C68. -For details and a derivation of the generalized cross validation estimator see: - Golub, Gene H., Michael Heath, and Grace Wahba. "Generalized cross-validation as a - method for choosing a good ridge parameter." Technometrics 21, no. 2 (1979): 215-223. - # Examples ```julia julia> X, T, Y = rand(100, 5), [rand()<0.4 for i in 1:100], rand(100) @@ -235,7 +221,7 @@ julia> m2 = DoubleMachineLearning(x_df, t_df, y_df) ``` """ mutable struct DoubleMachineLearning <: CausalEstimator - @double_learner_input_data + @standard_input_data @model_config average_effect folds::Integer end @@ -244,16 +230,15 @@ function DoubleMachineLearning( X, T, Y; - W=X, activation::Function=relu, sample_size::Integer=size(X, 1), num_machines::Integer=100, num_feats::Integer=Int(round(sqrt(size(X, 2)))), - num_neurons::Integer=round(Int, log10(size(X, 1)) * size(X, 2)), + num_neurons::Integer=round(Int, log10(size(X, 1)) * num_feats), folds::Integer=5, ) # Convert to arrays - X, T, Y, W = Matrix{Float64}(X), T[:, 1], Y[:, 1], Matrix{Float64}(W) + X, T, Y = Matrix{Float64}(X), T[:, 1], Y[:, 1] task = var_type(Y) isa Binary ? "classification" : "regression" @@ -261,7 +246,6 @@ function DoubleMachineLearning( X, float(T), float(Y), - W, "ATE", false, task, @@ -388,7 +372,7 @@ julia> estimate_causal_effect!(m2) ``` """ function estimate_causal_effect!(DML::DoubleMachineLearning) - X, T, W, Y = make_folds(DML) + X, T, Y = generate_folds(DML.X, DML.T, DML.Y, DML.folds) DML.causal_effect = 0 # Cross fitting by training on the main folds and predicting residuals on the auxillary @@ -396,11 +380,8 @@ function estimate_causal_effect!(DML::DoubleMachineLearning) X_train, X_test = reduce(vcat, X[1:end .!== fld]), X[fld] Y_train, Y_test = reduce(vcat, Y[1:end .!== fld]), Y[fld] T_train, T_test = reduce(vcat, T[1:end .!== fld]), T[fld] - W_train, W_test = reduce(vcat, W[1:end .!== fld]), W[fld] - Ỹ, T̃ = predict_residuals( - DML, X_train, X_test, Y_train, Y_test, T_train, T_test, W_train, W_test - ) + Ỹ, T̃ = predict_residuals(DML, X_train, X_test, Y_train, Y_test, T_train, T_test) DML.causal_effect += T̃\Ỹ end @@ -429,81 +410,41 @@ julia> predict_residuals(m1, x_train, x_test, y_train, y_test, t_train, t_test) """ function predict_residuals( D, - x_train::Array{Float64}, - x_test::Array{Float64}, - y_train::Vector{Float64}, - y_test::Vector{Float64}, - t_train::Vector{Float64}, - t_test::Vector{Float64}, - w_train::Array{Float64}, - w_test::Array{Float64}, + xₜᵣ::Array{Float64}, + xₜₑ::Array{Float64}, + yₜᵣ::Vector{Float64}, + yₜₑ::Vector{Float64}, + tₜᵣ::Vector{Float64}, + tₜₑ::Vector{Float64}, ) - V = x_train != w_train && x_test != w_test ? reduce(hcat, (x_train, w_train)) : x_train - V_test = V == x_train ? x_test : reduce(hcat, (x_test, w_test)) - - y = ELMEnsemble(V, - y_train, - D.sample_size, - D.num_machines, - D.num_feats, - D.num_neurons, - D.activation + y = ELMEnsemble( + xₜᵣ, yₜᵣ, D.sample_size, D.num_machines, D.num_feats, D.num_neurons, D.activation ) - t = ELMEnsemble(V, - t_train, - D.sample_size, - D.num_machines, - D.num_feats, - D.num_neurons, - D.activation + t = ELMEnsemble( + xₜᵣ, tₜᵣ, D.sample_size, D.num_machines, D.num_feats, D.num_neurons, D.activation ) fit!(y) fit!(t) - y_pred, t_pred = predict_mean(y, V_test), predict_mean(t, V_test) - ỹ, t̃ = y_test - y_pred, t_test - t_pred - - return ỹ, t̃ -end - -""" - make_folds(D) - -Make folds for cross fitting for a double machine learning estimator. - -# Notes -This method should not be called directly. - -# Examples -```julia -julia> X, T, Y = rand(100, 5), [rand()<0.4 for i in 1:100], rand(100) -julia> m1 = DoubleMachineLearning(X, T, Y) -julia> make_folds(m1) -``` -""" -function make_folds(D) - X_T_W, Y = generate_folds(reduce(hcat, (D.X, D.T, D.W)), D.Y, D.folds) - X = [fl[:, 1:size(D.X, 2)] for fl in X_T_W] - T = [fl[:, size(D.X, 2) + 1] for fl in X_T_W] - W = [fl[:, (size(D.X, 2) + 2):end] for fl in X_T_W] + yₚᵣ, tₚᵣ = predict_mean(y, xₜₑ), predict_mean(t, xₜₑ) - return X, T, W, Y + return yₜₑ - yₚᵣ, tₜₑ - tₚᵣ end """ - generate_folds(X, Y, folds) + generate_folds(X, T, Y, folds) Create folds for cross validation. # Examples ```jldoctest -julia> xfolds, y_folds = CausalELM.generate_folds(zeros(4, 2), zeros(4), 2) -([[0.0 0.0], [0.0 0.0; 0.0 0.0; 0.0 0.0]], [[0.0], [0.0, 0.0, 0.0]]) +julia> xfolds, tfolds, yfolds = CausalELM.generate_folds(zeros(4, 2), zeros(4), ones(4), 2) +([[0.0 0.0], [0.0 0.0; 0.0 0.0; 0.0 0.0]], [[0.0], [0.0, 0.0, 0.0]], [[1.0], [1.0, 1.0, 1.0]]) ``` """ -function generate_folds(X, Y, folds) +function generate_folds(X, T, Y, folds) msg = """the number of folds must be less than the number of observations""" n = length(Y) @@ -511,8 +452,9 @@ function generate_folds(X, Y, folds) throw(ArgumentError(msg)) end - fold_setx = Array{Array{Float64,2}}(undef, folds) - fold_sety = Array{Array{Float64,1}}(undef, folds) + x_folds = Array{Array{Float64, 2}}(undef, folds) + t_folds = Array{Array{Float64, 1}}(undef, folds) + y_folds = Array{Array{Float64, 1}}(undef, folds) # Indices to start and stop for each fold stops = round.(Int, range(; start=1, stop=n, length=folds + 1)) @@ -521,10 +463,10 @@ function generate_folds(X, Y, folds) indices = [s:(e - (e < n) * 1) for (s, e) in zip(stops[1:(end - 1)], stops[2:end])] for (i, idx) in enumerate(indices) - fold_setx[i], fold_sety[i] = X[idx, :], Y[idx] + x_folds[i], t_folds[i], y_folds[i] = X[idx, :], T[idx], Y[idx] end - return fold_setx, fold_sety + return x_folds, t_folds, y_folds end """ diff --git a/src/metalearners.jl b/src/metalearners.jl index 7c58db46..13c96430 100644 --- a/src/metalearners.jl +++ b/src/metalearners.jl @@ -31,10 +31,6 @@ For an overview of S-Learners and other metalearners see: estimating heterogeneous treatment effects using machine learning." Proceedings of the national academy of sciences 116, no. 10 (2019): 4156-4165. -For details and a derivation of the generalized cross validation estimator see: - Golub, Gene H., Michael Heath, and Grace Wahba. "Generalized cross-validation as a - method for choosing a good ridge parameter." Technometrics 21, no. 2 (1979): 215-223. - # Examples ```julia julia> X, T, Y = rand(100, 5), [rand()<0.4 for i in 1:100], rand(100) @@ -115,10 +111,6 @@ For an overview of T-Learners and other metalearners see: estimating heterogeneous treatment effects using machine learning." Proceedings of the national academy of sciences 116, no. 10 (2019): 4156-4165. -For details and a derivation of the generalized cross validation estimator see: - Golub, Gene H., Michael Heath, and Grace Wahba. "Generalized cross-validation as a - method for choosing a good ridge parameter." Technometrics 21, no. 2 (1979): 215-223. - # Examples ```julia julia> X, T, Y = rand(100, 5), [rand()<0.4 for i in 1:100], rand(100) @@ -194,14 +186,9 @@ computational complexity you can reduce sample_size, num_machines, or num_neuron # References For an overview of X-Learners and other metalearners see: -Künzel, Sören R., Jasjeet S. Sekhon, Peter J. Bickel, and Bin Yu. "Metalearners for -estimating heterogeneous treatment effects using machine learning." Proceedings of -the national academy of sciences 116, no. 10 (2019): 4156-4165. - -For details and a derivation of the generalized cross validation estimator see: -Golub, Gene H., Michael Heath, and Grace Wahba. "Generalized cross-validation as a -method for choosing a good ridge parameter." Technometrics 21, no. 2 (1979): -215-223. + Künzel, Sören R., Jasjeet S. Sekhon, Peter J. Bickel, and Bin Yu. "Metalearners for + estimating heterogeneous treatment effects using machine learning." Proceedings of the + national academy of sciences 116, no. 10 (2019): 4156-4165. # Examples ```julia @@ -264,7 +251,6 @@ Initialize an R-Learner. - `Y::Any`: an array or DataFrame of outcomes. # Keywords -- `W::Any` : an array of all possible confounders. - `activation::Function=relu`: the activation function to use. - `sample_size::Integer=size(X, 1)`: number of bootstrapped samples for eth extreme learners. @@ -282,10 +268,6 @@ computational complexity you can reduce sample_size, num_machines, or num_neuron For an explanation of R-Learner estimation see: Nie, Xinkun, and Stefan Wager. "Quasi-oracle estimation of heterogeneous treatment effects." Biometrika 108, no. 2 (2021): 299-319. - -For details and a derivation of the generalized cross validation estimator see: - Golub, Gene H., Michael Heath, and Grace Wahba. "Generalized cross-validation as a - method for choosing a good ridge parameter." Technometrics 21, no. 2 (1979): 215-223. # Examples ```julia @@ -295,13 +277,10 @@ julia> m1 = RLearner(X, T, Y) julia> x_df = DataFrame(x1=rand(100), x2=rand(100), x3=rand(100), x4=rand(100)) julia> t_df, y_df = DataFrame(t=rand(0:1, 100)), DataFrame(y=rand(100)) julia> m2 = RLearner(x_df, t_df, y_df) - -julia> w = rand(100, 6) -julia> m3 = RLearner(X, T, Y, W=w) ``` """ mutable struct RLearner <: Metalearner - @double_learner_input_data + @standard_input_data @model_config individual_effect folds::Integer end @@ -310,7 +289,6 @@ function RLearner( X, T, Y; - W=X, activation::Function=relu, sample_size::Integer=size(X, 1), num_machines::Integer=100, @@ -320,7 +298,7 @@ function RLearner( ) # Convert to arrays - X, T, Y, W = Matrix{Float64}(X), T[:, 1], Y[:, 1], Matrix{Float64}(W) + X, T, Y = Matrix{Float64}(X), T[:, 1], Y[:, 1] task = var_type(Y) isa Binary ? "classification" : "regression" @@ -328,7 +306,6 @@ function RLearner( X, Float64.(T), Float64.(Y), - W, "CATE", false, task, @@ -353,7 +330,6 @@ Initialize a doubly robust CATE estimator. - `Y::Any`: an array or DataFrame of outcomes. # Keywords -- `W::Any` : an array of all possible confounders. - `activation::Function=relu`: the activation function to use. - `sample_size::Integer=size(X, 1)`: number of bootstrapped samples for eth extreme learners. @@ -372,10 +348,6 @@ For an explanation of doubly robust cate estimation see: Kennedy, Edward H. "Towards optimal doubly robust estimation of heterogeneous causal effects." Electronic Journal of Statistics 17, no. 2 (2023): 3008-3049. -For details and a derivation of the generalized cross validation estimator see: - Golub, Gene H., Michael Heath, and Grace Wahba. "Generalized cross-validation as a - method for choosing a good ridge parameter." Technometrics 21, no. 2 (1979): 215-223. - # Examples ```julia julia> X, T, Y = rand(100, 5), [rand()<0.4 for i in 1:100], rand(100) @@ -390,7 +362,7 @@ julia> m3 = DoublyRobustLearner(X, T, Y, W=w) ``` """ mutable struct DoublyRobustLearner <: Metalearner - @double_learner_input_data + @standard_input_data @model_config individual_effect folds::Integer end @@ -399,7 +371,6 @@ function DoublyRobustLearner( X, T, Y; - W=X, activation::Function=relu, sample_size::Integer=size(X, 1), num_machines::Integer=100, @@ -408,7 +379,7 @@ function DoublyRobustLearner( folds::Integer=5, ) # Convert to arrays - X, T, Y, W = Matrix{Float64}(X), T[:, 1], Y[:, 1], Matrix{Float64}(W) + X, T, Y = Matrix{Float64}(X), T[:, 1], Y[:, 1] task = var_type(Y) isa Binary ? "classification" : "regression" @@ -416,7 +387,6 @@ function DoublyRobustLearner( X, Float64.(T), Float64.(Y), - W, "CATE", false, task, @@ -537,7 +507,7 @@ julia> estimate_causal_effect!(m1) ``` """ function estimate_causal_effect!(R::RLearner) - X, T, W, Y = make_folds(R) + X, T, Y = generate_folds(R.X, R.T, R.Y, R.folds) predictors = Vector{ELMEnsemble}(undef, R.folds) # Cross fitting by training on the main folds and predicting residuals on the auxillary @@ -545,11 +515,8 @@ function estimate_causal_effect!(R::RLearner) X_train, X_test = reduce(vcat, X[1:end .!== fld]), X[fld] Y_train, Y_test = reduce(vcat, Y[1:end .!== fld]), Y[fld] T_train, T_test = reduce(vcat, T[1:end .!== fld]), T[fld] - W_train, W_test = reduce(vcat, W[1:end .!== fld]), W[fld] - Ỹ, T̃ = predict_residuals( - R, X_train, X_test, Y_train, Y_test, T_train, T_test, W_train, W_test - ) + Ỹ, T̃ = predict_residuals(R, X_train, X_test, Y_train, Y_test, T_train, T_test) # Using the weight trick to get the non-parametric CATE for an R-learner X[fld], Y[fld] = (T̃ .^ 2) .* X_test, (T̃ .^ 2) .* (Ỹ ./ T̃) @@ -591,14 +558,13 @@ julia> estimate_causal_effect!(m1) ``` """ function estimate_causal_effect!(DRE::DoublyRobustLearner) - X, T, W, Y = make_folds(DRE) - Z = DRE.W == DRE.X ? X : [reduce(hcat, (z)) for z in zip(X, W)] + X, T, Y = generate_folds(DRE.X, DRE.T, DRE.Y, DRE.folds) causal_effect = zeros(size(DRE.T, 1)) # Rotating folds for cross fitting for i in 1:2 - causal_effect .+= doubly_robust_formula!(DRE, X, T, Y, Z) - X, T, Y, Z = [X[2], X[1]], [T[2], T[1]], [Y[2], Y[1]], [Z[2], Z[1]] + causal_effect .+= doubly_robust_formula!(DRE, X, T, Y) + X, T, Y = [X[2], X[1]], [T[2], T[1]], [Y[2], Y[1]] end causal_effect ./= 2 @@ -608,7 +574,7 @@ function estimate_causal_effect!(DRE::DoublyRobustLearner) end """ - doubly_robust_formula!(DRE, X, T, Y, Z) + doubly_robust_formula!(DRE, X, T, Y) Estimate the CATE for a single cross fitting iteration via doubly robust estimation. @@ -620,7 +586,6 @@ This method should not be called directly. - `X`: a vector of three covariate folds. - `T`: a vector of three treatment folds. - `Y`: a vector of three outcome folds. -- `Z` : a vector of three confounder folds and covariate folds. # Examples ```julia @@ -632,10 +597,10 @@ julia> Z = m1.W == m1.X ? X : [reduce(hcat, (z)) for z in zip(X, W)] julia> g_formula!(m1, X, T, Y, Z) ``` """ -function doubly_robust_formula!(DRE::DoublyRobustLearner, X, T, Y, Z) +function doubly_robust_formula!(DRE::DoublyRobustLearner, X, T, Y) # Propensity scores π_e = ELMEnsemble( - Z[1], + X[1], T[1], DRE.sample_size, DRE.num_machines, @@ -646,7 +611,7 @@ function doubly_robust_formula!(DRE::DoublyRobustLearner, X, T, Y, Z) # Outcome predictions μ₀ = ELMEnsemble( - Z[1][T[1] .== 0, :], + X[1][T[1] .== 0, :], Y[1][T[1] .== 0], DRE.sample_size, DRE.num_machines, @@ -656,7 +621,7 @@ function doubly_robust_formula!(DRE::DoublyRobustLearner, X, T, Y, Z) ) μ₁ = ELMEnsemble( - Z[1][T[1] .== 1, :], + X[1][T[1] .== 1, :], Y[1][T[1] .== 1], DRE.sample_size, DRE.num_machines, @@ -666,7 +631,7 @@ function doubly_robust_formula!(DRE::DoublyRobustLearner, X, T, Y, Z) ) fit!.((π_e, μ₀, μ₁)) - π̂ , μ₀̂, μ₁̂ = predict_mean(π_e, Z[2]), predict_mean(μ₀, Z[2]), predict_mean(μ₁, Z[2]) + π̂ , μ₀̂, μ₁̂ = predict_mean(π_e, X[2]), predict_mean(μ₀, X[2]), predict_mean(μ₁, X[2]) # Pseudo outcomes ϕ̂ = diff --git a/src/utilities.jl b/src/utilities.jl index 24ed2130..e6fd94a6 100644 --- a/src/utilities.jl +++ b/src/utilities.jl @@ -169,25 +169,3 @@ macro standard_input_data() end return esc(inputs) end - -""" - double_learner_input_data() - -Generate fields common to DoubleMachineLearning, RLearner, and DoublyRobustLearner. - -# Examples -```julia -julia> struct TestStruct CausalELM.@double_learner_input_data end -julia> TestStruct([5.2], [0.8], [0.96], [0.87 1.8]) -TestStruct([5.2], [0.8], [0.96], [0.87 1.8]) -``` -""" -macro double_learner_input_data() - inputs = quote - X::Array{Float64} - T::Array{Float64} - Y::Array{Float64} - W::Array{Float64} - end - return esc(inputs) -end diff --git a/test/test_estimators.jl b/test/test_estimators.jl index c437ed55..bd1952dd 100644 --- a/test/test_estimators.jl +++ b/test/test_estimators.jl @@ -50,17 +50,8 @@ estimate_causal_effect!(dm_binary_out) # With dataframes instead of arrays dm_df = DoubleMachineLearning(x_df, t_df, y_df) -# Specifying W -dm_w = DoubleMachineLearning(x, t, y; W=rand(100, 4)) -estimate_causal_effect!(dm_w) - -# Calling estimate_effect! -dm_estimate_effect = DoubleMachineLearning(x, t, y) -dm_estimate_effect.num_neurons = 5 -CausalELM.causal_loss!(dm_estimate_effect) - # Generating folds -x_fold, t_fold, w_fold, y_fold = CausalELM.make_folds(dm) +x_fold, t_fold, y_fold = CausalELM.generate_folds(dm.X, dm.T, dm.Y, dm.folds) # Test predicting residuals x_train, x_test = x[1:80, :], x[81:end, :] @@ -68,7 +59,7 @@ t_train, t_test = float(t[1:80]), float(t[81:end]) y_train, y_test = float(y[1:80]), float(y[81:end]) residual_predictor = DoubleMachineLearning(x, t, y, num_neurons=5) residuals = CausalELM.predict_residuals( - residual_predictor, x_train, x_test, y_train, y_test, t_train, t_test, x_train, x_test + residual_predictor, x_train, x_test, y_train, y_test, t_train, t_test ) @testset "Interrupted Time Series Estimation" begin @@ -139,9 +130,7 @@ end end @testset "Double Machine Learning Estimation Helpers" begin - @test dm_estimate_effect.causal_effect isa Float64 @test size(x_fold[1], 2) == size(dm.X, 2) - @test size(w_fold[1], 2) == size(dm.W, 2) @test y_fold isa Vector{Vector{Float64}} @test t_fold isa Vector{Vector{Float64}} @test length(t_fold) == dm.folds @@ -151,8 +140,6 @@ end @testset "Double Machine Learning Post-estimation Structure" begin @test dm.causal_effect isa Float64 - @test dm_binary_out.causal_effect isa Float64 - @test dm_w.causal_effect isa Float64 end end diff --git a/test/test_metalearners.jl b/test/test_metalearners.jl index 91d35e37..60c8eac0 100644 --- a/test/test_metalearners.jl +++ b/test/test_metalearners.jl @@ -52,22 +52,15 @@ estimate_causal_effect!(x_learner_binary) rlearner = RLearner(x, t, y) estimate_causal_effect!(rlearner) -# Testing with a W arguments -r_learner_w = RLearner(x, t, y; W=rand(100, 4)) -estimate_causal_effect!(r_learner_w) - # Testing initialization with DataFrames r_learner_df = RLearner(x_df, t_df, y_df) # Doubly Robust Estimation -dr_learner = DoublyRobustLearner(x, t, y; W=rand(100, 4)) -X_T, Y = CausalELM.generate_folds( - reduce(hcat, (dr_learner.X, dr_learner.T, dr_learner.W)), dr_learner.Y, 2 -) -X = [fl[:, 1:size(dr_learner.X, 2)] for fl in X_T] -T = [fl[:, size(dr_learner.X, 2) + 1] for fl in X_T] -W = [fl[:, (size(dr_learner.W, 2) + 2):end] for fl in X_T] -τ̂ = CausalELM.doubly_robust_formula!(dr_learner, X, T, Y, reduce(hcat, (W, X))) +dr_learner = DoublyRobustLearner(x, t, y) +X, T, Y = CausalELM.generate_folds( + dr_learner.X, dr_learner.T, dr_learner.Y, dr_learner.folds + ) +τ̂ = CausalELM.doubly_robust_formula!(dr_learner, X, T, Y) estimate_causal_effect!(dr_learner) # Testing Doubly Robust Estimation with a binary outcome @@ -151,20 +144,15 @@ end @test rlearner.X isa Array{Float64} @test rlearner.T isa Array{Float64} @test rlearner.Y isa Array{Float64} - @test rlearner.W isa Array{Float64} @test r_learner_df.X isa Array{Float64} @test r_learner_df.T isa Array{Float64} @test r_learner_df.Y isa Array{Float64} - @test r_learner_df.W isa Array{Float64} end @testset "R-learner estimation" begin @test rlearner.causal_effect isa Vector @test length(rlearner.causal_effect) == length(y) @test eltype(rlearner.causal_effect) == Float64 - @test r_learner_w.causal_effect isa Vector - @test length(r_learner_w.causal_effect) == length(y) - @test eltype(r_learner_w.causal_effect) == Float64 end end diff --git a/testing.ipynb b/testing.ipynb index f1ab5145..11c81d0b 100644 --- a/testing.ipynb +++ b/testing.ipynb @@ -140,7 +140,7 @@ { "data": { "text/plain": [ - "DoubleMachineLearning([0.15384615384615385 0.1258211589371507 … 0.0 1.0; 0.6923076923076923 0.1441562898323365 … 0.0 1.0; … ; 0.41025641025641024 0.24039121482498285 … 0.0 1.0; 0.07692307692307693 0.11789145994705363 … 0.0 0.0], [0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0 … 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0], [-3300.0, 61010.0, 8849.0, -6013.0, -2375.0, -11000.0, -16901.0, 1000.0, 0.0, 6400.0 … -1436.0, 4500.0, 34739.0, -750.0, 40000.0, 172.0, 836.0, 6150.0, 14499.0, -5400.0], [0.15384615384615385 0.1258211589371507 … 0.0 1.0; 0.6923076923076923 0.1441562898323365 … 0.0 1.0; … ; 0.41025641025641024 0.24039121482498285 … 0.0 1.0; 0.07692307692307693 0.11789145994705363 … 0.0 0.0], \"ATE\", false, \"regression\", CausalELM.relu, 9915, 100, 6, 32, NaN, 5)" + "DoubleMachineLearning([0.15384615384615385 0.1258211589371507 … 0.0 1.0; 0.6923076923076923 0.1441562898323365 … 0.0 1.0; … ; 0.41025641025641024 0.24039121482498285 … 0.0 1.0; 0.07692307692307693 0.11789145994705363 … 0.0 0.0], [0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0 … 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0], [-3300.0, 61010.0, 8849.0, -6013.0, -2375.0, -11000.0, -16901.0, 1000.0, 0.0, 6400.0 … -1436.0, 4500.0, 34739.0, -750.0, 40000.0, 172.0, 836.0, 6150.0, 14499.0, -5400.0], \"ATE\", false, \"regression\", CausalELM.relu, 9915, 100, 6, 24, NaN, 5)" ] }, "metadata": {}, @@ -153,13 +153,13 @@ }, { "cell_type": "code", - "execution_count": 5, + "execution_count": 12, "metadata": {}, "outputs": [ { "data": { "text/plain": [ - "9033.493578983765" + "8667.309064475481" ] }, "metadata": {}, @@ -172,7 +172,7 @@ }, { "cell_type": "code", - "execution_count": 6, + "execution_count": 9, "metadata": {}, "outputs": [ { @@ -183,8 +183,8 @@ " \"Quantity of Interest\" => \"ATE\"\n", " \"Sample Size\" => 9915\n", " \"Number of Machines\" => 100\n", - " \"Causal Effect\" => 9033.49\n", - " \"Number of Neurons\" => 32\n", + " \"Causal Effect\" => 8806.5\n", + " \"Number of Neurons\" => 24\n", " \"Task\" => \"regression\"\n", " \"Time Series/Panel Data\" => false\n", " \"Standard Error\" => NaN\n", @@ -202,13 +202,13 @@ }, { "cell_type": "code", - "execution_count": 8, + "execution_count": 10, "metadata": {}, "outputs": [ { "data": { "text/plain": [ - "(Dict(0.025 => -4476.677196794664, 0.075 => -10907.740036294652, 0.1 => -7481.868340004905, 0.05 => -12111.35624853631), 2.7865714374354598, Matrix{Float64}(undef, 0, 9))" + "(Dict(0.025 => -12979.904119051262, 0.075 => -12217.068316708708, 0.1 => -6143.33640640303, 0.05 => -9062.747974951273), 2.8344920146887382, Matrix{Float64}(undef, 0, 9))" ] }, "metadata": {}, From 03eb8aa76feb4617d336f4c976fd2f58dfea00ba Mon Sep 17 00:00:00 2001 From: Darren Colby Date: Sun, 30 Jun 2024 19:35:46 -0500 Subject: [PATCH 09/24] Changed default number of features for estimators --- src/estimators.jl | 12 ++++++------ src/metalearners.jl | 20 ++++++++++---------- 2 files changed, 16 insertions(+), 16 deletions(-) diff --git a/src/estimators.jl b/src/estimators.jl index 6162ac5d..e391035d 100644 --- a/src/estimators.jl +++ b/src/estimators.jl @@ -17,7 +17,7 @@ Initialize an interrupted time series estimator. - `sample_size::Integer=size(X₀, 1)`: number of bootstrapped samples for the extreme learner. - `num_machines::Integer=100`: number of extreme learning machines for the ensemble. -- `num_feats::Integer=Int(round(sqrt(size(X₀, 2))))`: number of features to bootstrap for +- `num_feats::Integer=Int(round(0.75 * size(X₀, 2)))`: number of features to bootstrap for each learner in the ensemble. - `num_neurons::Integer`: number of neurons to use in the extreme learning machines. @@ -60,7 +60,7 @@ function InterruptedTimeSeries( activation::Function=relu, sample_size::Integer=size(X₀, 1), num_machines::Integer=100, - num_feats::Integer=Int(round(sqrt(size(X₀, 2)))), + num_feats::Integer=Int(round(0.75 * size(X₀, 2))), num_neurons::Integer=round(Int, log10(size(X₀, 1)) * size(X₀, 2)), autoregression::Bool=true, ) @@ -107,7 +107,7 @@ Initialize a G-Computation estimator. - `sample_size::Integer=size(X, 1)`: number of bootstrapped samples for the extreme learners. - `num_machines::Integer=100`: number of extreme learning machines for the ensemble. -- `num_feats::Integer=Int(round(sqrt(size(X, 2))))`: number of features to bootstrap for +- `num_feats::Integer=Int(round(0.75 * size(X, 2)))`: number of features to bootstrap for each learner in the ensemble. - `num_neurons::Integer`: number of neurons to use in the extreme learning machines. @@ -149,7 +149,7 @@ mutable struct GComputation <: CausalEstimator activation::Function=relu, sample_size::Integer=size(X, 1), num_machines::Integer=100, - num_feats::Integer=Int(round(sqrt(size(X, 2)))), + num_feats::Integer=Int(round(0.75 * size(X, 2))), num_neurons::Integer=round(Int, log10(size(X, 1)) * size(X, 2)), temporal::Bool=true, ) @@ -194,7 +194,7 @@ Initialize a double machine learning estimator with cross fitting. - `sample_size::Integer=size(X, 1)`: number of bootstrapped samples for teh extreme learners. - `num_machines::Integer=100`: number of extreme learning machines for the ensemble. -- `num_feats::Integer=Int(round(sqrt(size(X, 2))))`: number of features to bootstrap for +- `num_feats::Integer=Int(round(0.75, * size(X, 2)))`: number of features to bootstrap for each learner in the ensemble. - `num_neurons::Integer`: number of neurons to use in the extreme learning machines. - `folds::Integer`: number of folds to use for cross fitting. @@ -233,7 +233,7 @@ function DoubleMachineLearning( activation::Function=relu, sample_size::Integer=size(X, 1), num_machines::Integer=100, - num_feats::Integer=Int(round(sqrt(size(X, 2)))), + num_feats::Integer=Int(round(0.75 * size(X, 2))), num_neurons::Integer=round(Int, log10(size(X, 1)) * num_feats), folds::Integer=5, ) diff --git a/src/metalearners.jl b/src/metalearners.jl index 13c96430..8ca36fe2 100644 --- a/src/metalearners.jl +++ b/src/metalearners.jl @@ -16,7 +16,7 @@ Initialize a S-Learner. - `sample_size::Integer=size(X, 1)`: number of bootstrapped samples for eth extreme learners. - `num_machines::Integer=100`: number of extreme learning machines for the ensemble. -- `num_feats::Integer=Int(round(sqrt(size(X, 2))))`: number of features to bootstrap for +- `num_feats::Integer=Int(round(0.75 * size(X, 2)))`: number of features to bootstrap for each learner in the ensemble. - `num_neurons::Integer`: number of neurons to use in the extreme learning machines. @@ -55,7 +55,7 @@ mutable struct SLearner <: Metalearner activation::Function=relu, sample_size::Integer=size(X, 1), num_machines::Integer=100, - num_feats::Integer=Int(round(sqrt(size(X, 2)))), + num_feats::Integer=Int(round(0.75 * size(X, 2))), num_neurons::Integer=round(Int, log10(size(X, 1)) * size(X, 2)), ) @@ -96,7 +96,7 @@ Initialize a T-Learner. - `sample_size::Integer=size(X, 1)`: number of bootstrapped samples for eth extreme learners. - `num_machines::Integer=100`: number of extreme learning machines for the ensemble. -- `num_feats::Integer=Int(round(sqrt(size(X, 2))))`: number of features to bootstrap for +- `num_feats::Integer=Int(round(0.75 * size(X, 2)))`: number of features to bootstrap for each learner in the ensemble. - `num_neurons::Integer`: number of neurons to use in the extreme learning machines. @@ -135,7 +135,7 @@ mutable struct TLearner <: Metalearner activation::Function=relu, sample_size::Integer=size(X, 1), num_machines::Integer=100, - num_feats::Integer=Int(round(sqrt(size(X, 2)))), + num_feats::Integer=Int(round(0.75 * size(X, 2))), num_neurons::Integer=round(Int, log10(size(X, 1)) * size(X, 2)), ) # Convert to arrays @@ -175,7 +175,7 @@ Initialize an X-Learner. - `sample_size::Integer=size(X, 1)`: number of bootstrapped samples for eth extreme learners. - `num_machines::Integer=100`: number of extreme learning machines for the ensemble. -- `num_feats::Integer=Int(round(sqrt(size(X, 2))))`: number of features to bootstrap for +- `num_feats::Integer=Int(round(0.75 * size(X, 2)))`: number of features to bootstrap for each learner in the ensemble. - `num_neurons::Integer`: number of neurons to use in the extreme learning machines. @@ -215,7 +215,7 @@ mutable struct XLearner <: Metalearner activation::Function=relu, sample_size::Integer=size(X, 1), num_machines::Integer=100, - num_feats::Integer=Int(round(sqrt(size(X, 2)))), + num_feats::Integer=Int(round(0.75 * size(X, 2))), num_neurons::Integer=round(Int, log10(size(X, 1)) * size(X, 2)), ) # Convert to arrays @@ -255,7 +255,7 @@ Initialize an R-Learner. - `sample_size::Integer=size(X, 1)`: number of bootstrapped samples for eth extreme learners. - `num_machines::Integer=100`: number of extreme learning machines for the ensemble. -- `num_feats::Integer=Int(round(sqrt(size(X, 2))))`: number of features to bootstrap for +- `num_feats::Integer=Int(round(0.75 * size(X, 2)))`: number of features to bootstrap for each learner in the ensemble. - `num_neurons::Integer`: number of neurons to use in the extreme learning machines. @@ -292,7 +292,7 @@ function RLearner( activation::Function=relu, sample_size::Integer=size(X, 1), num_machines::Integer=100, - num_feats::Integer=Int(round(sqrt(size(X, 2)))), + num_feats::Integer=Int(round(0.75 * size(X, 2))), num_neurons::Integer=round(Int, log10(size(X, 1)) * size(X, 2)), folds::Integer=5, ) @@ -334,7 +334,7 @@ Initialize a doubly robust CATE estimator. - `sample_size::Integer=size(X, 1)`: number of bootstrapped samples for eth extreme learners. - `num_machines::Integer=100`: number of extreme learning machines for the ensemble. -- `num_feats::Integer=Int(round(sqrt(size(X, 2))))`: number of features to bootstrap for +- `num_feats::Integer=Int(round(0.75 * size(X, 2)))`: number of features to bootstrap for each learner in the ensemble. - `num_neurons::Integer`: number of neurons to use in the extreme learning machines. @@ -374,7 +374,7 @@ function DoublyRobustLearner( activation::Function=relu, sample_size::Integer=size(X, 1), num_machines::Integer=100, - num_feats::Integer=Int(round(sqrt(size(X, 2)))), + num_feats::Integer=Int(round(0.75 * size(X, 2))), num_neurons::Integer=round(Int, log10(size(X, 1)) * size(X, 2)), folds::Integer=5, ) From 28d0a0a07473801259eeb831192ff3073fdeb94f Mon Sep 17 00:00:00 2001 From: Darren Colby Date: Sun, 30 Jun 2024 19:52:27 -0500 Subject: [PATCH 10/24] Moved generate_folds to utilities.jl --- src/estimators.jl | 51 +++++------------------------------------ src/metalearners.jl | 25 ++++++++------------ src/utilities.jl | 36 +++++++++++++++++++++++++++++ test/test_estimators.jl | 9 +------- test/test_utilities.jl | 13 +++++++++++ 5 files changed, 66 insertions(+), 68 deletions(-) diff --git a/src/estimators.jl b/src/estimators.jl index e391035d..0aaa6f45 100644 --- a/src/estimators.jl +++ b/src/estimators.jl @@ -22,9 +22,8 @@ Initialize an interrupted time series estimator. - `num_neurons::Integer`: number of neurons to use in the extreme learning machines. # Notes -To reduce computational complexity and overfitting, the model used to estimate the -counterfactual is a bagged ensemble extreme learning machines. To further reduce the -computational complexity you can reduce sample_size, num_machines, or num_neurons. +To reduce the computational complexity you can reduce sample_size, num_machines, or +num_neurons. # References For a simple linear regression-based tutorial on interrupted time series analysis see: @@ -112,9 +111,8 @@ Initialize a G-Computation estimator. - `num_neurons::Integer`: number of neurons to use in the extreme learning machines. # Notes -To reduce computational complexity and overfitting, the model used to estimate the -counterfactual is a bagged ensemble extreme learning machines. To further reduce the -computational complexity you can reduce sample_size, num_machines, or num_neurons. +To reduce the computational complexity you can reduce sample_size, num_machines, or +num_neurons. # References For a good overview of G-Computation see: @@ -200,9 +198,8 @@ Initialize a double machine learning estimator with cross fitting. - `folds::Integer`: number of folds to use for cross fitting. # Notes -To reduce computational complexity and overfitting, the model used to estimate the -counterfactual is a bagged ensemble extreme learning machines. To further reduce the -computational complexity you can reduce sample_size, num_machines, or num_neurons. +To reduce the computational complexity you can reduce sample_size, num_machines, or +num_neurons. # References For more information see: @@ -433,42 +430,6 @@ function predict_residuals( return yₜₑ - yₚᵣ, tₜₑ - tₚᵣ end -""" - generate_folds(X, T, Y, folds) - -Create folds for cross validation. - -# Examples -```jldoctest -julia> xfolds, tfolds, yfolds = CausalELM.generate_folds(zeros(4, 2), zeros(4), ones(4), 2) -([[0.0 0.0], [0.0 0.0; 0.0 0.0; 0.0 0.0]], [[0.0], [0.0, 0.0, 0.0]], [[1.0], [1.0, 1.0, 1.0]]) -``` -""" -function generate_folds(X, T, Y, folds) - msg = """the number of folds must be less than the number of observations""" - n = length(Y) - - if folds >= n - throw(ArgumentError(msg)) - end - - x_folds = Array{Array{Float64, 2}}(undef, folds) - t_folds = Array{Array{Float64, 1}}(undef, folds) - y_folds = Array{Array{Float64, 1}}(undef, folds) - - # Indices to start and stop for each fold - stops = round.(Int, range(; start=1, stop=n, length=folds + 1)) - - # Indices to use for making folds - indices = [s:(e - (e < n) * 1) for (s, e) in zip(stops[1:(end - 1)], stops[2:end])] - - for (i, idx) in enumerate(indices) - x_folds[i], t_folds[i], y_folds[i] = X[idx, :], T[idx], Y[idx] - end - - return x_folds, t_folds, y_folds -end - """ moving_average(x) diff --git a/src/metalearners.jl b/src/metalearners.jl index 8ca36fe2..85ce25cd 100644 --- a/src/metalearners.jl +++ b/src/metalearners.jl @@ -21,9 +21,8 @@ Initialize a S-Learner. - `num_neurons::Integer`: number of neurons to use in the extreme learning machines. # Notes -To reduce computational complexity and overfitting, the model used to estimate the -counterfactual is a bagged ensemble extreme learning machines. To further reduce the -computational complexity you can reduce sample_size, num_machines, or num_neurons. +To reduce the computational complexity you can reduce sample_size, num_machines, or +num_neurons. # References For an overview of S-Learners and other metalearners see: @@ -101,9 +100,8 @@ Initialize a T-Learner. - `num_neurons::Integer`: number of neurons to use in the extreme learning machines. # Notes -To reduce computational complexity and overfitting, the model used to estimate the -counterfactual is a bagged ensemble extreme learning machines. To further reduce the -computational complexity you can reduce sample_size, num_machines, or num_neurons. +To reduce the computational complexity you can reduce sample_size, num_machines, or +num_neurons. # References For an overview of T-Learners and other metalearners see: @@ -180,9 +178,8 @@ Initialize an X-Learner. - `num_neurons::Integer`: number of neurons to use in the extreme learning machines. # Notes -To reduce computational complexity and overfitting, the model used to estimate the -counterfactual is a bagged ensemble extreme learning machines. To further reduce the -computational complexity you can reduce sample_size, num_machines, or num_neurons. +To reduce the computational complexity you can reduce sample_size, num_machines, or +num_neurons. # References For an overview of X-Learners and other metalearners see: @@ -260,9 +257,8 @@ Initialize an R-Learner. - `num_neurons::Integer`: number of neurons to use in the extreme learning machines. # Notes -To reduce computational complexity and overfitting, the model used to estimate the -counterfactual is a bagged ensemble extreme learning machines. To further reduce the -computational complexity you can reduce sample_size, num_machines, or num_neurons. +To reduce the computational complexity you can reduce sample_size, num_machines, or +num_neurons. ## References For an explanation of R-Learner estimation see: @@ -339,9 +335,8 @@ Initialize a doubly robust CATE estimator. - `num_neurons::Integer`: number of neurons to use in the extreme learning machines. # Notes -To reduce computational complexity and overfitting, the model used to estimate the -counterfactual is a bagged ensemble extreme learning machines. To further reduce the -computational complexity you can reduce sample_size, num_machines, or num_neurons. +To reduce the computational complexity you can reduce sample_size, num_machines, or +num_neurons. # References For an explanation of doubly robust cate estimation see: diff --git a/src/utilities.jl b/src/utilities.jl index e6fd94a6..5e5cd543 100644 --- a/src/utilities.jl +++ b/src/utilities.jl @@ -169,3 +169,39 @@ macro standard_input_data() end return esc(inputs) end + +""" + generate_folds(X, T, Y, folds) + +Create folds for cross validation. + +# Examples +```jldoctest +julia> xfolds, tfolds, yfolds = CausalELM.generate_folds(zeros(4, 2), zeros(4), ones(4), 2) +([[0.0 0.0], [0.0 0.0; 0.0 0.0; 0.0 0.0]], [[0.0], [0.0, 0.0, 0.0]], [[1.0], [1.0, 1.0, 1.0]]) +``` +""" +function generate_folds(X, T, Y, folds) + msg = """the number of folds must be less than the number of observations""" + n = length(Y) + + if folds >= n + throw(ArgumentError(msg)) + end + + x_folds = Array{Array{Float64, 2}}(undef, folds) + t_folds = Array{Array{Float64, 1}}(undef, folds) + y_folds = Array{Array{Float64, 1}}(undef, folds) + + # Indices to start and stop for each fold + stops = round.(Int, range(; start=1, stop=n, length=folds + 1)) + + # Indices to use for making folds + indices = [s:(e - (e < n) * 1) for (s, e) in zip(stops[1:(end - 1)], stops[2:end])] + + for (i, idx) in enumerate(indices) + x_folds[i], t_folds[i], y_folds[i] = X[idx, :], T[idx], Y[idx] + end + + return x_folds, t_folds, y_folds +end diff --git a/test/test_estimators.jl b/test/test_estimators.jl index bd1952dd..f9916840 100644 --- a/test/test_estimators.jl +++ b/test/test_estimators.jl @@ -50,9 +50,6 @@ estimate_causal_effect!(dm_binary_out) # With dataframes instead of arrays dm_df = DoubleMachineLearning(x_df, t_df, y_df) -# Generating folds -x_fold, t_fold, y_fold = CausalELM.generate_folds(dm.X, dm.T, dm.Y, dm.folds) - # Test predicting residuals x_train, x_test = x[1:80, :], x[81:end, :] t_train, t_test = float(t[1:80]), float(t[81:end]) @@ -129,11 +126,7 @@ end @test dm_df.Y !== Nothing end - @testset "Double Machine Learning Estimation Helpers" begin - @test size(x_fold[1], 2) == size(dm.X, 2) - @test y_fold isa Vector{Vector{Float64}} - @test t_fold isa Vector{Vector{Float64}} - @test length(t_fold) == dm.folds + @testset "Generating Residuals" begin @test residuals[1] isa Vector @test residuals[2] isa Vector end diff --git a/test/test_utilities.jl b/test/test_utilities.jl index 60e0420b..9a24cd93 100644 --- a/test/test_utilities.jl +++ b/test/test_utilities.jl @@ -50,6 +50,12 @@ double_model_input_ground_truth = quote W::Array{Float64} end +# Generating folds +big_x, big_t, big_y = rand(10000, 8), rand(0:1, 10000), vec(rand(1:100, 10000, 1)) +dm = DoubleMachineLearning(big_x, big_t, big_y) +estimate_causal_effect!(dm) +x_fold, t_fold, y_fold = CausalELM.generate_folds(dm.X, dm.T, dm.Y, dm.folds) + @testset "Moments" begin @test mean([1, 2, 3]) == 2 @test CausalELM.var([1, 2, 3]) == 1 @@ -96,3 +102,10 @@ end double_model_input_ground_truth.args[double_model_input_idx] ) end + +@testset "Generating Folds" begin + @test size(x_fold[1], 2) == size(dm.X, 2) + @test y_fold isa Vector{Vector{Float64}} + @test t_fold isa Vector{Vector{Float64}} + @test length(t_fold) == dm.folds +end From c95d6ff1eab65cc23b1ceeb8434c09486cb26223 Mon Sep 17 00:00:00 2001 From: Darren Colby Date: Mon, 1 Jul 2024 15:36:21 -0500 Subject: [PATCH 11/24] Fixed R-learning --- docs/src/release_notes.md | 1 + src/metalearners.jl | 66 ++++++++++++++++++--------------------- test/test_metalearners.jl | 2 ++ 3 files changed, 33 insertions(+), 36 deletions(-) diff --git a/docs/src/release_notes.md b/docs/src/release_notes.md index 4c150977..c21b46bf 100644 --- a/docs/src/release_notes.md +++ b/docs/src/release_notes.md @@ -9,6 +9,7 @@ These release notes adhere to the [keep a changelog](https://keepachangelog.com/ * Made calculation of p-values and standard errors optional and not executed by default in summarize methods [#65](https://github.com/dscolby/CausalELM.jl/issues/65) * Removed redundant W argument for double machine learning, R-learning, and doubly robust estimation [#68](https://github.com/dscolby/CausalELM.jl/issues/68) ### Fixed +* Applying the weight trick for R-learning [#70](https://github.com/dscolby/CausalELM.jl/issues/70) ## Version [v0.6.0](https://github.com/dscolby/CausalELM.jl/releases/tag/v0.6.0) - 2024-06-15 ### Added diff --git a/src/metalearners.jl b/src/metalearners.jl index 85ce25cd..8fc5664f 100644 --- a/src/metalearners.jl +++ b/src/metalearners.jl @@ -1,3 +1,5 @@ +using LinearAlgebra: Diagonal + """Abstract type for metalearners""" abstract type Metalearner end @@ -449,7 +451,7 @@ function estimate_causal_effect!(t::TLearner) fit!(t.μ₀) fit!(t.μ₁) - predictionsₜ, predictionsᵪ = predict_mean(t.μ₁, t.X), predict_mean(t.μ₀, t.X) + predictionsₜ, predictionsᵪ = predict(t.μ₁, t.X), predict(t.μ₀, t.X) t.causal_effect = @fastmath vec(predictionsₜ - predictionsᵪ) return t.causal_effect @@ -478,7 +480,7 @@ function estimate_causal_effect!(x::XLearner) μχ₀, μχ₁ = stage2!(x) x.causal_effect = @fastmath vec(( - (x.ps .* predict_mean(μχ₀, x.X)) .+ ((1 .- x.ps) .* predict_mean(μχ₁, x.X)) + (x.ps .* predict(μχ₀, x.X)) .+ ((1 .- x.ps) .* predict(μχ₁, x.X)) )) return x.causal_effect @@ -502,35 +504,28 @@ julia> estimate_causal_effect!(m1) ``` """ function estimate_causal_effect!(R::RLearner) - X, T, Y = generate_folds(R.X, R.T, R.Y, R.folds) - predictors = Vector{ELMEnsemble}(undef, R.folds) - - # Cross fitting by training on the main folds and predicting residuals on the auxillary - for fld in 1:(R.folds) - X_train, X_test = reduce(vcat, X[1:end .!== fld]), X[fld] - Y_train, Y_test = reduce(vcat, Y[1:end .!== fld]), Y[fld] - T_train, T_test = reduce(vcat, T[1:end .!== fld]), T[fld] - - Ỹ, T̃ = predict_residuals(R, X_train, X_test, Y_train, Y_test, T_train, T_test) - - # Using the weight trick to get the non-parametric CATE for an R-learner - X[fld], Y[fld] = (T̃ .^ 2) .* X_test, (T̃ .^ 2) .* (Ỹ ./ T̃) - mod = ELMEnsemble( - X[fld], - Y[fld], - R.sample_size, - R.num_machines, - R.num_feats, - R.num_neurons, - R.activation - ) - - fit!(mod) - predictors[fld] = mod + X, T̃, Ỹ = generate_folds(R.X, R.T, R.Y, R.folds) + R.X, R.T, R.Y = reduce(vcat, X), reduce(vcat, T̃), reduce(vcat, Ỹ) + + # Get residuals from out-of-fold predictions + for f in 1:(R.folds) + X_train, X_test = reduce(vcat, X[1:end .!== f]), X[f] + Y_train, Y_test = reduce(vcat, Ỹ[1:end .!== f]), Ỹ[f] + T_train, T_test = reduce(vcat, T̃[1:end .!== f]), T̃[f] + Ỹ[f], T̃[f] = predict_residuals(R, X_train, X_test, Y_train, Y_test, T_train, T_test) end - final_predictions = [predict_mean(m, reduce(vcat, X)) for m in predictors] - R.causal_effect = vec(mapslices(mean, reduce(hcat, final_predictions); dims=2)) + # Using target transformation and the weight trick to minimize the causal loss + T̃², target = reduce(vcat, T̃).^2, reduce(vcat, T̃) ./ reduce(vcat, Ỹ) + W⁻⁵ᵉ⁻¹ = Diagonal(sqrt.(T̃²)) + Xʷ, Yʷ = W⁻⁵ᵉ⁻¹ * R.X, W⁻⁵ᵉ⁻¹ * target + + # Fit a weighted residual-on-residual model + final_model = ELMEnsemble( + Xʷ, Yʷ, R.sample_size, R.num_machines, R.num_feats, R.num_neurons, R.activation + ) + fit!(final_model) + R.causal_effect = predict(final_model, R.X) return R.causal_effect end @@ -585,7 +580,7 @@ This method should not be called directly. # Examples ```julia julia> X, T, Y, W = rand(100, 5), [rand()<0.4 for i in 1:100], rand(100), rand(6, 100) -julia> m1 = DoublyRobustLearner(X, T, Y, W=W) +julia> m1 = DoublyRobustLearner(X, T, Y) julia> X, T, W, Y = make_folds(m1) julia> Z = m1.W == m1.X ? X : [reduce(hcat, (z)) for z in zip(X, W)] @@ -604,7 +599,7 @@ function doubly_robust_formula!(DRE::DoublyRobustLearner, X, T, Y) DRE.activation ) - # Outcome predictions + # Outcome models μ₀ = ELMEnsemble( X[1][T[1] .== 0, :], Y[1][T[1] .== 0], @@ -626,7 +621,7 @@ function doubly_robust_formula!(DRE::DoublyRobustLearner, X, T, Y) ) fit!.((π_e, μ₀, μ₁)) - π̂ , μ₀̂, μ₁̂ = predict_mean(π_e, X[2]), predict_mean(μ₀, X[2]), predict_mean(μ₁, X[2]) + π̂ , μ₀̂, μ₁̂ = predict(π_e, X[2]), predict(μ₀, X[2]), predict(μ₁, X[2]) # Pseudo outcomes ϕ̂ = @@ -644,8 +639,7 @@ function doubly_robust_formula!(DRE::DoublyRobustLearner, X, T, Y) DRE.activation ) fit!(τ_est) - - return predict_mean(τ_est, DRE.X) + return predict(τ_est, DRE.X) end """ @@ -690,7 +684,7 @@ function stage1!(x::XLearner) # Get propensity scores fit!(g) - x.ps = predict_mean(g, x.X) + x.ps = predict(g, x.X) # Fit first stage outcome models fit!(x.μ₀) @@ -714,7 +708,7 @@ julia> stage2!(m1) ``` """ function stage2!(x::XLearner) - m₁, m₀ = predict_mean(x.μ₁, x.X .- x.Y), predict_mean(x.μ₀, x.X) + m₁, m₀ = predict(x.μ₁, x.X .- x.Y), predict(x.μ₀, x.X) d = ifelse(x.T === 0, m₁, x.Y .- m₀) μχ₀ = ELMEnsemble( diff --git a/test/test_metalearners.jl b/test/test_metalearners.jl index 60c8eac0..d63fd857 100644 --- a/test/test_metalearners.jl +++ b/test/test_metalearners.jl @@ -153,6 +153,7 @@ end @test rlearner.causal_effect isa Vector @test length(rlearner.causal_effect) == length(y) @test eltype(rlearner.causal_effect) == Float64 + @test all(isnan, rlearner.causal_effect) == false end end @@ -175,6 +176,7 @@ end @test dr_learner.causal_effect isa Vector @test length(dr_learner.causal_effect) === length(y) @test eltype(dr_learner.causal_effect) == Float64 + @test all(isnan, dr_learner.causal_effect) == false @test dr_learner_df.causal_effect isa Vector @test length(dr_learner_df.causal_effect) === length(y) @test eltype(dr_learner_df.causal_effect) == Float64 From 2ee91b8038277e1a8481f59a29ea155ea3557052 Mon Sep 17 00:00:00 2001 From: Darren Colby Date: Mon, 1 Jul 2024 15:42:18 -0500 Subject: [PATCH 12/24] Implemented probabilistic predictions for binary outcomes --- docs/src/api.md | 2 -- docs/src/guide/estimatorselection.md | 20 +++++++++----------- docs/src/release_notes.md | 1 + src/estimators.jl | 6 +++--- src/inference.jl | 2 +- src/model_validation.jl | 14 +++++++------- src/models.jl | 10 +++++----- src/utilities.jl | 6 +++--- test/test_models.jl | 7 ++----- test/test_utilities.jl | 2 +- 10 files changed, 32 insertions(+), 38 deletions(-) diff --git a/docs/src/api.md b/docs/src/api.md index f840feae..8edd38ce 100644 --- a/docs/src/api.md +++ b/docs/src/api.md @@ -46,7 +46,6 @@ fourier CausalELM.g_formula! CausalELM.causal_loss! CausalELM.predict_residuals -CausalELM.make_folds CausalELM.moving_average CausalELM.generate_folds ``` @@ -117,5 +116,4 @@ CausalELM.one_hot_encode CausalELM.clip_if_binary CausalELM.@model_config CausalELM.@standard_input_data -CausalELM.@double_learner_input_data ``` diff --git a/docs/src/guide/estimatorselection.md b/docs/src/guide/estimatorselection.md index f42af92f..ca948056 100644 --- a/docs/src/guide/estimatorselection.md +++ b/docs/src/guide/estimatorselection.md @@ -5,15 +5,13 @@ given dataset and causal question. | Model | Struct | Causal Estimands | Supported Treatment Types | Supported Outcome Types | |----------------------------------|-----------------------|----------------------------------|---------------------------|------------------------------------------| -| Interrupted Time Series Analysis | InterruptedTimeSeries | ATE, Cumulative Treatment Effect | Binary | Continuous, Count[^2], Time to Event | -| G-computation | GComputation | ATE, ATT, ITT | Binary | Binary[^1],Continuous, Time to Event, Count[^2] | -| Double Machine Learning | DoubleMachineLearning | ATE | Binary[^1], Count[^2], Continuous | Binary[^1], Count[^2], Continuous, Time to Event | -| S-learning | SLearner | CATE | Binary | Binary[^1], Continuous, Time to Event, Count[^2] | -| T-learning | TLearner | CATE | Binary | Binary[^1], Continuous, Count[^2], Time to Event | -| X-learning | XLearner | CATE | Binary[^1] | Binary[^1], Continuous, Count[^2], Time to Event | -| R-learning | RLearner | CATE | Binary[^1], Count[^2], Continuous | Binary[^1], Count[^2], Continuous, Time to Event | -| Doubly Robust Estimation | DoublyRobustLearner | CATE | Binary | Binary[^1], Continuous, Count[^2], Time to Event | +| Interrupted Time Series Analysis | InterruptedTimeSeries | ATE, Cumulative Treatment Effect | Binary | Continuous, Count[^1], Time to Event | +| G-computation | GComputation | ATE, ATT, ITT | Binary | Binary,Continuous, Time to Event, Count[^1] | +| Double Machine Learning | DoubleMachineLearning | ATE | Binary, Count[^1], Continuous | Binary, Count[^1], Continuous, Time to Event | +| S-learning | SLearner | CATE | Binary | Binary, Continuous, Time to Event, Count[^1] | +| T-learning | TLearner | CATE | Binary | Binary, Continuous, Count[^1], Time to Event | +| X-learning | XLearner | CATE | Binary | Binary, Continuous, Count[^1], Time to Event | +| R-learning | RLearner | CATE | Binary, Count[^1], Continuous | Binary, Count[^1], Continuous, Time to Event | +| Doubly Robust Estimation | DoublyRobustLearner | CATE | Binary | Binary, Continuous, Count[^1], Time to Event | -[^1]: Models that use propensity scores or predict binary treatment assignment may, on very rare occasions, return values outside of [0, 1]. In that case, values are clipped to be between 0.0000001 and 0.9999999. - -[^2]: Similar to other packages, predictions of count variables is treated as a continuous regression task. \ No newline at end of file +[^1]: Similar to other packages, predictions of count variables is treated as a continuous regression task. \ No newline at end of file diff --git a/docs/src/release_notes.md b/docs/src/release_notes.md index c21b46bf..3197ca91 100644 --- a/docs/src/release_notes.md +++ b/docs/src/release_notes.md @@ -6,6 +6,7 @@ These release notes adhere to the [keep a changelog](https://keepachangelog.com/ * Implemented bagged ensemble of extreme learning machines to use with estimators [#67](https://github.com/dscolby/CausalELM.jl/issues/67) ### Changed * Compute the number of neurons to use with log heuristic instead of cross validation [#62](https://github.com/dscolby/CausalELM.jl/issues/62) +* Calculate probabilities as the average label predicted by the ensemble instead of clipping [#71](https://github.com/dscolby/CausalELM.jl/issues/71) * Made calculation of p-values and standard errors optional and not executed by default in summarize methods [#65](https://github.com/dscolby/CausalELM.jl/issues/65) * Removed redundant W argument for double machine learning, R-learning, and doubly robust estimation [#68](https://github.com/dscolby/CausalELM.jl/issues/68) ### Fixed diff --git a/src/estimators.jl b/src/estimators.jl index 0aaa6f45..76c205c4 100644 --- a/src/estimators.jl +++ b/src/estimators.jl @@ -280,7 +280,7 @@ function estimate_causal_effect!(its::InterruptedTimeSeries) ) fit!(learner) - its.causal_effect = predict_mean(learner, its.X₁) - its.Y₁ + its.causal_effect = predict(learner, its.X₁) - its.Y₁ return its.causal_effect end @@ -347,7 +347,7 @@ function g_formula!(g) # Keeping this separate enables it to be reused for S-Le fit!(g.ensemble) - yₜ, yᵤ = predict_mean(g.ensemble, Xₜ), predict_mean(g.ensemble, Xᵤ) + yₜ, yᵤ = predict(g.ensemble, Xₜ), predict(g.ensemble, Xᵤ) return vec(yₜ) - vec(yᵤ) end @@ -425,7 +425,7 @@ function predict_residuals( fit!(y) fit!(t) - yₚᵣ, tₚᵣ = predict_mean(y, xₜₑ), predict_mean(t, xₜₑ) + yₚᵣ, tₚᵣ = predict(y, xₜₑ), predict(t, xₜₑ) return yₜₑ - yₚᵣ, tₜₑ - tₚᵣ end diff --git a/src/inference.jl b/src/inference.jl index 49d9f187..3ceb9620 100644 --- a/src/inference.jl +++ b/src/inference.jl @@ -189,7 +189,7 @@ julia> generate_null_distribution(g_computer, 500) ``` """ function generate_null_distribution(mod, n) - local m = deepcopy(mod) + m = deepcopy(mod) nobs = size(m.T, 1) results = Vector{Float64}(undef, n) diff --git a/src/model_validation.jl b/src/model_validation.jl index 5cfd87a2..a7ebd6c7 100644 --- a/src/model_validation.jl +++ b/src/model_validation.jl @@ -576,13 +576,13 @@ function risk_ratio(::Binary, ::Binary, mod) # For algorithms that use one model to estimate the outcome if hasfield(typeof(mod), :ensemble) - return @fastmath mean(predict_mean(mod.ensemble, Xₜ)) / mean(predict_mean(mod.ensemble, Xᵤ)) + return @fastmath (mean(predict(mod.ensemble, Xₜ)) / mean(predict(mod.ensemble, Xᵤ))) # For models that use separate models for outcomes in the treatment and control group else hasfield(typeof(mod), :μ₀) Xₜ, Xᵤ = mod.X[mod.T .== 1, :], mod.X[mod.T .== 0, :] - return @fastmath mean(predict_mean(mod.μ₁, Xₜ)) / mean(predict_mean(mod.μ₀, Xᵤ)) + return @fastmath mean(predict(mod.μ₁, Xₜ)) / mean(predict(mod.μ₀, Xᵤ)) end end @@ -594,13 +594,13 @@ function risk_ratio(::Binary, ::Count, mod) # For estimators with a single model of the outcome variable if hasfield(typeof(mod), :ensemble) - return @fastmath (sum(predict_mean(mod.ensemble, Xₜ)) / m) / - (sum(predict_mean(mod.ensemble, Xᵤ)) / n) + return @fastmath (sum(predict(mod.ensemble, Xₜ)) / m) / + (sum(predict(mod.ensemble, Xᵤ)) / n) # For models that use separate models for outcomes in the treatment and control group elseif hasfield(typeof(mod), :μ₀) Xₜ, Xᵤ = mod.X[mod.T .== 1, :], mod.X[mod.T .== 0, :] - return @fastmath mean(predict_mean(mod.μ₁, Xₜ)) / mean(predict_mean(mod.μ₀, Xᵤ)) + return @fastmath mean(predict(mod.μ₁, Xₜ)) / mean(predict(mod.μ₀, Xᵤ)) else learner = ELMEnsemble( reduce(hcat, (mod.X, mod.T)), @@ -613,7 +613,7 @@ function risk_ratio(::Binary, ::Count, mod) ) fit!(learner) - @fastmath mean(predict_mean(learner, Xₜ)) / mean(predict_mean(learner, Xᵤ)) + @fastmath mean(predict(learner, Xₜ)) / mean(predict(learner, Xᵤ)) end end @@ -664,7 +664,7 @@ function positivity(model, min=1.0e-6, max=1 - min) ) fit!(ps_mod) - propensity_scores = predict_mean(ps_mod, model.X) + propensity_scores = predict(ps_mod, model.X) # Observations that have a zero probability of treatment or control assignment return reduce( diff --git a/src/models.jl b/src/models.jl index 9ed75c77..0b9bdd73 100644 --- a/src/models.jl +++ b/src/models.jl @@ -1,5 +1,5 @@ using Random: shuffle -using CausalELM: mean, clip_if_binary, var_type +using CausalELM: mean, var_type, clip_if_binary """ ExtremeLearner(X, Y, hidden_neurons, activation) @@ -173,17 +173,17 @@ function predict(model::ExtremeLearner, X) predictions = model.activation(X * model.weights) * model.β - return @fastmath clip_if_binary(predictions, var_type(model.Y)) + return clip_if_binary(predictions, var_type(model.Y)) end @inline function predict(model::ELMEnsemble, X) - return reduce( + predictions = reduce( hcat, [predict(model.elms[i], X[:, model.feat_indices[i]]) for i ∈ 1:length(model.elms)] ) -end -predict_mean(model::ELMEnsemble, X) = vec(mapslices(mean, predict(model, X), dims=2)) + return vec(mapslices(mean, predictions, dims=2)) +end """ predict_counterfactual!(model, X) diff --git a/src/utilities.jl b/src/utilities.jl index 5e5cd543..84d34a2d 100644 --- a/src/utilities.jl +++ b/src/utilities.jl @@ -95,8 +95,8 @@ See also [`var_type`](@ref). ```jldoctest julia> CausalELM.clip_if_binary([1.2, -0.02], CausalELM.Binary()) 2-element Vector{Float64}: - 0.9999999 - 1.0e-7 + 1.0 + 0.0 julia> CausalELM.clip_if_binary([1.2, -0.02], CausalELM.Count()) 2-element Vector{Float64}: @@ -104,7 +104,7 @@ julia> CausalELM.clip_if_binary([1.2, -0.02], CausalELM.Count()) -0.02 ``` """ -clip_if_binary(x::Array{<:Real}, var) = var isa Binary ? clamp.(x, 1e-7, 1 - 1e-7) : x +clip_if_binary(x::Array{<:Real}, var) = var isa Binary ? clamp.(x, 0.0, 1.0) : x """ model_config(effect_type) diff --git a/test/test_models.jl b/test/test_models.jl index 18dda773..ce2304e8 100644 --- a/test/test_models.jl +++ b/test/test_models.jl @@ -36,7 +36,6 @@ set_weights_biases(nofit) ensemble = ELMEnsemble(big_x, big_y, 10000, 100, 5, 10, relu) fit!(ensemble) predictions = predict(ensemble, big_x) -mean_predictions = predict_mean(ensemble, big_x) @testset "Extreme Learning Machines" begin @testset "Extreme Learning Machine Structure" begin @@ -96,10 +95,8 @@ end @testset "Ensemble Fitting and Prediction" begin @test all([elm.__fit for elm in ensemble.elms]) == true - @test predictions isa Matrix{Float64} - @test size(predictions) == (10000, 100) - @test mean_predictions isa Vector{Float64} - @test length(mean_predictions) == 10000 + @test predictions isa Vector{Float64} + @test length(predictions) == 10000 end @testset "Print Models" begin diff --git a/test/test_utilities.jl b/test/test_utilities.jl index 9a24cd93..7a63ef50 100644 --- a/test/test_utilities.jl +++ b/test/test_utilities.jl @@ -66,7 +66,7 @@ end end @testset "Clipping" begin - @test CausalELM.clip_if_binary([1.2, -0.02], CausalELM.Binary()) == [0.9999999, 1.0e-7] + @test CausalELM.clip_if_binary([1.2, -0.02], CausalELM.Binary()) == [1.0, 0.0] @test CausalELM.clip_if_binary([1.2, -0.02], CausalELM.Count()) == [1.2, -0.02] end From 4c45278dd1566d633718f05bcac3b198650bfa0f Mon Sep 17 00:00:00 2001 From: Darren Colby Date: Mon, 1 Jul 2024 23:08:53 -0500 Subject: [PATCH 13/24] Made better keys for dictionary returned by counterfactual_consistency --- Manifest.toml | 232 +++++++++++++++++++++++++++++++++- Project.toml | 2 + src/model_validation.jl | 11 +- test/test_model_validation.jl | 12 +- 4 files changed, 245 insertions(+), 12 deletions(-) diff --git a/Manifest.toml b/Manifest.toml index 5fcff0eb..5294738f 100644 --- a/Manifest.toml +++ b/Manifest.toml @@ -2,16 +2,103 @@ julia_version = "1.8.5" manifest_format = "2.0" -project_hash = "18a38d2a3c0a24ffa847859ade56a5a957640011" +project_hash = "a71c3dc546f65e5c8baf2d15aa5d41355e85fe6c" [[deps.Artifacts]] uuid = "56f22d72-fd6d-98f1-02f0-08ddc0907c33" +[[deps.Base64]] +uuid = "2a0f44e3-6c83-55bd-87e4-b1978d98bd5f" + +[[deps.CSV]] +deps = ["CodecZlib", "Dates", "FilePathsBase", "InlineStrings", "Mmap", "Parsers", "PooledArrays", "PrecompileTools", "SentinelArrays", "Tables", "Unicode", "WeakRefStrings", "WorkerUtilities"] +git-tree-sha1 = "6c834533dc1fabd820c1db03c839bf97e45a3fab" +uuid = "336ed68f-0bac-5ca0-87d4-7b16caf5d00b" +version = "0.10.14" + +[[deps.CodecZlib]] +deps = ["TranscodingStreams", "Zlib_jll"] +git-tree-sha1 = "59939d8a997469ee05c4b4944560a820f9ba0d73" +uuid = 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"SortingAlgorithms", "Statistics", "TableTraits", "Tables", "Unicode"] +git-tree-sha1 = "04c738083f29f86e62c8afc341f0967d8717bdb8" +uuid = "a93c6f00-e57d-5684-b7b6-d8193f3e46c0" +version = "1.6.1" + +[[deps.DataStructures]] +deps = ["Compat", "InteractiveUtils", "OrderedCollections"] +git-tree-sha1 = "1d0a14036acb104d9e89698bd408f63ab58cdc82" +uuid = "864edb3b-99cc-5e75-8d2d-829cb0a9cfe8" +version = "0.18.20" + +[[deps.DataValueInterfaces]] +git-tree-sha1 = "bfc1187b79289637fa0ef6d4436ebdfe6905cbd6" +uuid = "e2d170a0-9d28-54be-80f0-106bbe20a464" +version = "1.0.0" + +[[deps.Dates]] +deps = ["Printf"] +uuid = "ade2ca70-3891-5945-98fb-dc099432e06a" + +[[deps.FilePathsBase]] +deps = ["Compat", "Dates", "Mmap", "Printf", "Test", "UUIDs"] +git-tree-sha1 = "9f00e42f8d99fdde64d40c8ea5d14269a2e2c1aa" +uuid = "48062228-2e41-5def-b9a4-89aafe57970f" +version = "0.9.21" + +[[deps.Future]] +deps = ["Random"] +uuid = "9fa8497b-333b-5362-9e8d-4d0656e87820" + +[[deps.InlineStrings]] +deps = ["Parsers"] +git-tree-sha1 = "86356004f30f8e737eff143d57d41bd580e437aa" +uuid = "842dd82b-1e85-43dc-bf29-5d0ee9dffc48" +version = "1.4.1" + +[[deps.InteractiveUtils]] +deps = ["Markdown"] +uuid = "b77e0a4c-d291-57a0-90e8-8db25a27a240" + +[[deps.InvertedIndices]] +git-tree-sha1 = "0dc7b50b8d436461be01300fd8cd45aa0274b038" +uuid = "41ab1584-1d38-5bbf-9106-f11c6c58b48f" +version = "1.3.0" + +[[deps.IteratorInterfaceExtensions]] +git-tree-sha1 = "a3f24677c21f5bbe9d2a714f95dcd58337fb2856" +uuid = "82899510-4779-5014-852e-03e436cf321d" +version = "1.0.0" + +[[deps.LaTeXStrings]] +git-tree-sha1 = "50901ebc375ed41dbf8058da26f9de442febbbec" +uuid = "b964fa9f-0449-5b57-a5c2-d3ea65f4040f" +version = "1.3.1" + [[deps.Libdl]] uuid = "8f399da3-3557-5675-b5ff-fb832c97cbdb" @@ -19,22 +106,165 @@ uuid = "8f399da3-3557-5675-b5ff-fb832c97cbdb" deps = ["Libdl", "libblastrampoline_jll"] uuid = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e" +[[deps.Logging]] +uuid = "56ddb016-857b-54e1-b83d-db4d58db5568" + 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"45e428421666073eab6f2da5c9d310d99bb12f9b" +uuid = "189a3867-3050-52da-a836-e630ba90ab69" +version = "1.2.2" + [[deps.SHA]] uuid = "ea8e919c-243c-51af-8825-aaa63cd721ce" version = "0.7.0" +[[deps.SentinelArrays]] +deps = ["Dates", "Random"] +git-tree-sha1 = "90b4f68892337554d31cdcdbe19e48989f26c7e6" +uuid = "91c51154-3ec4-41a3-a24f-3f23e20d615c" +version = "1.4.3" + [[deps.Serialization]] uuid = "9e88b42a-f829-5b0c-bbe9-9e923198166b" +[[deps.Sockets]] +uuid = "6462fe0b-24de-5631-8697-dd941f90decc" + +[[deps.SortingAlgorithms]] +deps = ["DataStructures"] +git-tree-sha1 = "66e0a8e672a0bdfca2c3f5937efb8538b9ddc085" +uuid = "a2af1166-a08f-5f64-846c-94a0d3cef48c" +version = "1.2.1" + +[[deps.SparseArrays]] +deps = ["LinearAlgebra", "Random"] +uuid = "2f01184e-e22b-5df5-ae63-d93ebab69eaf" + +[[deps.Statistics]] +deps = ["LinearAlgebra", "SparseArrays"] +uuid = "10745b16-79ce-11e8-11f9-7d13ad32a3b2" + +[[deps.StringManipulation]] +deps = ["PrecompileTools"] +git-tree-sha1 = 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+[[deps.UUIDs]] +deps = ["Random", "SHA"] +uuid = "cf7118a7-6976-5b1a-9a39-7adc72f591a4" + +[[deps.Unicode]] +uuid = "4ec0a83e-493e-50e2-b9ac-8f72acf5a8f5" + +[[deps.WeakRefStrings]] +deps = ["DataAPI", "InlineStrings", "Parsers"] +git-tree-sha1 = "b1be2855ed9ed8eac54e5caff2afcdb442d52c23" +uuid = "ea10d353-3f73-51f8-a26c-33c1cb351aa5" +version = "1.4.2" + +[[deps.WorkerUtilities]] +git-tree-sha1 = "cd1659ba0d57b71a464a29e64dbc67cfe83d54e7" +uuid = "76eceee3-57b5-4d4a-8e66-0e911cebbf60" +version = "1.6.1" + +[[deps.Zlib_jll]] +deps = ["Libdl"] +uuid = "83775a58-1f1d-513f-b197-d71354ab007a" +version = "1.2.12+3" + [[deps.libblastrampoline_jll]] deps = ["Artifacts", "Libdl", "OpenBLAS_jll"] uuid = "8e850b90-86db-534c-a0d3-1478176c7d93" diff --git a/Project.toml b/Project.toml index 8e583b82..3f26b356 100644 --- a/Project.toml +++ b/Project.toml @@ -4,6 +4,8 @@ authors = ["Darren Colby and contributors"] version = "0.6.0" [deps] +CSV = "336ed68f-0bac-5ca0-87d4-7b16caf5d00b" +DataFrames = "a93c6f00-e57d-5684-b7b6-d8193f3e46c0" LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e" Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c" diff --git a/src/model_validation.jl b/src/model_validation.jl index a7ebd6c7..c0e4cbe1 100644 --- a/src/model_validation.jl +++ b/src/model_validation.jl @@ -390,10 +390,11 @@ julia> counterfactual_consistency(g_computer) """ function counterfactual_consistency(model, devs, iterations) counterfactual_model = deepcopy(model) - avg_counterfactual_effects = Dict{Float64,Float64}() + avg_counterfactual_effects = Dict{String,Float64}() for dev in devs - avg_counterfactual_effects[dev] = 0.0 + key = string(dev) * " Standard Deviations from Observed Outcomes" + avg_counterfactual_effects[key] = 0.0 # Averaging multiple iterations of random violatons for each std dev for iteration in 1:iterations @@ -401,12 +402,12 @@ function counterfactual_consistency(model, devs, iterations) estimate_causal_effect!(counterfactual_model) if counterfactual_model isa Metalearner - avg_counterfactual_effects[dev] += mean(counterfactual_model.causal_effect) + avg_counterfactual_effects[key] += mean(counterfactual_model.causal_effect) else - avg_counterfactual_effects[dev] += counterfactual_model.causal_effect + avg_counterfactual_effects[key] += counterfactual_model.causal_effect end end - avg_counterfactual_effects[dev] /= iterations + avg_counterfactual_effects[key] /= iterations end return avg_counterfactual_effects end diff --git a/test/test_model_validation.jl b/test/test_model_validation.jl index 95385c93..c5823c3d 100644 --- a/test/test_model_validation.jl +++ b/test/test_model_validation.jl @@ -164,7 +164,7 @@ end @testset "Counterfactual Consistency" begin @test CausalELM.counterfactual_consistency( g_computer, (0.25, 0.5, 0.75, 1.0), 10 - ) isa Dict{Float64,Float64} + ) isa Dict{String,Float64} end @testset "Exchangeability" begin @@ -194,7 +194,7 @@ end @testset "Double Machine Learning Assumptions" begin @test CausalELM.counterfactual_consistency(dml, (0.25, 0.5, 0.75, 1.0), 10) isa - Dict{Float64,Float64} + Dict{String, Float64} @test CausalELM.exchangeability(dml) isa Real @test size(CausalELM.positivity(dml), 2) == size(dml.X, 2) + 1 @test length(validate(dml)) == 3 @@ -204,19 +204,19 @@ end @testset "Counterfactual Consistency" begin @test CausalELM.counterfactual_consistency( s_learner, (0.25, 0.5, 0.75, 1.0), 10 - ) isa Dict{Float64,Float64} + ) isa Dict{String, Float64} @test CausalELM.counterfactual_consistency( t_learner, (0.25, 0.5, 0.75, 1.0), 10 - ) isa Dict{Float64,Float64} + ) isa Dict{String, Float64} @test CausalELM.counterfactual_consistency( x_learner, (0.25, 0.5, 0.75, 1.0), 10 - ) isa Dict{Float64,Float64} + ) isa Dict{String, Float64} @test CausalELM.counterfactual_consistency( dr_learner, (0.25, 0.5, 0.75, 1.0), 10 - ) isa Dict{Float64,Float64} + ) isa Dict{String, Float64} end @testset "Exchangeability" begin From c97ea4ee2f1fa23f17fd02461ce5f41e1aa012d4 Mon Sep 17 00:00:00 2001 From: Darren Colby Date: Tue, 2 Jul 2024 00:50:35 -0500 Subject: [PATCH 14/24] Fixed R-learning again --- src/metalearners.jl | 7 +-- testing.ipynb | 123 +++++++++++++++++++++++++++++++++++++++++--- 2 files changed, 117 insertions(+), 13 deletions(-) diff --git a/src/metalearners.jl b/src/metalearners.jl index 8fc5664f..2bed75a2 100644 --- a/src/metalearners.jl +++ b/src/metalearners.jl @@ -1,5 +1,3 @@ -using LinearAlgebra: Diagonal - """Abstract type for metalearners""" abstract type Metalearner end @@ -516,9 +514,8 @@ function estimate_causal_effect!(R::RLearner) end # Using target transformation and the weight trick to minimize the causal loss - T̃², target = reduce(vcat, T̃).^2, reduce(vcat, T̃) ./ reduce(vcat, Ỹ) - W⁻⁵ᵉ⁻¹ = Diagonal(sqrt.(T̃²)) - Xʷ, Yʷ = W⁻⁵ᵉ⁻¹ * R.X, W⁻⁵ᵉ⁻¹ * target + T̃², target = reduce(vcat, T̃).^2, reduce(vcat, Ỹ) ./ reduce(vcat, T̃) + Xʷ, Yʷ = R.X .* T̃², target .* T̃² # Fit a weighted residual-on-residual model final_model = ELMEnsemble( diff --git a/testing.ipynb b/testing.ipynb index 11c81d0b..f1ab9137 100644 --- a/testing.ipynb +++ b/testing.ipynb @@ -148,18 +148,76 @@ } ], "source": [ - "dr_learner = DoubleMachineLearning(covariates, treatment, outcome, num_feats=6)" + "dml = DoubleMachineLearning(covariates, treatment, outcome)" ] }, { "cell_type": "code", - "execution_count": 12, + "execution_count": 5, + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "RLearner([0.15384615384615385 0.1258211589371507 … 0.0 1.0; 0.6923076923076923 0.1441562898323365 … 0.0 1.0; … ; 0.41025641025641024 0.24039121482498285 … 0.0 1.0; 0.07692307692307693 0.11789145994705363 … 0.0 0.0], [0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0 … 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0], [-3300.0, 61010.0, 8849.0, -6013.0, -2375.0, -11000.0, -16901.0, 1000.0, 0.0, 6400.0 … -1436.0, 4500.0, 34739.0, -750.0, 40000.0, 172.0, 836.0, 6150.0, 14499.0, -5400.0], \"CATE\", false, \"regression\", CausalELM.relu, 9915, 100, 6, 32, [NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN … NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN], 5)" + ] + }, + "metadata": {}, + "output_type": "display_data" + } + ], + "source": [ + "r_learner = RLearner(covariates, treatment, outcome)" + ] + }, + { + "cell_type": "code", + "execution_count": 6, + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "8823.500636214852" + ] + }, + "metadata": {}, + "output_type": "display_data" + } + ], + "source": [ + "estimate_causal_effect!(dml)" + ] + }, + { + "cell_type": "code", + "execution_count": 8, "metadata": {}, "outputs": [ { "data": { "text/plain": [ - "8667.309064475481" + "9915-element Vector{Float64}:\n", + " 4085.5839404080925\n", + " 15773.51315113084\n", + " 38901.80802040522\n", + " 3825.3848781869037\n", + " 11964.765726429632\n", + " 26765.991729444253\n", + " 16975.200557225948\n", + " 7452.263104809677\n", + " 1115.323329175054\n", + " 12363.569530065344\n", + " ⋮\n", + " 11433.6140084084\n", + " 4800.764220118784\n", + " 2925.4867379282705\n", + " 39714.813007228164\n", + " 1647.2470272172372\n", + " 10061.73821939839\n", + " 14687.816324667367\n", + " 17992.791169984106\n", + " 434.7500362608628" ] }, "metadata": {}, @@ -167,7 +225,7 @@ } ], "source": [ - "estimate_causal_effect!(dr_learner)" + "estimate_causal_effect!(r_learner)" ] }, { @@ -183,7 +241,7 @@ " \"Quantity of Interest\" => \"ATE\"\n", " \"Sample Size\" => 9915\n", " \"Number of Machines\" => 100\n", - " \"Causal Effect\" => 8806.5\n", + " \"Causal Effect\" => 8823.5\n", " \"Number of Neurons\" => 24\n", " \"Task\" => \"regression\"\n", " \"Time Series/Panel Data\" => false\n", @@ -197,7 +255,7 @@ } ], "source": [ - "summarize(dr_learner)" + "summarize(dml)" ] }, { @@ -208,7 +266,56 @@ { "data": { "text/plain": [ - "(Dict(0.025 => -12979.904119051262, 0.075 => -12217.068316708708, 0.1 => -6143.33640640303, 0.05 => -9062.747974951273), 2.8344920146887382, Matrix{Float64}(undef, 0, 9))" + "Dict{Any, Any} with 11 entries:\n", + " \"Activation Function\" => relu\n", + " \"Quantity of Interest\" => \"CATE\"\n", + " \"Sample Size\" => 9915\n", + " \"Number of Machines\" => 100\n", + " \"Causal Effect\" => [4085.58, 15773.5, 38901.8, 3825.38, 11964.8, 267…\n", + " \"Number of Neurons\" => 32\n", + " \"Task\" => \"regression\"\n", + " \"Time Series/Panel Data\" => false\n", + " \"Standard Error\" => NaN\n", + " \"p-value\" => NaN\n", + " \"Number of Features\" => 6" + ] + }, + "metadata": {}, + "output_type": "display_data" + } + ], + "source": [ + "summarize(r_learner)" + ] + }, + { + "cell_type": "code", + "execution_count": 12, + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "(Dict(\"0.1 Standard Deviations from Observed Outcomes\" => -8079.331571957283, \"0.075 Standard Deviations from Observed Outcomes\" => -6089.203934396697, \"0.025 Standard Deviations from Observed Outcomes\" => -7522.457852582857, \"0.05 Standard Deviations from Observed Outcomes\" => -12933.100480526482), 2.6894381997142496, Matrix{Float64}(undef, 0, 9))" + ] + }, + "metadata": {}, + "output_type": "display_data" + } + ], + "source": [ + "validate(dml)" + ] + }, + { + "cell_type": "code", + "execution_count": 13, + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "(Dict(\"0.1 Standard Deviations from Observed Outcomes\" => 155340.94980401796, \"0.075 Standard Deviations from Observed Outcomes\" => 559571.3301919985, \"0.025 Standard Deviations from Observed Outcomes\" => 274961.5431470514, \"0.05 Standard Deviations from Observed Outcomes\" => 345062.1310616215), 2.8689322412325833, Matrix{Float64}(undef, 0, 9))" ] }, "metadata": {}, @@ -216,7 +323,7 @@ } ], "source": [ - "validate(dr_learner)" + "validate(r_learner)" ] } ], From c6139e1cb825c8f8432291fcb612a5e50d1b0dbd Mon Sep 17 00:00:00 2001 From: Darren Colby Date: Tue, 2 Jul 2024 13:30:28 -0500 Subject: [PATCH 15/24] Shuffled data in DML, DRE, and RLearner constructors --- src/estimators.jl | 4 ++ src/metalearners.jl | 11 ++++- src/utilities.jl | 6 +-- testing.ipynb | 114 +++++++++++++++++++++++++++++++++----------- 4 files changed, 102 insertions(+), 33 deletions(-) diff --git a/src/estimators.jl b/src/estimators.jl index 76c205c4..1f9b1bcc 100644 --- a/src/estimators.jl +++ b/src/estimators.jl @@ -236,6 +236,10 @@ function DoubleMachineLearning( ) # Convert to arrays X, T, Y = Matrix{Float64}(X), T[:, 1], Y[:, 1] + + # Shuffle data with random indices + indices = shuffle(1:length(Y)) + X, T, Y = X[indices, :], T[indices], Y[indices] task = var_type(Y) isa Binary ? "classification" : "regression" diff --git a/src/metalearners.jl b/src/metalearners.jl index 2bed75a2..f5eeeb59 100644 --- a/src/metalearners.jl +++ b/src/metalearners.jl @@ -296,6 +296,10 @@ function RLearner( # Convert to arrays X, T, Y = Matrix{Float64}(X), T[:, 1], Y[:, 1] + # Shuffle data with random indices + indices = shuffle(1:length(Y)) + X, T, Y = X[indices, :], T[indices], Y[indices] + task = var_type(Y) isa Binary ? "classification" : "regression" return RLearner( @@ -371,11 +375,14 @@ function DoublyRobustLearner( num_machines::Integer=100, num_feats::Integer=Int(round(0.75 * size(X, 2))), num_neurons::Integer=round(Int, log10(size(X, 1)) * size(X, 2)), - folds::Integer=5, ) # Convert to arrays X, T, Y = Matrix{Float64}(X), T[:, 1], Y[:, 1] + # Shuffle data with random indices + indices = shuffle(1:length(Y)) + X, T, Y = X[indices, :], T[indices], Y[indices] + task = var_type(Y) isa Binary ? "classification" : "regression" return DoublyRobustLearner( @@ -391,7 +398,7 @@ function DoublyRobustLearner( num_feats, num_neurons, fill(NaN, size(T, 1)), - folds, + 2, ) end diff --git a/src/utilities.jl b/src/utilities.jl index 84d34a2d..3c44495c 100644 --- a/src/utilities.jl +++ b/src/utilities.jl @@ -1,3 +1,5 @@ +using Random: shuffle + """Abstract type used to dispatch risk_ratio on nonbinary treatments""" abstract type Nonbinary end @@ -185,9 +187,7 @@ function generate_folds(X, T, Y, folds) msg = """the number of folds must be less than the number of observations""" n = length(Y) - if folds >= n - throw(ArgumentError(msg)) - end + if folds >= n throw(ArgumentError(msg))end x_folds = Array{Array{Float64, 2}}(undef, folds) t_folds = Array{Array{Float64, 1}}(undef, folds) diff --git a/testing.ipynb b/testing.ipynb index f1ab9137..5da93ef0 100644 --- a/testing.ipynb +++ b/testing.ipynb @@ -134,13 +134,13 @@ }, { "cell_type": "code", - "execution_count": 4, + "execution_count": 59, "metadata": {}, "outputs": [ { "data": { "text/plain": [ - "DoubleMachineLearning([0.15384615384615385 0.1258211589371507 … 0.0 1.0; 0.6923076923076923 0.1441562898323365 … 0.0 1.0; … ; 0.41025641025641024 0.24039121482498285 … 0.0 1.0; 0.07692307692307693 0.11789145994705363 … 0.0 0.0], [0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0 … 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0], [-3300.0, 61010.0, 8849.0, -6013.0, -2375.0, -11000.0, -16901.0, 1000.0, 0.0, 6400.0 … -1436.0, 4500.0, 34739.0, -750.0, 40000.0, 172.0, 836.0, 6150.0, 14499.0, -5400.0], \"ATE\", false, \"regression\", CausalELM.relu, 9915, 100, 6, 24, NaN, 5)" + "DoubleMachineLearning([0.46153846153846156 0.21734974017060496 … 0.0 1.0; 0.5897435897435898 0.05495636827139916 … 0.0 0.0; … ; 0.02564102564102564 0.11648200804000393 … 0.0 1.0; 0.6410256410256411 0.22411510932444356 … 1.0 1.0], [0.0, 0.0, 1.0, 0.0, 0.0, 1.0, 1.0, 0.0, 0.0, 0.0 … 0.0, 1.0, 1.0, 1.0, 0.0, 1.0, 0.0, 1.0, 0.0, 0.0], [18800.0, 500.0, 5600.0, 62535.0, -5100.0, 9145.0, 25999.0, 0.0, 2150.0, 5000.0 … 189000.0, 14400.0, 240.0, 249.0, -928.0, 107750.0, 0.0, 114335.0, 10500.0, 8849.0], \"ATE\", false, \"regression\", CausalELM.swish, 9915, 100, 6, 24, NaN, 5)" ] }, "metadata": {}, @@ -148,18 +148,18 @@ } ], "source": [ - "dml = DoubleMachineLearning(covariates, treatment, outcome)" + "dml = DoubleMachineLearning(covariates, treatment, outcome, activation=swish)" ] }, { "cell_type": "code", - "execution_count": 5, + "execution_count": 60, "metadata": {}, "outputs": [ { "data": { "text/plain": [ - "RLearner([0.15384615384615385 0.1258211589371507 … 0.0 1.0; 0.6923076923076923 0.1441562898323365 … 0.0 1.0; … ; 0.41025641025641024 0.24039121482498285 … 0.0 1.0; 0.07692307692307693 0.11789145994705363 … 0.0 0.0], [0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0 … 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0], [-3300.0, 61010.0, 8849.0, -6013.0, -2375.0, -11000.0, -16901.0, 1000.0, 0.0, 6400.0 … -1436.0, 4500.0, 34739.0, -750.0, 40000.0, 172.0, 836.0, 6150.0, 14499.0, -5400.0], \"CATE\", false, \"regression\", CausalELM.relu, 9915, 100, 6, 32, [NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN … NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN], 5)" + "RLearner([0.1282051282051282 0.11108932248259633 … 0.0 1.0; 0.6923076923076923 0.1186881066771252 … 0.0 1.0; … ; 0.20512820512820512 0.07500735366212374 … 0.0 1.0; 0.41025641025641024 0.11607755662319835 … 0.0 1.0], [0.0, 0.0, 1.0, 0.0, 0.0, 1.0, 1.0, 0.0, 0.0, 0.0 … 0.0, 1.0, 0.0, 1.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0], [-8900.0, -4800.0, 27500.0, -1650.0, -2000.0, 30740.0, 2859.0, -2150.0, 0.0, 11599.0 … 43599.0, -7200.0, 23309.0, 8774.0, 6500.0, -400.0, 22700.0, 7399.0, -5400.0, 1499.0], \"CATE\", false, \"regression\", CausalELM.swish, 9915, 100, 6, 32, [NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN … NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN], 5)" ] }, "metadata": {}, @@ -167,18 +167,37 @@ } ], "source": [ - "r_learner = RLearner(covariates, treatment, outcome)" + "r_learner = RLearner(covariates, treatment, outcome, activation=swish)" ] }, { "cell_type": "code", - "execution_count": 6, + "execution_count": 61, "metadata": {}, "outputs": [ { "data": { "text/plain": [ - "8823.500636214852" + "DoublyRobustLearner([0.6410256410256411 0.1558486126090793 … 0.0 1.0; 0.23076923076923078 0.06633003235611334 … 0.0 0.0; … ; 0.6153846153846154 0.06843808216491813 … 0.0 0.0; 0.7435897435897436 0.2292994411216786 … 0.0 1.0], [0.0, 0.0, 1.0, 1.0, 0.0, 0.0, 0.0, 0.0, 0.0, 1.0 … 0.0, 0.0, 0.0, 1.0, 0.0, 1.0, 0.0, 1.0, 0.0, 0.0], [100.0, 0.0, 14350.0, 4600.0, 84248.0, -1800.0, 1020.0, 2280.0, 14699.0, 881.0 … 367.0, -5600.0, -5400.0, 5674.0, 12211.0, 32500.0, 1152.0, 2182.0, 0.0, 330.0], \"CATE\", false, \"regression\", CausalELM.swish, 9915, 100, 6, 32, [NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN … NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN], 2)" + ] + }, + "metadata": {}, + "output_type": "display_data" + } + ], + "source": [ + "dre = DoublyRobustLearner(covariates, treatment, outcome, activation=swish)" + ] + }, + { + "cell_type": "code", + "execution_count": 62, + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "8804.269472283213" ] }, "metadata": {}, @@ -191,33 +210,33 @@ }, { "cell_type": "code", - "execution_count": 8, + "execution_count": 63, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "9915-element Vector{Float64}:\n", - " 4085.5839404080925\n", - " 15773.51315113084\n", - " 38901.80802040522\n", - " 3825.3848781869037\n", - " 11964.765726429632\n", - " 26765.991729444253\n", - " 16975.200557225948\n", - " 7452.263104809677\n", - " 1115.323329175054\n", - " 12363.569530065344\n", + " 1033.275328379404\n", + " 3897.6188907530145\n", + " 27094.516749605616\n", + " 8327.283149032586\n", + " 6781.702531736929\n", + " 50200.72898282418\n", + " 618.590315821573\n", + " 6647.26749174192\n", + " 4325.783318029439\n", + " 16617.629336705013\n", " ⋮\n", - " 11433.6140084084\n", - " 4800.764220118784\n", - " 2925.4867379282705\n", - " 39714.813007228164\n", - " 1647.2470272172372\n", - " 10061.73821939839\n", - " 14687.816324667367\n", - " 17992.791169984106\n", - " 434.7500362608628" + " 25103.616301146572\n", + " 40417.24987461999\n", + " 6976.012498684692\n", + " 8869.662932387795\n", + " -1030.3323016387612\n", + " 4912.327776140574\n", + " 2840.9932292653525\n", + " 3323.126233753097\n", + " 21356.54170795394" ] }, "metadata": {}, @@ -228,6 +247,45 @@ "estimate_causal_effect!(r_learner)" ] }, + { + "cell_type": "code", + "execution_count": 64, + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "9915-element Vector{Float64}:\n", + " 8651.259686332123\n", + " 2763.6426805062965\n", + " 4281.08620983512\n", + " 6996.106017505121\n", + " 37295.1224689869\n", + " 3425.2628336886887\n", + " 7259.653364085303\n", + " 3931.840707261489\n", + " 3390.6489181977217\n", + " 396.19186564028234\n", + " ⋮\n", + " 13778.740930336877\n", + " 13824.272936865971\n", + " 770.8718719469387\n", + " 5661.227928432385\n", + " 10218.778717409776\n", + " 3707.70741363045\n", + " 2089.690748271022\n", + " 3767.843767168565\n", + " 17841.535784697724" + ] + }, + "metadata": {}, + "output_type": "display_data" + } + ], + "source": [ + "estimate_causal_effect!(dre)" + ] + }, { "cell_type": "code", "execution_count": 9, From 84008b54b0249674e0bb95c28a5218a5a5f3c759 Mon Sep 17 00:00:00 2001 From: Darren Colby Date: Tue, 2 Jul 2024 19:09:59 -0500 Subject: [PATCH 16/24] Made swish the default activation function --- docs/src/release_notes.md | 1 + src/estimators.jl | 14 ++-- src/metalearners.jl | 20 ++--- testing.ipynb | 171 ++++++++++++++++++++++++-------------- 4 files changed, 128 insertions(+), 78 deletions(-) diff --git a/docs/src/release_notes.md b/docs/src/release_notes.md index 3197ca91..bd8f9cba 100644 --- a/docs/src/release_notes.md +++ b/docs/src/release_notes.md @@ -9,6 +9,7 @@ These release notes adhere to the [keep a changelog](https://keepachangelog.com/ * Calculate probabilities as the average label predicted by the ensemble instead of clipping [#71](https://github.com/dscolby/CausalELM.jl/issues/71) * Made calculation of p-values and standard errors optional and not executed by default in summarize methods [#65](https://github.com/dscolby/CausalELM.jl/issues/65) * Removed redundant W argument for double machine learning, R-learning, and doubly robust estimation [#68](https://github.com/dscolby/CausalELM.jl/issues/68) +* Use swish as the default activation function [#72](https://github.com/dscolby/CausalELM.jl/issues/72) ### Fixed * Applying the weight trick for R-learning [#70](https://github.com/dscolby/CausalELM.jl/issues/70) diff --git a/src/estimators.jl b/src/estimators.jl index 1f9b1bcc..22750a11 100644 --- a/src/estimators.jl +++ b/src/estimators.jl @@ -13,7 +13,7 @@ Initialize an interrupted time series estimator. - `Y₁::Any`: array or DataFrame of outcomes from the post-treatment period. # Keywords -- `activation::Function=relu`: activation function to use. +- `activation::Function=swish`: activation function to use. - `sample_size::Integer=size(X₀, 1)`: number of bootstrapped samples for the extreme learner. - `num_machines::Integer=100`: number of extreme learning machines for the ensemble. @@ -56,7 +56,7 @@ function InterruptedTimeSeries( Y₀, X₁, Y₁; - activation::Function=relu, + activation::Function=swish, sample_size::Integer=size(X₀, 1), num_machines::Integer=100, num_feats::Integer=Int(round(0.75 * size(X₀, 2))), @@ -102,7 +102,7 @@ Initialize a G-Computation estimator. # Keywords - `quantity_of_interest::String`: ATE for average treatment effect or ATT for average treatment effect on the treated. -- `activation::Function=relu`: activation function to use. +- `activation::Function=swish`: activation function to use. - `sample_size::Integer=size(X, 1)`: number of bootstrapped samples for the extreme learners. - `num_machines::Integer=100`: number of extreme learning machines for the ensemble. @@ -144,7 +144,7 @@ mutable struct GComputation <: CausalEstimator T, Y; quantity_of_interest::String="ATE", - activation::Function=relu, + activation::Function=swish, sample_size::Integer=size(X, 1), num_machines::Integer=100, num_feats::Integer=Int(round(0.75 * size(X, 2))), @@ -188,7 +188,7 @@ Initialize a double machine learning estimator with cross fitting. - `Y::Any`: array or DataFrame of outcomes. # Keywords -- `activation::Function=relu`: activation function to use. +- `activation::Function=swish`: activation function to use. - `sample_size::Integer=size(X, 1)`: number of bootstrapped samples for teh extreme learners. - `num_machines::Integer=100`: number of extreme learning machines for the ensemble. @@ -227,7 +227,7 @@ function DoubleMachineLearning( X, T, Y; - activation::Function=relu, + activation::Function=swish, sample_size::Integer=size(X, 1), num_machines::Integer=100, num_feats::Integer=Int(round(0.75 * size(X, 2))), @@ -236,7 +236,7 @@ function DoubleMachineLearning( ) # Convert to arrays X, T, Y = Matrix{Float64}(X), T[:, 1], Y[:, 1] - + # Shuffle data with random indices indices = shuffle(1:length(Y)) X, T, Y = X[indices, :], T[indices], Y[indices] diff --git a/src/metalearners.jl b/src/metalearners.jl index f5eeeb59..7de65bc1 100644 --- a/src/metalearners.jl +++ b/src/metalearners.jl @@ -12,7 +12,7 @@ Initialize a S-Learner. - `Y::Any`: an array or DataFrame of outcomes. # Keywords -- `activation::Function=relu`: the activation function to use. +- `activation::Function=swish`: the activation function to use. - `sample_size::Integer=size(X, 1)`: number of bootstrapped samples for eth extreme learners. - `num_machines::Integer=100`: number of extreme learning machines for the ensemble. @@ -51,7 +51,7 @@ mutable struct SLearner <: Metalearner X, T, Y; - activation::Function=relu, + activation::Function=swish, sample_size::Integer=size(X, 1), num_machines::Integer=100, num_feats::Integer=Int(round(0.75 * size(X, 2))), @@ -91,7 +91,7 @@ Initialize a T-Learner. - `Y::Any`: an array or DataFrame of outcomes. # Keywords -- `activation::Function=relu`: the activation function to use. +- `activation::Function=swish`: the activation function to use. - `sample_size::Integer=size(X, 1)`: number of bootstrapped samples for eth extreme learners. - `num_machines::Integer=100`: number of extreme learning machines for the ensemble. @@ -130,7 +130,7 @@ mutable struct TLearner <: Metalearner X, T, Y; - activation::Function=relu, + activation::Function=swish, sample_size::Integer=size(X, 1), num_machines::Integer=100, num_feats::Integer=Int(round(0.75 * size(X, 2))), @@ -169,7 +169,7 @@ Initialize an X-Learner. - `Y::Any`: an array or DataFrame of outcomes. # Keywords -- `activation::Function=relu`: the activation function to use. +- `activation::Function=swish`: the activation function to use. - `sample_size::Integer=size(X, 1)`: number of bootstrapped samples for eth extreme learners. - `num_machines::Integer=100`: number of extreme learning machines for the ensemble. @@ -209,7 +209,7 @@ mutable struct XLearner <: Metalearner X, T, Y; - activation::Function=relu, + activation::Function=swish, sample_size::Integer=size(X, 1), num_machines::Integer=100, num_feats::Integer=Int(round(0.75 * size(X, 2))), @@ -248,7 +248,7 @@ Initialize an R-Learner. - `Y::Any`: an array or DataFrame of outcomes. # Keywords -- `activation::Function=relu`: the activation function to use. +- `activation::Function=swish`: the activation function to use. - `sample_size::Integer=size(X, 1)`: number of bootstrapped samples for eth extreme learners. - `num_machines::Integer=100`: number of extreme learning machines for the ensemble. @@ -285,7 +285,7 @@ function RLearner( X, T, Y; - activation::Function=relu, + activation::Function=swish, sample_size::Integer=size(X, 1), num_machines::Integer=100, num_feats::Integer=Int(round(0.75 * size(X, 2))), @@ -330,7 +330,7 @@ Initialize a doubly robust CATE estimator. - `Y::Any`: an array or DataFrame of outcomes. # Keywords -- `activation::Function=relu`: the activation function to use. +- `activation::Function=swish`: the activation function to use. - `sample_size::Integer=size(X, 1)`: number of bootstrapped samples for eth extreme learners. - `num_machines::Integer=100`: number of extreme learning machines for the ensemble. @@ -370,7 +370,7 @@ function DoublyRobustLearner( X, T, Y; - activation::Function=relu, + activation::Function=swish, sample_size::Integer=size(X, 1), num_machines::Integer=100, num_feats::Integer=Int(round(0.75 * size(X, 2))), diff --git a/testing.ipynb b/testing.ipynb index 5da93ef0..4adbfbde 100644 --- a/testing.ipynb +++ b/testing.ipynb @@ -134,13 +134,13 @@ }, { "cell_type": "code", - "execution_count": 59, + "execution_count": 16, "metadata": {}, "outputs": [ { "data": { "text/plain": [ - "DoubleMachineLearning([0.46153846153846156 0.21734974017060496 … 0.0 1.0; 0.5897435897435898 0.05495636827139916 … 0.0 0.0; … ; 0.02564102564102564 0.11648200804000393 … 0.0 1.0; 0.6410256410256411 0.22411510932444356 … 1.0 1.0], [0.0, 0.0, 1.0, 0.0, 0.0, 1.0, 1.0, 0.0, 0.0, 0.0 … 0.0, 1.0, 1.0, 1.0, 0.0, 1.0, 0.0, 1.0, 0.0, 0.0], [18800.0, 500.0, 5600.0, 62535.0, -5100.0, 9145.0, 25999.0, 0.0, 2150.0, 5000.0 … 189000.0, 14400.0, 240.0, 249.0, -928.0, 107750.0, 0.0, 114335.0, 10500.0, 8849.0], \"ATE\", false, \"regression\", CausalELM.swish, 9915, 100, 6, 24, NaN, 5)" + "DoubleMachineLearning([0.46153846153846156 0.33966565349544076 … 1.0 1.0; 0.10256410256410256 0.08505735856456516 … 0.0 0.0; … ; 0.6923076923076923 0.042308069418570446 … 0.0 0.0; 0.10256410256410256 0.17147514462202176 … 1.0 1.0], [1.0, 0.0, 1.0, 1.0, 1.0, 0.0, 0.0, 0.0, 1.0, 0.0 … 0.0, 1.0, 1.0, 1.0, 1.0, 1.0, 0.0, 0.0, 0.0, 0.0], [14248.0, 2300.0, 0.0, 33748.0, -800.0, 25398.0, -1200.0, 120000.0, 15300.0, 100.0 … 60201.0, 51987.0, 9249.0, 6420.0, 3200.0, 99300.0, 19599.0, 8030.0, 4190.0, 8400.0], \"ATE\", false, \"regression\", CausalELM.swish, 9915, 50, 6, 24, NaN, 5)" ] }, "metadata": {}, @@ -148,18 +148,18 @@ } ], "source": [ - "dml = DoubleMachineLearning(covariates, treatment, outcome, activation=swish)" + "dml = DoubleMachineLearning(covariates, treatment, outcome, num_machines=50)" ] }, { "cell_type": "code", - "execution_count": 60, + "execution_count": 5, "metadata": {}, "outputs": [ { "data": { "text/plain": [ - "RLearner([0.1282051282051282 0.11108932248259633 … 0.0 1.0; 0.6923076923076923 0.1186881066771252 … 0.0 1.0; … ; 0.20512820512820512 0.07500735366212374 … 0.0 1.0; 0.41025641025641024 0.11607755662319835 … 0.0 1.0], [0.0, 0.0, 1.0, 0.0, 0.0, 1.0, 1.0, 0.0, 0.0, 0.0 … 0.0, 1.0, 0.0, 1.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0], [-8900.0, -4800.0, 27500.0, -1650.0, -2000.0, 30740.0, 2859.0, -2150.0, 0.0, 11599.0 … 43599.0, -7200.0, 23309.0, 8774.0, 6500.0, -400.0, 22700.0, 7399.0, -5400.0, 1499.0], \"CATE\", false, \"regression\", CausalELM.swish, 9915, 100, 6, 32, [NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN … NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN], 5)" + "RLearner([0.3333333333333333 0.09809785273065987 … 1.0 0.0; 0.1282051282051282 0.08584174919109716 … 0.0 1.0; … ; 0.48717948717948717 0.6506030002941465 … 1.0 1.0; 0.5128205128205128 0.07530150014707324 … 0.0 1.0], [1.0, 0.0, 1.0, 0.0, 1.0, 0.0, 0.0, 1.0, 0.0, 0.0 … 0.0, 0.0, 1.0, 0.0, 0.0, 0.0, 1.0, 1.0, 1.0, 0.0], [11000.0, 50.0, 157973.0, 100.0, -3700.0, 26000.0, 44.0, 32000.0, -6705.0, 10500.0 … 999.0, -18000.0, 46099.0, 920.0, -19950.0, 300.0, 11750.0, 182500.0, 47000.0, 499.0], \"CATE\", false, \"regression\", CausalELM.swish, 9915, 100, 6, 32, [NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN … NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN], 5)" ] }, "metadata": {}, @@ -167,18 +167,18 @@ } ], "source": [ - "r_learner = RLearner(covariates, treatment, outcome, activation=swish)" + "r_learner = RLearner(covariates, treatment, outcome)" ] }, { "cell_type": "code", - "execution_count": 61, + "execution_count": 6, "metadata": {}, "outputs": [ { "data": { "text/plain": [ - "DoublyRobustLearner([0.6410256410256411 0.1558486126090793 … 0.0 1.0; 0.23076923076923078 0.06633003235611334 … 0.0 0.0; … ; 0.6153846153846154 0.06843808216491813 … 0.0 0.0; 0.7435897435897436 0.2292994411216786 … 0.0 1.0], [0.0, 0.0, 1.0, 1.0, 0.0, 0.0, 0.0, 0.0, 0.0, 1.0 … 0.0, 0.0, 0.0, 1.0, 0.0, 1.0, 0.0, 1.0, 0.0, 0.0], [100.0, 0.0, 14350.0, 4600.0, 84248.0, -1800.0, 1020.0, 2280.0, 14699.0, 881.0 … 367.0, -5600.0, -5400.0, 5674.0, 12211.0, 32500.0, 1152.0, 2182.0, 0.0, 330.0], \"CATE\", false, \"regression\", CausalELM.swish, 9915, 100, 6, 32, [NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN … NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN], 2)" + "DoublyRobustLearner([0.8974358974358975 0.2030100990293166 … 0.0 1.0; 0.5897435897435898 0.2634326894793607 … 0.0 1.0; … ; 0.0 0.19087655652514954 … 0.0 0.0; 0.3333333333333333 0.32516668300813806 … 1.0 0.0], [0.0, 0.0, 0.0, 1.0, 0.0, 0.0, 1.0, 1.0, 0.0, 1.0 … 0.0, 0.0, 0.0, 0.0, 0.0, 1.0, 0.0, 0.0, 0.0, 1.0], [41649.0, 9000.0, 0.0, 16350.0, 6000.0, 700.0, 13059.0, 5930.0, 23397.0, 1323.0 … 24500.0, 8050.0, -11000.0, 35499.0, -2854.0, 197590.0, -1400.0, 7700.0, 12000.0, 42050.0], \"CATE\", false, \"regression\", CausalELM.swish, 9915, 100, 6, 32, [NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN … NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN], 2)" ] }, "metadata": {}, @@ -186,18 +186,18 @@ } ], "source": [ - "dre = DoublyRobustLearner(covariates, treatment, outcome, activation=swish)" + "dre = DoublyRobustLearner(covariates, treatment, outcome)" ] }, { "cell_type": "code", - "execution_count": 62, + "execution_count": 25, "metadata": {}, "outputs": [ { "data": { "text/plain": [ - "8804.269472283213" + "8868.651114858334" ] }, "metadata": {}, @@ -210,33 +210,33 @@ }, { "cell_type": "code", - "execution_count": 63, + "execution_count": 8, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "9915-element Vector{Float64}:\n", - " 1033.275328379404\n", - " 3897.6188907530145\n", - " 27094.516749605616\n", - " 8327.283149032586\n", - " 6781.702531736929\n", - " 50200.72898282418\n", - " 618.590315821573\n", - " 6647.26749174192\n", - " 4325.783318029439\n", - " 16617.629336705013\n", - " ⋮\n", - " 25103.616301146572\n", - " 40417.24987461999\n", - " 6976.012498684692\n", - " 8869.662932387795\n", - " -1030.3323016387612\n", - " 4912.327776140574\n", - " 2840.9932292653525\n", - " 3323.126233753097\n", - " 21356.54170795394" + " 7969.024541481493\n", + " 2551.07486621794\n", + " 48185.11603976369\n", + " 6562.417861484062\n", + " 12324.513387722585\n", + " 91413.60918565083\n", + " 103742.23330057286\n", + " 13234.161144429849\n", + " 16753.004994337723\n", + " 6429.458448880052\n", + " ⋮\n", + " 2331.601849423459\n", + " 50477.892771963685\n", + " 19942.337555990453\n", + " 12658.185171498155\n", + " -442.6517574940871\n", + " 72754.7346983037\n", + " 42410.30074258264\n", + " 64041.35045474993\n", + " 1374.0969545336325" ] }, "metadata": {}, @@ -249,33 +249,33 @@ }, { "cell_type": "code", - "execution_count": 64, + "execution_count": 9, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "9915-element Vector{Float64}:\n", - " 8651.259686332123\n", - " 2763.6426805062965\n", - " 4281.08620983512\n", - " 6996.106017505121\n", - " 37295.1224689869\n", - " 3425.2628336886887\n", - " 7259.653364085303\n", - " 3931.840707261489\n", - " 3390.6489181977217\n", - " 396.19186564028234\n", + " 13549.633020274861\n", + " 20881.59369086071\n", + " 1879.2141524564345\n", + " 4752.192233979611\n", + " 9972.464441326127\n", + " 5368.174090907391\n", + " 8080.56176700674\n", + " 11685.092957657413\n", + " -1689.8961993687453\n", + " 4964.903827056494\n", " ⋮\n", - " 13778.740930336877\n", - " 13824.272936865971\n", - " 770.8718719469387\n", - " 5661.227928432385\n", - " 10218.778717409776\n", - " 3707.70741363045\n", - " 2089.690748271022\n", - " 3767.843767168565\n", - " 17841.535784697724" + " 12745.035572594325\n", + " 13779.898140138454\n", + " 15285.34382394138\n", + " 7686.997478984806\n", + " 10874.155814573602\n", + " 9104.438679085306\n", + " 5974.4691837941145\n", + " -39.615643944068324\n", + " -9482.093434774426" ] }, "metadata": {}, @@ -288,18 +288,18 @@ }, { "cell_type": "code", - "execution_count": 9, + "execution_count": 10, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "Dict{Any, Any} with 11 entries:\n", - " \"Activation Function\" => relu\n", + " \"Activation Function\" => swish\n", " \"Quantity of Interest\" => \"ATE\"\n", " \"Sample Size\" => 9915\n", " \"Number of Machines\" => 100\n", - " \"Causal Effect\" => 8823.5\n", + " \"Causal Effect\" => 8701.76\n", " \"Number of Neurons\" => 24\n", " \"Task\" => \"regression\"\n", " \"Time Series/Panel Data\" => false\n", @@ -318,18 +318,18 @@ }, { "cell_type": "code", - "execution_count": 10, + "execution_count": 11, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "Dict{Any, Any} with 11 entries:\n", - " \"Activation Function\" => relu\n", + " \"Activation Function\" => swish\n", " \"Quantity of Interest\" => \"CATE\"\n", " \"Sample Size\" => 9915\n", " \"Number of Machines\" => 100\n", - " \"Causal Effect\" => [4085.58, 15773.5, 38901.8, 3825.38, 11964.8, 267…\n", + " \"Causal Effect\" => [7969.02, 2551.07, 48185.1, 6562.42, 12324.5, 914…\n", " \"Number of Neurons\" => 32\n", " \"Task\" => \"regression\"\n", " \"Time Series/Panel Data\" => false\n", @@ -354,7 +354,18 @@ { "data": { "text/plain": [ - "(Dict(\"0.1 Standard Deviations from Observed Outcomes\" => -8079.331571957283, \"0.075 Standard Deviations from Observed Outcomes\" => -6089.203934396697, \"0.025 Standard Deviations from Observed Outcomes\" => -7522.457852582857, \"0.05 Standard Deviations from Observed Outcomes\" => -12933.100480526482), 2.6894381997142496, Matrix{Float64}(undef, 0, 9))" + "Dict{Any, Any} with 11 entries:\n", + " \"Activation Function\" => swish\n", + " \"Quantity of Interest\" => \"CATE\"\n", + " \"Sample Size\" => 9915\n", + " \"Number of Machines\" => 100\n", + " \"Causal Effect\" => [13549.6, 20881.6, 1879.21, 4752.19, 9972.46, 536…\n", + " \"Number of Neurons\" => 32\n", + " \"Task\" => \"regression\"\n", + " \"Time Series/Panel Data\" => false\n", + " \"Standard Error\" => NaN\n", + " \"p-value\" => NaN\n", + " \"Number of Features\" => 6" ] }, "metadata": {}, @@ -362,7 +373,7 @@ } ], "source": [ - "validate(dml)" + "summarise(dre)" ] }, { @@ -373,7 +384,26 @@ { "data": { "text/plain": [ - "(Dict(\"0.1 Standard Deviations from Observed Outcomes\" => 155340.94980401796, \"0.075 Standard Deviations from Observed Outcomes\" => 559571.3301919985, \"0.025 Standard Deviations from Observed Outcomes\" => 274961.5431470514, \"0.05 Standard Deviations from Observed Outcomes\" => 345062.1310616215), 2.8689322412325833, Matrix{Float64}(undef, 0, 9))" + "(Dict(\"0.1 Standard Deviations from Observed Outcomes\" => -1974.20426849962, \"0.075 Standard Deviations from Observed Outcomes\" => -549.8183509860896, \"0.025 Standard Deviations from Observed Outcomes\" => -4377.799707458391, \"0.05 Standard Deviations from Observed Outcomes\" => -2591.878868163885), 2.7460736072464016, Matrix{Float64}(undef, 0, 9))" + ] + }, + "metadata": {}, + "output_type": "display_data" + } + ], + "source": [ + "validate(dml)" + ] + }, + { + "cell_type": "code", + "execution_count": 14, + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "(Dict(\"0.1 Standard Deviations from Observed Outcomes\" => 248206.3227597734, \"0.075 Standard Deviations from Observed Outcomes\" => 404160.7518203919, \"0.025 Standard Deviations from Observed Outcomes\" => 322479.1870944485, \"0.05 Standard Deviations from Observed Outcomes\" => 155068.1882045497), 2.5694922346983624, Matrix{Float64}(undef, 0, 9))" ] }, "metadata": {}, @@ -383,6 +413,25 @@ "source": [ "validate(r_learner)" ] + }, + { + "cell_type": "code", + "execution_count": 15, + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "(Dict(\"0.1 Standard Deviations from Observed Outcomes\" => 430.7554873780964, \"0.075 Standard Deviations from Observed Outcomes\" => -4156.750735846773, \"0.025 Standard Deviations from Observed Outcomes\" => -5301.764975883297, \"0.05 Standard Deviations from Observed Outcomes\" => -6012.136217190272), 2.5976021674608534, Matrix{Float64}(undef, 0, 9))" + ] + }, + "metadata": {}, + "output_type": "display_data" + } + ], + "source": [ + "validate(dre)" + ] } ], "metadata": { From bfc9795cefbb19996a74123d112ef48d696ba7de Mon Sep 17 00:00:00 2001 From: Darren Colby Date: Thu, 4 Jul 2024 10:51:54 -0500 Subject: [PATCH 17/24] Changed the default number of machines to 50 --- src/estimators.jl | 12 ++--- src/metalearners.jl | 20 ++++---- testing.ipynb | 120 ++++++++++++++++++++++---------------------- 3 files changed, 76 insertions(+), 76 deletions(-) diff --git a/src/estimators.jl b/src/estimators.jl index 22750a11..02afe8e0 100644 --- a/src/estimators.jl +++ b/src/estimators.jl @@ -16,7 +16,7 @@ Initialize an interrupted time series estimator. - `activation::Function=swish`: activation function to use. - `sample_size::Integer=size(X₀, 1)`: number of bootstrapped samples for the extreme learner. -- `num_machines::Integer=100`: number of extreme learning machines for the ensemble. +- `num_machines::Integer=50`: number of extreme learning machines for the ensemble. - `num_feats::Integer=Int(round(0.75 * size(X₀, 2)))`: number of features to bootstrap for each learner in the ensemble. - `num_neurons::Integer`: number of neurons to use in the extreme learning machines. @@ -58,7 +58,7 @@ function InterruptedTimeSeries( Y₁; activation::Function=swish, sample_size::Integer=size(X₀, 1), - num_machines::Integer=100, + num_machines::Integer=50, num_feats::Integer=Int(round(0.75 * size(X₀, 2))), num_neurons::Integer=round(Int, log10(size(X₀, 1)) * size(X₀, 2)), autoregression::Bool=true, @@ -105,7 +105,7 @@ Initialize a G-Computation estimator. - `activation::Function=swish`: activation function to use. - `sample_size::Integer=size(X, 1)`: number of bootstrapped samples for the extreme learners. -- `num_machines::Integer=100`: number of extreme learning machines for the ensemble. +- `num_machines::Integer=50`: number of extreme learning machines for the ensemble. - `num_feats::Integer=Int(round(0.75 * size(X, 2)))`: number of features to bootstrap for each learner in the ensemble. - `num_neurons::Integer`: number of neurons to use in the extreme learning machines. @@ -146,7 +146,7 @@ mutable struct GComputation <: CausalEstimator quantity_of_interest::String="ATE", activation::Function=swish, sample_size::Integer=size(X, 1), - num_machines::Integer=100, + num_machines::Integer=50, num_feats::Integer=Int(round(0.75 * size(X, 2))), num_neurons::Integer=round(Int, log10(size(X, 1)) * size(X, 2)), temporal::Bool=true, @@ -191,7 +191,7 @@ Initialize a double machine learning estimator with cross fitting. - `activation::Function=swish`: activation function to use. - `sample_size::Integer=size(X, 1)`: number of bootstrapped samples for teh extreme learners. -- `num_machines::Integer=100`: number of extreme learning machines for the ensemble. +- `num_machines::Integer=50`: number of extreme learning machines for the ensemble. - `num_feats::Integer=Int(round(0.75, * size(X, 2)))`: number of features to bootstrap for each learner in the ensemble. - `num_neurons::Integer`: number of neurons to use in the extreme learning machines. @@ -229,7 +229,7 @@ function DoubleMachineLearning( Y; activation::Function=swish, sample_size::Integer=size(X, 1), - num_machines::Integer=100, + num_machines::Integer=50, num_feats::Integer=Int(round(0.75 * size(X, 2))), num_neurons::Integer=round(Int, log10(size(X, 1)) * num_feats), folds::Integer=5, diff --git a/src/metalearners.jl b/src/metalearners.jl index 7de65bc1..68ccfec6 100644 --- a/src/metalearners.jl +++ b/src/metalearners.jl @@ -15,7 +15,7 @@ Initialize a S-Learner. - `activation::Function=swish`: the activation function to use. - `sample_size::Integer=size(X, 1)`: number of bootstrapped samples for eth extreme learners. -- `num_machines::Integer=100`: number of extreme learning machines for the ensemble. +- `num_machines::Integer=50`: number of extreme learning machines for the ensemble. - `num_feats::Integer=Int(round(0.75 * size(X, 2)))`: number of features to bootstrap for each learner in the ensemble. - `num_neurons::Integer`: number of neurons to use in the extreme learning machines. @@ -53,7 +53,7 @@ mutable struct SLearner <: Metalearner Y; activation::Function=swish, sample_size::Integer=size(X, 1), - num_machines::Integer=100, + num_machines::Integer=50, num_feats::Integer=Int(round(0.75 * size(X, 2))), num_neurons::Integer=round(Int, log10(size(X, 1)) * size(X, 2)), ) @@ -94,7 +94,7 @@ Initialize a T-Learner. - `activation::Function=swish`: the activation function to use. - `sample_size::Integer=size(X, 1)`: number of bootstrapped samples for eth extreme learners. -- `num_machines::Integer=100`: number of extreme learning machines for the ensemble. +- `num_machines::Integer=50`: number of extreme learning machines for the ensemble. - `num_feats::Integer=Int(round(0.75 * size(X, 2)))`: number of features to bootstrap for each learner in the ensemble. - `num_neurons::Integer`: number of neurons to use in the extreme learning machines. @@ -132,7 +132,7 @@ mutable struct TLearner <: Metalearner Y; activation::Function=swish, sample_size::Integer=size(X, 1), - num_machines::Integer=100, + num_machines::Integer=50, num_feats::Integer=Int(round(0.75 * size(X, 2))), num_neurons::Integer=round(Int, log10(size(X, 1)) * size(X, 2)), ) @@ -172,7 +172,7 @@ Initialize an X-Learner. - `activation::Function=swish`: the activation function to use. - `sample_size::Integer=size(X, 1)`: number of bootstrapped samples for eth extreme learners. -- `num_machines::Integer=100`: number of extreme learning machines for the ensemble. +- `num_machines::Integer=50`: number of extreme learning machines for the ensemble. - `num_feats::Integer=Int(round(0.75 * size(X, 2)))`: number of features to bootstrap for each learner in the ensemble. - `num_neurons::Integer`: number of neurons to use in the extreme learning machines. @@ -211,7 +211,7 @@ mutable struct XLearner <: Metalearner Y; activation::Function=swish, sample_size::Integer=size(X, 1), - num_machines::Integer=100, + num_machines::Integer=50, num_feats::Integer=Int(round(0.75 * size(X, 2))), num_neurons::Integer=round(Int, log10(size(X, 1)) * size(X, 2)), ) @@ -251,7 +251,7 @@ Initialize an R-Learner. - `activation::Function=swish`: the activation function to use. - `sample_size::Integer=size(X, 1)`: number of bootstrapped samples for eth extreme learners. -- `num_machines::Integer=100`: number of extreme learning machines for the ensemble. +- `num_machines::Integer=50`: number of extreme learning machines for the ensemble. - `num_feats::Integer=Int(round(0.75 * size(X, 2)))`: number of features to bootstrap for each learner in the ensemble. - `num_neurons::Integer`: number of neurons to use in the extreme learning machines. @@ -287,7 +287,7 @@ function RLearner( Y; activation::Function=swish, sample_size::Integer=size(X, 1), - num_machines::Integer=100, + num_machines::Integer=50, num_feats::Integer=Int(round(0.75 * size(X, 2))), num_neurons::Integer=round(Int, log10(size(X, 1)) * size(X, 2)), folds::Integer=5, @@ -333,7 +333,7 @@ Initialize a doubly robust CATE estimator. - `activation::Function=swish`: the activation function to use. - `sample_size::Integer=size(X, 1)`: number of bootstrapped samples for eth extreme learners. -- `num_machines::Integer=100`: number of extreme learning machines for the ensemble. +- `num_machines::Integer=50`: number of extreme learning machines for the ensemble. - `num_feats::Integer=Int(round(0.75 * size(X, 2)))`: number of features to bootstrap for each learner in the ensemble. - `num_neurons::Integer`: number of neurons to use in the extreme learning machines. @@ -372,7 +372,7 @@ function DoublyRobustLearner( Y; activation::Function=swish, sample_size::Integer=size(X, 1), - num_machines::Integer=100, + num_machines::Integer=50, num_feats::Integer=Int(round(0.75 * size(X, 2))), num_neurons::Integer=round(Int, log10(size(X, 1)) * size(X, 2)), ) diff --git a/testing.ipynb b/testing.ipynb index 4adbfbde..df9f6150 100644 --- a/testing.ipynb +++ b/testing.ipynb @@ -134,13 +134,13 @@ }, { "cell_type": "code", - "execution_count": 16, + "execution_count": 4, "metadata": {}, "outputs": [ { "data": { "text/plain": [ - "DoubleMachineLearning([0.46153846153846156 0.33966565349544076 … 1.0 1.0; 0.10256410256410256 0.08505735856456516 … 0.0 0.0; … ; 0.6923076923076923 0.042308069418570446 … 0.0 0.0; 0.10256410256410256 0.17147514462202176 … 1.0 1.0], [1.0, 0.0, 1.0, 1.0, 1.0, 0.0, 0.0, 0.0, 1.0, 0.0 … 0.0, 1.0, 1.0, 1.0, 1.0, 1.0, 0.0, 0.0, 0.0, 0.0], [14248.0, 2300.0, 0.0, 33748.0, -800.0, 25398.0, -1200.0, 120000.0, 15300.0, 100.0 … 60201.0, 51987.0, 9249.0, 6420.0, 3200.0, 99300.0, 19599.0, 8030.0, 4190.0, 8400.0], \"ATE\", false, \"regression\", CausalELM.swish, 9915, 50, 6, 24, NaN, 5)" + "DoubleMachineLearning([0.46153846153846156 0.08584174919109716 … 0.0 0.0; 0.3076923076923077 0.18640307873320913 … 0.0 1.0; … ; 0.6410256410256411 0.20710363761153056 … 0.0 1.0; 0.4358974358974359 0.16062849298950876 … 0.0 1.0], [0.0, 1.0, 1.0, 1.0, 1.0, 0.0, 1.0, 0.0, 0.0, 1.0 … 0.0, 1.0, 0.0, 0.0, 0.0, 0.0, 1.0, 1.0, 1.0, 0.0], [300.0, 37144.0, 13370.0, 69849.0, 20249.0, 0.0, 60196.0, 0.0, -2700.0, -4490.0 … -2580.0, 90090.0, 0.0, -600.0, 0.0, -100.0, 5911.0, 5800.0, 17199.0, 1500.0], \"ATE\", false, \"regression\", CausalELM.swish, 9915, 50, 6, 24, NaN, 5)" ] }, "metadata": {}, @@ -148,7 +148,7 @@ } ], "source": [ - "dml = DoubleMachineLearning(covariates, treatment, outcome, num_machines=50)" + "dml = DoubleMachineLearning(covariates, treatment, outcome)" ] }, { @@ -159,7 +159,7 @@ { "data": { "text/plain": [ - "RLearner([0.3333333333333333 0.09809785273065987 … 1.0 0.0; 0.1282051282051282 0.08584174919109716 … 0.0 1.0; … ; 0.48717948717948717 0.6506030002941465 … 1.0 1.0; 0.5128205128205128 0.07530150014707324 … 0.0 1.0], [1.0, 0.0, 1.0, 0.0, 1.0, 0.0, 0.0, 1.0, 0.0, 0.0 … 0.0, 0.0, 1.0, 0.0, 0.0, 0.0, 1.0, 1.0, 1.0, 0.0], [11000.0, 50.0, 157973.0, 100.0, -3700.0, 26000.0, 44.0, 32000.0, -6705.0, 10500.0 … 999.0, -18000.0, 46099.0, 920.0, -19950.0, 300.0, 11750.0, 182500.0, 47000.0, 499.0], \"CATE\", false, \"regression\", CausalELM.swish, 9915, 100, 6, 32, [NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN … NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN], 5)" + "RLearner([0.10256410256410256 0.08378272379645063 … 0.0 0.0; 0.5897435897435898 0.3204971075595647 … 0.0 0.0; … ; 0.4358974358974359 0.08663839592116875 … 0.0 0.0; 0.8717948717948718 0.0914182763015982 … 1.0 1.0], [0.0, 1.0, 0.0, 0.0, 1.0, 0.0, 0.0, 1.0, 0.0, 0.0 … 0.0, 0.0, 1.0, 1.0, 0.0, 0.0, 0.0, 1.0, 1.0, 0.0], [0.0, -950.0, 3100.0, 35000.0, 1300.0, 215121.0, -1398.0, 5999.0, -661.0, 1900.0 … -1984.0, 2700.0, -700.0, 0.0, 193048.0, 47870.0, 200.0, 15123.0, 4764.0, 8800.0], \"CATE\", false, \"regression\", CausalELM.swish, 9915, 50, 6, 32, [NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN … NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN], 5)" ] }, "metadata": {}, @@ -178,7 +178,7 @@ { "data": { "text/plain": [ - "DoublyRobustLearner([0.8974358974358975 0.2030100990293166 … 0.0 1.0; 0.5897435897435898 0.2634326894793607 … 0.0 1.0; … ; 0.0 0.19087655652514954 … 0.0 0.0; 0.3333333333333333 0.32516668300813806 … 1.0 0.0], [0.0, 0.0, 0.0, 1.0, 0.0, 0.0, 1.0, 1.0, 0.0, 1.0 … 0.0, 0.0, 0.0, 0.0, 0.0, 1.0, 0.0, 0.0, 0.0, 1.0], [41649.0, 9000.0, 0.0, 16350.0, 6000.0, 700.0, 13059.0, 5930.0, 23397.0, 1323.0 … 24500.0, 8050.0, -11000.0, 35499.0, -2854.0, 197590.0, -1400.0, 7700.0, 12000.0, 42050.0], \"CATE\", false, \"regression\", CausalELM.swish, 9915, 100, 6, 32, [NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN … NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN], 2)" + "DoublyRobustLearner([0.23076923076923078 0.16685459358760663 … 0.0 1.0; 0.5128205128205128 0.29113148347877243 … 0.0 1.0; … ; 0.7692307692307693 0.14295519168545937 … 0.0 0.0; 0.07692307692307693 0.28951367781155013 … 1.0 1.0], [1.0, 1.0, 0.0, 0.0, 1.0, 1.0, 0.0, 0.0, 0.0, 0.0 … 1.0, 0.0, 1.0, 1.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0], [11612.0, 42800.0, 13259.0, 250.0, 24082.0, 12625.0, 55798.0, 3500.0, -2400.0, 7799.0 … 17250.0, 5800.0, 4800.0, 40000.0, 500.0, -838.0, 2200.0, 30000.0, 2000.0, 8215.0], \"CATE\", false, \"regression\", CausalELM.swish, 9915, 50, 6, 32, [NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN … NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN], 2)" ] }, "metadata": {}, @@ -191,13 +191,13 @@ }, { "cell_type": "code", - "execution_count": 25, + "execution_count": 7, "metadata": {}, "outputs": [ { "data": { "text/plain": [ - "8868.651114858334" + "8827.025868803601" ] }, "metadata": {}, @@ -210,33 +210,33 @@ }, { "cell_type": "code", - "execution_count": 8, + "execution_count": 29, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "9915-element Vector{Float64}:\n", - " 7969.024541481493\n", - " 2551.07486621794\n", - " 48185.11603976369\n", - " 6562.417861484062\n", - " 12324.513387722585\n", - " 91413.60918565083\n", - " 103742.23330057286\n", - " 13234.161144429849\n", - " 16753.004994337723\n", - " 6429.458448880052\n", - " ⋮\n", - " 2331.601849423459\n", - " 50477.892771963685\n", - " 19942.337555990453\n", - " 12658.185171498155\n", - " -442.6517574940871\n", - " 72754.7346983037\n", - " 42410.30074258264\n", - " 64041.35045474993\n", - " 1374.0969545336325" + " 7747.118317906293\n", + " 26286.490258618072\n", + " 8666.249989485457\n", + " 9263.72951065164\n", + " 14880.326505438767\n", + " 59651.26252305487\n", + " 12448.653940807431\n", + " 43502.12626507074\n", + " 899.6983325187213\n", + " 58011.1749411745\n", + " ⋮\n", + " 6192.148116818378\n", + " 2102.7400706180097\n", + " -1209.483929190882\n", + " 13060.178335944407\n", + " 57673.322778342495\n", + " 20762.829006962143\n", + " 18279.832155472883\n", + " -3347.576596640622\n", + " 7986.728775314042" ] }, "metadata": {}, @@ -249,33 +249,33 @@ }, { "cell_type": "code", - "execution_count": 9, + "execution_count": 25, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "9915-element Vector{Float64}:\n", - " 13549.633020274861\n", - " 20881.59369086071\n", - " 1879.2141524564345\n", - " 4752.192233979611\n", - " 9972.464441326127\n", - " 5368.174090907391\n", - " 8080.56176700674\n", - " 11685.092957657413\n", - " -1689.8961993687453\n", - " 4964.903827056494\n", + " 6774.687311613728\n", + " 10651.616074966516\n", + " 19747.889983368274\n", + " 1835.3769697591927\n", + " 11821.419034557937\n", + " 10363.731312035588\n", + " 17738.134313708655\n", + " 18865.895182406108\n", + " 10442.595186162447\n", + " 3790.4942556045075\n", " ⋮\n", - " 12745.035572594325\n", - " 13779.898140138454\n", - " 15285.34382394138\n", - " 7686.997478984806\n", - " 10874.155814573602\n", - " 9104.438679085306\n", - " 5974.4691837941145\n", - " -39.615643944068324\n", - " -9482.093434774426" + " 9123.602310105096\n", + " 6986.459059170177\n", + " 13180.42248564561\n", + " 2185.110731523216\n", + " 10060.56209828231\n", + " 3720.743405301854\n", + " 1940.2856228519586\n", + " 11542.412496562512\n", + " 16724.622881779775" ] }, "metadata": {}, @@ -288,7 +288,7 @@ }, { "cell_type": "code", - "execution_count": 10, + "execution_count": 26, "metadata": {}, "outputs": [ { @@ -298,8 +298,8 @@ " \"Activation Function\" => swish\n", " \"Quantity of Interest\" => \"ATE\"\n", " \"Sample Size\" => 9915\n", - " \"Number of Machines\" => 100\n", - " \"Causal Effect\" => 8701.76\n", + " \"Number of Machines\" => 50\n", + " \"Causal Effect\" => 8827.03\n", " \"Number of Neurons\" => 24\n", " \"Task\" => \"regression\"\n", " \"Time Series/Panel Data\" => false\n", @@ -318,7 +318,7 @@ }, { "cell_type": "code", - "execution_count": 11, + "execution_count": 27, "metadata": {}, "outputs": [ { @@ -328,8 +328,8 @@ " \"Activation Function\" => swish\n", " \"Quantity of Interest\" => \"CATE\"\n", " \"Sample Size\" => 9915\n", - " \"Number of Machines\" => 100\n", - " \"Causal Effect\" => [7969.02, 2551.07, 48185.1, 6562.42, 12324.5, 914…\n", + " \"Number of Machines\" => 50\n", + " \"Causal Effect\" => [10990.0, 39367.2, 11478.9, 19184.2, 22416.1, 863…\n", " \"Number of Neurons\" => 32\n", " \"Task\" => \"regression\"\n", " \"Time Series/Panel Data\" => false\n", @@ -348,7 +348,7 @@ }, { "cell_type": "code", - "execution_count": 12, + "execution_count": 28, "metadata": {}, "outputs": [ { @@ -358,8 +358,8 @@ " \"Activation Function\" => swish\n", " \"Quantity of Interest\" => \"CATE\"\n", " \"Sample Size\" => 9915\n", - " \"Number of Machines\" => 100\n", - " \"Causal Effect\" => [13549.6, 20881.6, 1879.21, 4752.19, 9972.46, 536…\n", + " \"Number of Machines\" => 50\n", + " \"Causal Effect\" => [6774.69, 10651.6, 19747.9, 1835.38, 11821.4, 103…\n", " \"Number of Neurons\" => 32\n", " \"Task\" => \"regression\"\n", " \"Time Series/Panel Data\" => false\n", @@ -384,7 +384,7 @@ { "data": { "text/plain": [ - "(Dict(\"0.1 Standard Deviations from Observed Outcomes\" => -1974.20426849962, \"0.075 Standard Deviations from Observed Outcomes\" => -549.8183509860896, \"0.025 Standard Deviations from Observed Outcomes\" => -4377.799707458391, \"0.05 Standard Deviations from Observed Outcomes\" => -2591.878868163885), 2.7460736072464016, Matrix{Float64}(undef, 0, 9))" + "(Dict(\"0.1 Standard Deviations from Observed Outcomes\" => -2682.7414393481836, \"0.075 Standard Deviations from Observed Outcomes\" => -2672.3903159918054, \"0.025 Standard Deviations from Observed Outcomes\" => -3261.943651476002, \"0.05 Standard Deviations from Observed Outcomes\" => -2674.9276432418974), 2.8842437581406246, Matrix{Float64}(undef, 0, 9))" ] }, "metadata": {}, @@ -403,7 +403,7 @@ { "data": { "text/plain": [ - "(Dict(\"0.1 Standard Deviations from Observed Outcomes\" => 248206.3227597734, \"0.075 Standard Deviations from Observed Outcomes\" => 404160.7518203919, \"0.025 Standard Deviations from Observed Outcomes\" => 322479.1870944485, \"0.05 Standard Deviations from Observed Outcomes\" => 155068.1882045497), 2.5694922346983624, Matrix{Float64}(undef, 0, 9))" + "(Dict(\"0.1 Standard Deviations from Observed Outcomes\" => 512573.4871936093, \"0.075 Standard Deviations from Observed Outcomes\" => 495783.64847648796, \"0.025 Standard Deviations from Observed Outcomes\" => 360783.2222331428, \"0.05 Standard Deviations from Observed Outcomes\" => 425466.98825960315), 2.675101445836959, Matrix{Float64}(undef, 0, 9))" ] }, "metadata": {}, @@ -422,7 +422,7 @@ { "data": { "text/plain": [ - "(Dict(\"0.1 Standard Deviations from Observed Outcomes\" => 430.7554873780964, \"0.075 Standard Deviations from Observed Outcomes\" => -4156.750735846773, \"0.025 Standard Deviations from Observed Outcomes\" => -5301.764975883297, \"0.05 Standard Deviations from Observed Outcomes\" => -6012.136217190272), 2.5976021674608534, Matrix{Float64}(undef, 0, 9))" + "(Dict(\"0.1 Standard Deviations from Observed Outcomes\" => -790.4487752142695, \"0.075 Standard Deviations from Observed Outcomes\" => -889.7583038917528, \"0.025 Standard Deviations from Observed Outcomes\" => -5344.096990393928, \"0.05 Standard Deviations from Observed Outcomes\" => -4655.145480475103), 2.468297297302549, Matrix{Float64}(undef, 0, 9))" ] }, "metadata": {}, From cb0845fb1e69f0e74656d17d9b52972d7875877f Mon Sep 17 00:00:00 2001 From: Darren Colby Date: Thu, 4 Jul 2024 16:03:16 -0500 Subject: [PATCH 18/24] Changed how noise is calculated to test counterfactual consistency --- docs/src/release_notes.md | 1 + src/model_validation.jl | 6 +- testing.ipynb | 114 +++++++++++++++++++------------------- 3 files changed, 61 insertions(+), 60 deletions(-) diff --git a/docs/src/release_notes.md b/docs/src/release_notes.md index bd8f9cba..4965a235 100644 --- a/docs/src/release_notes.md +++ b/docs/src/release_notes.md @@ -10,6 +10,7 @@ These release notes adhere to the [keep a changelog](https://keepachangelog.com/ * Made calculation of p-values and standard errors optional and not executed by default in summarize methods [#65](https://github.com/dscolby/CausalELM.jl/issues/65) * Removed redundant W argument for double machine learning, R-learning, and doubly robust estimation [#68](https://github.com/dscolby/CausalELM.jl/issues/68) * Use swish as the default activation function [#72](https://github.com/dscolby/CausalELM.jl/issues/72) +* Implemented noise as a function of each observation instead of the variance of the outcome when testing the sensitivity of the counterfactual consistency assumption [#74](https://github.com/dscolby/CausalELM.jl/issues/74) ### Fixed * Applying the weight trick for R-learning [#70](https://github.com/dscolby/CausalELM.jl/issues/70) diff --git a/src/model_validation.jl b/src/model_validation.jl index c0e4cbe1..30e0d8ba 100644 --- a/src/model_validation.jl +++ b/src/model_validation.jl @@ -432,10 +432,10 @@ function simulate_counterfactual_violations(y::Vector{<:Real}, dev::Float64) min_y, max_y = minimum(y), maximum(y) if var_type(y) isa Continuous - violations = (sqrt(var(y)) * dev) * randn(length(y)) - counterfactual_Y = y .+ violations + violations = dev .* randn(length(y)) + counterfactual_Y = y .+ (violations .* y) else - counterfactual_Y = ifelse.(rand() > dev, Float64(rand(min_y:max_y)), y) + counterfactual_Y = ifelse.(rand() < dev, Float64(rand(min_y:max_y)), y) end return counterfactual_Y end diff --git a/testing.ipynb b/testing.ipynb index df9f6150..9983e195 100644 --- a/testing.ipynb +++ b/testing.ipynb @@ -140,7 +140,7 @@ { "data": { "text/plain": [ - "DoubleMachineLearning([0.46153846153846156 0.08584174919109716 … 0.0 0.0; 0.3076923076923077 0.18640307873320913 … 0.0 1.0; … ; 0.6410256410256411 0.20710363761153056 … 0.0 1.0; 0.4358974358974359 0.16062849298950876 … 0.0 1.0], [0.0, 1.0, 1.0, 1.0, 1.0, 0.0, 1.0, 0.0, 0.0, 1.0 … 0.0, 1.0, 0.0, 0.0, 0.0, 0.0, 1.0, 1.0, 1.0, 0.0], [300.0, 37144.0, 13370.0, 69849.0, 20249.0, 0.0, 60196.0, 0.0, -2700.0, -4490.0 … -2580.0, 90090.0, 0.0, -600.0, 0.0, -100.0, 5911.0, 5800.0, 17199.0, 1500.0], \"ATE\", false, \"regression\", CausalELM.swish, 9915, 50, 6, 24, NaN, 5)" + "DoubleMachineLearning([0.15384615384615385 0.18468722423767037 … 0.0 0.0; 0.10256410256410256 0.2869031277576233 … 1.0 0.0; … ; 0.46153846153846156 0.6448671438376311 … 1.0 1.0; 0.48717948717948717 0.14913226786939895 … 0.0 1.0], [0.0, 0.0, 0.0, 0.0, 1.0, 1.0, 0.0, 0.0, 0.0, 0.0 … 0.0, 1.0, 0.0, 1.0, 1.0, 0.0, 0.0, 1.0, 1.0, 1.0], [-101436.0, 72450.0, 0.0, 12400.0, 11000.0, 162100.0, 0.0, -17039.0, 20000.0, 20200.0 … 47700.0, 61550.0, -4100.0, 20080.0, 765.0, 499.0, 5073.0, -5750.0, 87000.0, 24335.0], \"ATE\", false, \"regression\", CausalELM.swish, 9915, 50, 6, 24, NaN, 5)" ] }, "metadata": {}, @@ -159,7 +159,7 @@ { "data": { "text/plain": [ - "RLearner([0.10256410256410256 0.08378272379645063 … 0.0 0.0; 0.5897435897435898 0.3204971075595647 … 0.0 0.0; … ; 0.4358974358974359 0.08663839592116875 … 0.0 0.0; 0.8717948717948718 0.0914182763015982 … 1.0 1.0], [0.0, 1.0, 0.0, 0.0, 1.0, 0.0, 0.0, 1.0, 0.0, 0.0 … 0.0, 0.0, 1.0, 1.0, 0.0, 0.0, 0.0, 1.0, 1.0, 0.0], [0.0, -950.0, 3100.0, 35000.0, 1300.0, 215121.0, -1398.0, 5999.0, -661.0, 1900.0 … -1984.0, 2700.0, -700.0, 0.0, 193048.0, 47870.0, 200.0, 15123.0, 4764.0, 8800.0], \"CATE\", false, \"regression\", CausalELM.swish, 9915, 50, 6, 32, [NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN … NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN], 5)" + "RLearner([0.48717948717948717 0.31428326306500637 … 0.0 1.0; 0.8974358974358975 0.12285518188057652 … 1.0 1.0; … ; 0.02564102564102564 0.08928571428571429 … 0.0 0.0; 0.6410256410256411 0.025884890675556427 … 0.0 0.0], [1.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 1.0, 1.0, 0.0 … 1.0, 0.0, 0.0, 1.0, 0.0, 0.0, 1.0, 0.0, 0.0, 0.0], [4500.0, 26549.0, 12000.0, 35883.0, 52399.0, 0.0, -295.0, 19328.0, 20390.0, 0.0 … 10900.0, 32600.0, 36950.0, 63249.0, -10002.0, -1600.0, -6100.0, 1599.0, -3900.0, 8.0], \"CATE\", false, \"regression\", CausalELM.swish, 9915, 50, 6, 32, [NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN … NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN], 5)" ] }, "metadata": {}, @@ -178,7 +178,7 @@ { "data": { "text/plain": [ - "DoublyRobustLearner([0.23076923076923078 0.16685459358760663 … 0.0 1.0; 0.5128205128205128 0.29113148347877243 … 0.0 1.0; … ; 0.7692307692307693 0.14295519168545937 … 0.0 0.0; 0.07692307692307693 0.28951367781155013 … 1.0 1.0], [1.0, 1.0, 0.0, 0.0, 1.0, 1.0, 0.0, 0.0, 0.0, 0.0 … 1.0, 0.0, 1.0, 1.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0], [11612.0, 42800.0, 13259.0, 250.0, 24082.0, 12625.0, 55798.0, 3500.0, -2400.0, 7799.0 … 17250.0, 5800.0, 4800.0, 40000.0, 500.0, -838.0, 2200.0, 30000.0, 2000.0, 8215.0], \"CATE\", false, \"regression\", CausalELM.swish, 9915, 50, 6, 32, [NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN … NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN], 2)" + "DoublyRobustLearner([0.7692307692307693 0.17686783017942936 … 1.0 1.0; 0.358974358974359 0.03952593391508971 … 0.0 0.0; … ; 0.5128205128205128 0.21873467987057554 … 0.0 0.0; 0.2564102564102564 0.11966859496029023 … 0.0 1.0], [1.0, 0.0, 0.0, 0.0, 0.0, 0.0, 1.0, 0.0, 0.0, 0.0 … 0.0, 1.0, 1.0, 0.0, 0.0, 0.0, 0.0, 0.0, 1.0, 0.0], [120097.0, 13.0, 0.0, 7300.0, 6399.0, -4400.0, 73800.0, 0.0, -1700.0, -1021.0 … 3300.0, 78656.0, -8000.0, 0.0, 1746.0, 145720.0, -150.0, -1000.0, 15815.0, -2430.0], \"CATE\", false, \"regression\", CausalELM.swish, 9915, 50, 6, 32, [NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN … NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN], 2)" ] }, "metadata": {}, @@ -197,7 +197,7 @@ { "data": { "text/plain": [ - "8827.025868803601" + "8759.474734449188" ] }, "metadata": {}, @@ -210,33 +210,33 @@ }, { "cell_type": "code", - "execution_count": 29, + "execution_count": 9, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "9915-element Vector{Float64}:\n", - " 7747.118317906293\n", - " 26286.490258618072\n", - " 8666.249989485457\n", - " 9263.72951065164\n", - " 14880.326505438767\n", - " 59651.26252305487\n", - " 12448.653940807431\n", - " 43502.12626507074\n", - " 899.6983325187213\n", - " 58011.1749411745\n", - " ⋮\n", - " 6192.148116818378\n", - " 2102.7400706180097\n", - " -1209.483929190882\n", - " 13060.178335944407\n", - " 57673.322778342495\n", - " 20762.829006962143\n", - " 18279.832155472883\n", - " -3347.576596640622\n", - " 7986.728775314042" + " 24755.785338865426\n", + " 68197.07184295838\n", + " 92849.42080534843\n", + " 32105.11108685571\n", + " 25500.01930162667\n", + " -6418.974724219135\n", + " 17429.003461237742\n", + " 26258.63116963979\n", + " -3068.111940954936\n", + " 4760.359076011844\n", + " ⋮\n", + " 17102.897091206243\n", + " 3734.3184805060528\n", + " 243555.138005544\n", + " 125092.59572298202\n", + " -994.2317041595583\n", + " -2483.5916206124098\n", + " 2148.7893083038316\n", + " -10414.71356261897\n", + " -7195.4730704263775" ] }, "metadata": {}, @@ -249,33 +249,33 @@ }, { "cell_type": "code", - "execution_count": 25, + "execution_count": 11, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "9915-element Vector{Float64}:\n", - " 6774.687311613728\n", - " 10651.616074966516\n", - " 19747.889983368274\n", - " 1835.3769697591927\n", - " 11821.419034557937\n", - " 10363.731312035588\n", - " 17738.134313708655\n", - " 18865.895182406108\n", - " 10442.595186162447\n", - " 3790.4942556045075\n", + " 13198.079605028575\n", + " 1407.4678722103322\n", + " 1080.9705073445443\n", + " -3171.7269008753524\n", + " -764.1459932436837\n", + " 10530.477160154649\n", + " 45633.87477163151\n", + " 1381.9909447433733\n", + " 1900.9017215717163\n", + " 14388.211293805694\n", " ⋮\n", - " 9123.602310105096\n", - " 6986.459059170177\n", - " 13180.42248564561\n", - " 2185.110731523216\n", - " 10060.56209828231\n", - " 3720.743405301854\n", - " 1940.2856228519586\n", - " 11542.412496562512\n", - " 16724.622881779775" + " 5109.724375978067\n", + " 6446.592444230741\n", + " 7539.114659459059\n", + " 8812.653576412042\n", + " 12889.00479522849\n", + " 1118.3998975855652\n", + " 1942.3574441823084\n", + " 16711.797656490606\n", + " 7627.517636784663" ] }, "metadata": {}, @@ -288,7 +288,7 @@ }, { "cell_type": "code", - "execution_count": 26, + "execution_count": 12, "metadata": {}, "outputs": [ { @@ -299,7 +299,7 @@ " \"Quantity of Interest\" => \"ATE\"\n", " \"Sample Size\" => 9915\n", " \"Number of Machines\" => 50\n", - " \"Causal Effect\" => 8827.03\n", + " \"Causal Effect\" => 8759.47\n", " \"Number of Neurons\" => 24\n", " \"Task\" => \"regression\"\n", " \"Time Series/Panel Data\" => false\n", @@ -318,7 +318,7 @@ }, { "cell_type": "code", - "execution_count": 27, + "execution_count": 13, "metadata": {}, "outputs": [ { @@ -329,7 +329,7 @@ " \"Quantity of Interest\" => \"CATE\"\n", " \"Sample Size\" => 9915\n", " \"Number of Machines\" => 50\n", - " \"Causal Effect\" => [10990.0, 39367.2, 11478.9, 19184.2, 22416.1, 863…\n", + " \"Causal Effect\" => [24755.8, 68197.1, 92849.4, 32105.1, 25500.0, -64…\n", " \"Number of Neurons\" => 32\n", " \"Task\" => \"regression\"\n", " \"Time Series/Panel Data\" => false\n", @@ -348,7 +348,7 @@ }, { "cell_type": "code", - "execution_count": 28, + "execution_count": 14, "metadata": {}, "outputs": [ { @@ -359,7 +359,7 @@ " \"Quantity of Interest\" => \"CATE\"\n", " \"Sample Size\" => 9915\n", " \"Number of Machines\" => 50\n", - " \"Causal Effect\" => [6774.69, 10651.6, 19747.9, 1835.38, 11821.4, 103…\n", + " \"Causal Effect\" => [13198.1, 1407.47, 1080.97, -3171.73, -764.146, 1…\n", " \"Number of Neurons\" => 32\n", " \"Task\" => \"regression\"\n", " \"Time Series/Panel Data\" => false\n", @@ -378,13 +378,13 @@ }, { "cell_type": "code", - "execution_count": 13, + "execution_count": 15, "metadata": {}, "outputs": [ { "data": { "text/plain": [ - "(Dict(\"0.1 Standard Deviations from Observed Outcomes\" => -2682.7414393481836, \"0.075 Standard Deviations from Observed Outcomes\" => -2672.3903159918054, \"0.025 Standard Deviations from Observed Outcomes\" => -3261.943651476002, \"0.05 Standard Deviations from Observed Outcomes\" => -2674.9276432418974), 2.8842437581406246, Matrix{Float64}(undef, 0, 9))" + "(Dict(\"0.1 Standard Deviations from Observed Outcomes\" => 8098.95082615164, \"0.075 Standard Deviations from Observed Outcomes\" => 7502.99909825876, \"0.025 Standard Deviations from Observed Outcomes\" => 8746.186015069896, \"0.05 Standard Deviations from Observed Outcomes\" => 8682.688086232247), 2.6466389357103424, Matrix{Float64}(undef, 0, 9))" ] }, "metadata": {}, @@ -397,13 +397,13 @@ }, { "cell_type": "code", - "execution_count": 14, + "execution_count": 16, "metadata": {}, "outputs": [ { "data": { "text/plain": [ - "(Dict(\"0.1 Standard Deviations from Observed Outcomes\" => 512573.4871936093, \"0.075 Standard Deviations from Observed Outcomes\" => 495783.64847648796, \"0.025 Standard Deviations from Observed Outcomes\" => 360783.2222331428, \"0.05 Standard Deviations from Observed Outcomes\" => 425466.98825960315), 2.675101445836959, Matrix{Float64}(undef, 0, 9))" + "(Dict(\"0.1 Standard Deviations from Observed Outcomes\" => 77140.51741970167, \"0.075 Standard Deviations from Observed Outcomes\" => 23897.06455463217, \"0.025 Standard Deviations from Observed Outcomes\" => 23530.122112104997, \"0.05 Standard Deviations from Observed Outcomes\" => 23676.120658302345), 2.6158189826937086, Matrix{Float64}(undef, 0, 9))" ] }, "metadata": {}, @@ -416,13 +416,13 @@ }, { "cell_type": "code", - "execution_count": 15, + "execution_count": 17, "metadata": {}, "outputs": [ { "data": { "text/plain": [ - "(Dict(\"0.1 Standard Deviations from Observed Outcomes\" => -790.4487752142695, \"0.075 Standard Deviations from Observed Outcomes\" => -889.7583038917528, \"0.025 Standard Deviations from Observed Outcomes\" => -5344.096990393928, \"0.05 Standard Deviations from Observed Outcomes\" => -4655.145480475103), 2.468297297302549, Matrix{Float64}(undef, 0, 9))" + "(Dict(\"0.1 Standard Deviations from Observed Outcomes\" => 8162.367832397463, \"0.075 Standard Deviations from Observed Outcomes\" => 5515.914028578847, \"0.025 Standard Deviations from Observed Outcomes\" => 8190.3094079227085, \"0.05 Standard Deviations from Observed Outcomes\" => 8242.728308790338), 2.6325661236588545, Matrix{Float64}(undef, 0, 9))" ] }, "metadata": {}, From 2c346580a138e87915728ab065a90a6ce4aafe82 Mon Sep 17 00:00:00 2001 From: Darren Colby Date: Thu, 4 Jul 2024 18:41:34 -0500 Subject: [PATCH 19/24] Added parallel execution to calculate null distributions --- docs/src/release_notes.md | 1 + src/inference.jl | 44 +++++++++++++++++++++------------------ 2 files changed, 25 insertions(+), 20 deletions(-) diff --git a/docs/src/release_notes.md b/docs/src/release_notes.md index 4965a235..31531182 100644 --- a/docs/src/release_notes.md +++ b/docs/src/release_notes.md @@ -11,6 +11,7 @@ These release notes adhere to the [keep a changelog](https://keepachangelog.com/ * Removed redundant W argument for double machine learning, R-learning, and doubly robust estimation [#68](https://github.com/dscolby/CausalELM.jl/issues/68) * Use swish as the default activation function [#72](https://github.com/dscolby/CausalELM.jl/issues/72) * Implemented noise as a function of each observation instead of the variance of the outcome when testing the sensitivity of the counterfactual consistency assumption [#74](https://github.com/dscolby/CausalELM.jl/issues/74) +* p-values and standard errors for randomization inference are generated in parallel ### Fixed * Applying the weight trick for R-learning [#70](https://github.com/dscolby/CausalELM.jl/issues/70) diff --git a/src/inference.jl b/src/inference.jl index 3ceb9620..45b189ff 100644 --- a/src/inference.jl +++ b/src/inference.jl @@ -189,22 +189,26 @@ julia> generate_null_distribution(g_computer, 500) ``` """ function generate_null_distribution(mod, n) - m = deepcopy(mod) - nobs = size(m.T, 1) + nobs, mods = size(mod.T, 1), [deepcopy(mod) for i ∈ 1:n] results = Vector{Float64}(undef, n) # Generate random treatment assignments and estimate the causal effects - Threads.@threads for iter in 1:n - + Threads.@threads for i ∈ 1:n + # Sample from a continuous distribution if the treatment is continuous if var_type(mod.T) isa Continuous - m.T = (maximum(m.T) - minimum(m.T)) .* rand(nobs) .+ minimum(m.T) + mods[i].T = (maximum(mod.T) - minimum(mod.T)) .* rand(nobs) .+ minimum(mod.T) else - m.T = float(rand(unique(m.T), nobs)) + mods[i].T = float(rand(unique(mod.T), nobs)) end - estimate_causal_effect!(m) - results[iter] = mod isa Metalearner ? mean(m.causal_effect) : m.causal_effect + estimate_causal_effect!(mods[i]) + + results[i] = if mod isa Metalearner + mean(mods[i].causal_effect) + else + mods[i].causal_effect + end end return results end @@ -228,28 +232,28 @@ julia> generate_null_distribution(its, 10) ``` """ function generate_null_distribution(its::InterruptedTimeSeries, n, mean_effect) - model = deepcopy(its) + mods = [deepcopy(its) for i ∈ 1:n] split_idx = size(model.Y₀, 1) results = Vector{Float64}(undef, n) data = reduce(hcat, (reduce(vcat, (its.X₀, its.X₁)), reduce(vcat, (its.Y₀, its.Y₁)))) # Generate random treatment assignments and estimate the causal effects - Threads.@threads for iter in 1:n - permuted_data = data[shuffle(1:end), :] - permuted_x₀ = permuted_data[1:split_idx, 1:(end - 1)] - permuted_x₁ = permuted_data[(split_idx + 1):end, 1:(end - 1)] - permuted_y₀ = permuted_data[1:split_idx, end] - permuted_y₁ = permuted_data[(split_idx + 1):end, end] + Threads.@thread for iter in 1:n + local permuted_data = data[shuffle(1:end), :] + local permuted_x₀ = permuted_data[1:split_idx, 1:(end - 1)] + local permuted_x₁ = permuted_data[(split_idx + 1):end, 1:(end - 1)] + local permuted_y₀ = permuted_data[1:split_idx, end] + local permuted_y₁ = permuted_data[(split_idx + 1):end, end] # Reestimate the model with the intervention now at the nth interval - model.X₀, model.Y₀ = permuted_x₀, permuted_y₀ - model.X₁, model.Y₁ = permuted_x₁, permuted_y₁ - estimate_causal_effect!(model) + local model.X₀, model.Y₀ = permuted_x₀, permuted_y₀ + local model.X₁, model.Y₁ = permuted_x₁, permuted_y₁ + estimate_causal_effect!(mods[iter]) results[iter] = if mean_effect - mean(model.causal_effect) + mean(mods[iter].causal_effect) else - sum(model.causal_effect) + sum(mods[iter].causal_effect) end end return results From 2c2adb73b39bf2233f2920c27ed68cb4b01f1a3a Mon Sep 17 00:00:00 2001 From: Darren Colby Date: Fri, 5 Jul 2024 00:09:18 -0500 Subject: [PATCH 20/24] Added multithreading in counterfactual_consistency --- Manifest.toml | 232 +------------------------------------- Project.toml | 2 - docs/src/release_notes.md | 1 + src/inference.jl | 8 +- 4 files changed, 6 insertions(+), 237 deletions(-) diff --git a/Manifest.toml b/Manifest.toml index 5294738f..5fcff0eb 100644 --- a/Manifest.toml +++ b/Manifest.toml @@ -2,103 +2,16 @@ julia_version = "1.8.5" manifest_format = "2.0" -project_hash = "a71c3dc546f65e5c8baf2d15aa5d41355e85fe6c" +project_hash = "18a38d2a3c0a24ffa847859ade56a5a957640011" [[deps.Artifacts]] uuid = "56f22d72-fd6d-98f1-02f0-08ddc0907c33" -[[deps.Base64]] -uuid = "2a0f44e3-6c83-55bd-87e4-b1978d98bd5f" - 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-[[deps.UUIDs]] -deps = ["Random", "SHA"] -uuid = "cf7118a7-6976-5b1a-9a39-7adc72f591a4" - -[[deps.Unicode]] -uuid = "4ec0a83e-493e-50e2-b9ac-8f72acf5a8f5" - -[[deps.WeakRefStrings]] -deps = ["DataAPI", "InlineStrings", "Parsers"] -git-tree-sha1 = "b1be2855ed9ed8eac54e5caff2afcdb442d52c23" -uuid = "ea10d353-3f73-51f8-a26c-33c1cb351aa5" -version = "1.4.2" - -[[deps.WorkerUtilities]] -git-tree-sha1 = "cd1659ba0d57b71a464a29e64dbc67cfe83d54e7" -uuid = "76eceee3-57b5-4d4a-8e66-0e911cebbf60" -version = "1.6.1" - -[[deps.Zlib_jll]] -deps = ["Libdl"] -uuid = "83775a58-1f1d-513f-b197-d71354ab007a" -version = "1.2.12+3" - [[deps.libblastrampoline_jll]] deps = ["Artifacts", "Libdl", "OpenBLAS_jll"] uuid = "8e850b90-86db-534c-a0d3-1478176c7d93" diff --git a/Project.toml b/Project.toml index 3f26b356..8e583b82 100644 --- a/Project.toml +++ b/Project.toml @@ -4,8 +4,6 @@ authors = ["Darren Colby and contributors"] version = "0.6.0" [deps] -CSV = "336ed68f-0bac-5ca0-87d4-7b16caf5d00b" -DataFrames = "a93c6f00-e57d-5684-b7b6-d8193f3e46c0" LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e" Random = "9a3f8284-a2c9-5f02-9a11-845980a1fd5c" diff --git a/docs/src/release_notes.md b/docs/src/release_notes.md index 31531182..2e3cb566 100644 --- a/docs/src/release_notes.md +++ b/docs/src/release_notes.md @@ -4,6 +4,7 @@ These release notes adhere to the [keep a changelog](https://keepachangelog.com/ ## Version [v0.7.0](https://github.com/dscolby/CausalELM.jl/releases/tag/v0.6.1) - 2024-06-22 ### Added * Implemented bagged ensemble of extreme learning machines to use with estimators [#67](https://github.com/dscolby/CausalELM.jl/issues/67) +* Implemented multithreading for testing the sensitivity of estimators to the counterfactual consistency assumption ### Changed * Compute the number of neurons to use with log heuristic instead of cross validation [#62](https://github.com/dscolby/CausalELM.jl/issues/62) * Calculate probabilities as the average label predicted by the ensemble instead of clipping [#71](https://github.com/dscolby/CausalELM.jl/issues/71) diff --git a/src/inference.jl b/src/inference.jl index 45b189ff..23226e04 100644 --- a/src/inference.jl +++ b/src/inference.jl @@ -233,12 +233,12 @@ julia> generate_null_distribution(its, 10) """ function generate_null_distribution(its::InterruptedTimeSeries, n, mean_effect) mods = [deepcopy(its) for i ∈ 1:n] - split_idx = size(model.Y₀, 1) + split_idx = size(its.Y₀, 1) results = Vector{Float64}(undef, n) data = reduce(hcat, (reduce(vcat, (its.X₀, its.X₁)), reduce(vcat, (its.Y₀, its.Y₁)))) # Generate random treatment assignments and estimate the causal effects - Threads.@thread for iter in 1:n + Threads.@threads for iter in 1:n local permuted_data = data[shuffle(1:end), :] local permuted_x₀ = permuted_data[1:split_idx, 1:(end - 1)] local permuted_x₁ = permuted_data[(split_idx + 1):end, 1:(end - 1)] @@ -246,8 +246,8 @@ function generate_null_distribution(its::InterruptedTimeSeries, n, mean_effect) local permuted_y₁ = permuted_data[(split_idx + 1):end, end] # Reestimate the model with the intervention now at the nth interval - local model.X₀, model.Y₀ = permuted_x₀, permuted_y₀ - local model.X₁, model.Y₁ = permuted_x₁, permuted_y₁ + mods[iter].X₀, mods[iter].Y₀ = permuted_x₀, permuted_y₀ + mods[iter].X₁, mods[iter].Y₁ = permuted_x₁, permuted_y₁ estimate_causal_effect!(mods[iter]) results[iter] = if mean_effect From fe62069c69aae9ee82a5c43f5fa194cd0a002ed6 Mon Sep 17 00:00:00 2001 From: Darren Colby Date: Fri, 5 Jul 2024 17:16:20 -0500 Subject: [PATCH 21/24] Cleaned up docs --- README.md | 34 +- docs/src/api.md | 6 +- docs/src/contributing.md | 10 +- docs/src/guide/doublemachinelearning.md | 48 +- docs/src/guide/gcomputation.md | 53 +- docs/src/guide/its.md | 59 +- docs/src/guide/metalearners.md | 55 +- docs/src/index.md | 50 +- pension.csv | 9916 ----------------------- testing.ipynb | 452 -- 10 files changed, 144 insertions(+), 10539 deletions(-) delete mode 100644 pension.csv delete mode 100644 testing.ipynb diff --git a/README.md b/README.md index 79df210f..7e4b9d01 100644 --- a/README.md +++ b/README.md @@ -41,11 +41,11 @@ series analysis, G-computation, and double machine learning; average treatment e treated (ATT) with G-computation; cumulative treatment effect with interrupted time series analysis; and the conditional average treatment effect (CATE) via S-learning, T-learning, X-learning, R-learning, and doubly robust estimation. Underlying all of these estimators are -extreme learning machines, a simple neural network that uses randomized weights instead of -using gradient descent. Once a model has been estimated, CausalELM can summarize the model, -including computing p-values via randomization inference, and conduct sensitivity analysis -to calidate the plausibility of modeling assumptions. Furthermore, all of this can be done -in four lines of code. +ensembles of extreme learning machines, a simple neural network that uses randomized weights +and least squares optimization instead of gradient descent. Once a model has been estimated, +CausalELM can summarize the model and conduct sensitivity analysis to validate the +plausibility of modeling assumptions. Furthermore, all of this can be done in four lines of +code.

Extreme Learning Machines and Causal Inference

@@ -73,37 +73,39 @@ to adjust the initial estimates. This approach has three advantages. First, it i efficient with high dimensional data than conventional methods. Metalearners take a similar approach to estimate the CATE. While all of these models are different, they have one thing in common: how well they perform depends on the underlying model they fit to the data. To -that end, CausalELMs use extreme learning machines because they are simple yet flexible -enough to be universal function approximators. +that end, CausalELMs use bagged ensembles of extreme learning machines because they are +simple yet flexible enough to be universal function approximators with lower varaince than +single extreme learning machines.

CausalELM Features

  • Estimate a causal effect, get a summary, and validate assumptions in just four lines of code
    • -
  • All models automatically select the best number of neurons and L2 penalty
    • +
  • Bagging improves performance and reduces variance without the need to tune a regularization parameter
  • Enables using the same structs for regression and classification
  • Includes 13 activation functions and allows user-defined activation functions
  • Most inference and validation tests do not assume functional or distributional forms
  • Implements the latest techniques form statistics, econometrics, and biostatistics
    • -
  • Works out of the box with DataFrames or arrays
    • +
  • Works out of the box with arrays or any data structure that implements the Tables.jl interface
  • Codebase is high-quality, well tested, and regularly updated

What's New?

  • Now includes doubly robust estimator for CATE estimation
    • -
  • Uses generalized cross validation with successive halving to find the best ridge penalty
    • -
  • Double machine learning, R-learning, and doubly robust estimators suppot specifying confounders and covariates of interest separately
    • -
  • Counterfactual consistency validation simulates outcomes that violate the assumption rather than the previous binning approach
    • -
  • Standardized and improved docstrings and added doctests
    • +
  • All estimators now implement bagging to reduce predictive performance and reduce variance
    • +
  • Counterfactual consistency validation simulates more realistic violations of the counterfactual consistency assumption
    • +
  • Uses a simple heuristic to choose the number of neurons, which reduces training time and still works well in practice
    • +
  • Probability clipping for classifier predictions and residuals is no longer necessary due to the bagging procedure
  • CausalELM talk has been accepted to JuliaCon 2024!

What's Next?

-Newer versions of CausalELM will hopefully support using GPUs and provide textual -interpretations of the results of calling validate on a model that has been estimated. -However, these priorities could also change depending on feedback recieved at JuliaCon. +Newer versions of CausalELM will hopefully support using GPUs and provide interpretations of +the results of calling validate on a model that has been estimated. In addition, some +estimators will also support using instrumental variables. However, these priorities could +also change depending on feedback recieved at JuliaCon.

Disclaimer

diff --git a/docs/src/api.md b/docs/src/api.md index 8edd38ce..a4ddee88 100644 --- a/docs/src/api.md +++ b/docs/src/api.md @@ -44,15 +44,12 @@ fourier ## Average Causal Effect Estimators ```@docs CausalELM.g_formula! -CausalELM.causal_loss! CausalELM.predict_residuals CausalELM.moving_average -CausalELM.generate_folds ``` ## Metalearners ```@docs -CausalELM.causal_loss CausalELM.doubly_robust_formula! CausalELM.stage1! CausalELM.stage2! @@ -84,7 +81,6 @@ CausalELM.e_value CausalELM.binarize CausalELM.risk_ratio CausalELM.positivity -CausalELM.var_type ``` ## Validation Metrics @@ -110,10 +106,12 @@ CausalELM.set_weights_biases ## Utility Functions ```@docs +CausalELM.var_type CausalELM.mean CausalELM.var CausalELM.one_hot_encode CausalELM.clip_if_binary CausalELM.@model_config CausalELM.@standard_input_data +CausalEL.generate_folds ``` diff --git a/docs/src/contributing.md b/docs/src/contributing.md index cce36f11..eda36ddc 100644 --- a/docs/src/contributing.md +++ b/docs/src/contributing.md @@ -27,15 +27,15 @@ code follows the guidelines below. * Most new structs for estimating causal effects should have mostly the same fields. To reduce the burden of repeatedly defining all these fields, it is advisable to use the - model_config, standard_input_data, and double_learner_input_data macros to - programmatically generate fields for new structs. Doing so will ensure that with little - to no effort the new structs will work with the summarize and validate methods. + model_config and standard_input_data macros to programmatically generate fields for new + structs. Doing so will ensure that with little to no effort the new structs will work + with the summarize and validate methods. * There are no repeated code blocks. If there are repeated codeblocks, then they should be consolidated into a separate function. -* Methods should generally include types and be type stable. If there is a strong reason - to deviate from this point, there should be a comment in the code explaining why. +* Interanl methods can contain types and be parametric but public methods should be as + general as possible. * Minimize use of new constants and macros. If they must be included, the reason for their inclusion should be obvious or included in the docstring. diff --git a/docs/src/guide/doublemachinelearning.md b/docs/src/guide/doublemachinelearning.md index 288ffdb5..ff0657cb 100644 --- a/docs/src/guide/doublemachinelearning.md +++ b/docs/src/guide/doublemachinelearning.md @@ -4,7 +4,8 @@ estimating causal effects when the dimensionality of the covariates is too high regression or the treatment or outcomes cannot be easily modeled parametrically. Double machine learning estimates models of the treatment assignment and outcome and then combines them in a final model. This is a semiparametric model in the sense that the first stage -models can take on any functional form but the final stage model is linear. +models can take on any functional form but the final stage model is a linear combination of +the residuals from the first stage models. !!! note For more information see: @@ -14,17 +15,13 @@ models can take on any functional form but the final stage model is linear. structural parameters." (2018): C1-C68. ## Step 1: Initialize a Model -The DoubleMachineLearning constructor takes at least three arguments, an array of -covariates, a treatment vector, and an outcome vector. This estimator supports binary, count, +The DoubleMachineLearning constructor takes at least three arguments—covariates, a +treatment statuses, and outcomes, all of which may be either an array or any struct that +implements the Tables.jl interface (e.g. DataFrames). This estimator supports binary, count, or continuous treatments and binary, count, continuous, or time to event outcomes. !!! note - Internally, the outcome and treatment models are treated as a regression since extreme - learning machines minimize the MSE. This means that predicted treatments and outcomes - under treatment and control groups could fall outside [0, 1], although this is not likely - in practice. To deal with this, predicted binary variables are automatically clipped to - [0.0000001, 0.9999999]. This also means that count outcomes will be predicted as continuous - variables. + Non-binary categorical outcomes are treated as continuous. !!! tip You can also specify the the number of folds to use for cross-fitting, the number of @@ -46,27 +43,24 @@ dml = DoubleMachineLearning(X, T, Y) ``` ## Step 2: Estimate the Causal Effect -To estimate the causal effect, we call estimatecausaleffect! on the model above. +To estimate the causal effect, we call estimate_causal_effect! on the model above. ```julia # we could also estimate the ATT by passing quantity_of_interest="ATT" estimate_causal_effect!(dml) ``` # Get a Summary -We can get a summary that includes a p-value and standard error estimated via asymptotic -randomization inference by passing our model to the summarize method. - -Calling the summarize method returns a dictionary with the estimator's task (regression or -classification), the quantity of interest being estimated (ATE), whether the model uses an -L2 penalty (always true for DML), the activation function used in the model's outcome -predictors, whether the data is temporal (always false for DML), the number of neurons used -in the ELMs used by the estimator, the causal effect, standard error, and p-value. Due to -long running times, calculation of the p-value and standard error is not conducted and set -to NaN unless inference is set to true. +We can get a summary of the model by pasing the model to the summarize method. + +!!!note + To calculate the p-value and standard error for the treatmetn effect, you can set the + inference argument to false. However, p-values and standard errors are calculated via + randomization inference, which will take a long time. But can be sped up by launching + Julia with a higher number of threads. + ```julia # Can also use the British spelling # summarise(dml) - summarize(dml) ``` @@ -78,12 +72,12 @@ tests do not provide definitive evidence of a violation of these assumptions. To counterfactual consistency assumption, we simulate counterfactual outcomes that are different from the observed outcomes, estimate models with the simulated counterfactual outcomes, and take the averages. If the outcome is continuous, the noise for the simulated -counterfactuals is drawn from N(0, dev) for each element in devs, otherwise the default is -0.25, 0.5, 0.75, and 1.0 standard deviations from the mean outcome. For discrete variables, -each outcome is replaced with a different value in the range of outcomes with probability ϵ -for each ϵ in devs, otherwise the default is 0.025, 0.05, 0.075, 0.1. If the average -estimate for a given level of violation differs greatly from the effect estimated on the -actual data, then the model is very sensitive to violations of the counterfactual +counterfactuals is drawn from N(0, dev) for each element in devs and each outcome, +multiplied by the original outcome, and added to the original outcome. For discrete +variables, each outcome is replaced with a different value in the range of outcomes with +probability ϵ for each ϵ in devs, otherwise the default is 0.025, 0.05, 0.075, 0.1. If the +average estimate for a given level of violation differs greatly from the effect estimated on +the actual data, then the model is very sensitive to violations of the counterfactual consistency assumption for that level of violation. Next, this method tests the model's sensitivity to a violation of the exchangeability assumption by calculating the E-value, which is the minimum strength of association, on the risk ratio scale, that an unobserved diff --git a/docs/src/guide/gcomputation.md b/docs/src/guide/gcomputation.md index c0358901..8f3a266d 100644 --- a/docs/src/guide/gcomputation.md +++ b/docs/src/guide/gcomputation.md @@ -15,9 +15,13 @@ steps for using G-computation in CausalELM are below. study." Scientific reports 10, no. 1 (2020): 9219. ## Step 1: Initialize a Model -The GComputation method takes at least three arguments: an array of covariates, a vector of -treatment statuses, and an outcome vector. It can support binary treatments and binary, -continuous, time to event, and count outcome variables. +The GComputation constructor takes at least three arguments: covariates, treatment statuses, +outcomes, all of which can be either an array or any data structure that implements the +Tables.jl interface (e.g. DataFrames). This implementation supports binary treatments and +binary, continuous, time to event, and count outcome variables. + +!!! note + Non-binary categorical outcomes are treated as continuous. !!! tip You can also specify the causal estimand, which activation function to use, whether the @@ -28,13 +32,6 @@ continuous, time to event, and count outcome variables. arguments: quantity\_of\_interest, activation, temporal, num_machines, num_feats, sample_size, and num\_neurons. -!!! note - Internally, the outcome model is treated as a regression since extreme learning machines - minimize the MSE. This means that predicted outcomes under treatment and control groups - could fall outside [0, 1], although this is not likely in practice. To deal with this, - predicted binary variables are automatically clipped to [0.0000001, 0.9999999]. This also - means that count outcomes will be predicted as continuous variables. - ```julia # Create some data with a binary treatment X, T, Y = rand(1000, 5), [rand()<0.4 for i in 1:1000], rand(1000) @@ -43,28 +40,25 @@ X, T, Y = rand(1000, 5), [rand()<0.4 for i in 1:1000], rand(1000) # using DataFrames # X = DataFrame(x1=rand(1000), x2=rand(1000), x3=rand(1000), x4=rand(1000), x5=rand(1000)) # T, Y = DataFrame(t=[rand()<0.4 for i in 1:1000]), DataFrame(y=rand(1000)) - g_computer = GComputation(X, T, Y) ``` ## Step 2: Estimate the Causal Effect -To estimate the causal effect, we pass the model above to estimatecausaleffect!. +To estimate the causal effect, we pass the model above to estimate_causal_effect!. ```julia # Note that we could also estimate the ATT by setting quantity_of_interest="ATT" estimate_causal_effect!(g_computer) ``` ## Step 3: Get a Summary -We get a summary of the model that includes a p-value and standard error estimated via -asymptotic randomization inference by passing our model to the summarize method. - -Calling the summarize method returns a dictionary with the estimator's task (regression or -classification), the quantity of interest being estimated (ATE), whether the model uses an -L2 penalty (always true for DML), the activation function used in the model's outcome -predictors, whether the data is temporal, the number of neurons used in the ELMs used by the -estimator, the causal effect, standard error, and p-value. Due to long running times, -calculation of the p-value and standard error is not conducted and set to NaN unless -inference is set to true. +We can get a summary of the model by pasing the model to the summarize method. + +!!!note + To calculate the p-value and standard error for the treatmetn effect, you can set the + inference argument to false. However, p-values and standard errors are calculated via + randomization inference, which will take a long time. But can be sped up by launching + Julia with a higher number of threads. + ```julia summarize(g_computer) ``` @@ -77,12 +71,12 @@ tests do not provide definitive evidence of a violation of these assumptions. To counterfactual consistency assumption, we simulate counterfactual outcomes that are different from the observed outcomes, estimate models with the simulated counterfactual outcomes, and take the averages. If the outcome is continuous, the noise for the simulated -counterfactuals is drawn from N(0, dev) for each element in devs, otherwise the default is -0.25, 0.5, 0.75, and 1.0 standard deviations from the mean outcome. For discrete variables, -each outcome is replaced with a different value in the range of outcomes with probability ϵ -for each ϵ in devs, otherwise the default is 0.025, 0.05, 0.075, 0.1. If the average -estimate for a given level of violation differs greatly from the effect estimated on the -actual data, then the model is very sensitive to violations of the counterfactual +counterfactuals is drawn from N(0, dev) for each element in devs and each outcome, +multiplied by the original outcome, and added to the original outcome. For discrete +variables, each outcome is replaced with a different value in the range of outcomes with +probability ϵ for each ϵ in devs, otherwise the default is 0.025, 0.05, 0.075, 0.1. If the +average estimate for a given level of violation differs greatly from the effect estimated on +the actual data, then the model is very sensitive to violations of the counterfactual consistency assumption for that level of violation. Next, this method tests the model's sensitivity to a violation of the exchangeability assumption by calculating the E-value, which is the minimum strength of association, on the risk ratio scale, that an unobserved @@ -95,8 +89,7 @@ an estimated zero probability of treatment, which implies the positivity assumpt satisfied. !!! tip - One can also specify the maxium number of possible treatments to consider for the causal - consistency assumption and the minimum and maximum probabilities of treatment for the + One can also specify the minimum and maximum probabilities of treatment for the positivity assumption with the num\_treatments, min, and max keyword arguments. !!! danger diff --git a/docs/src/guide/its.md b/docs/src/guide/its.md index 94ea06a3..982dd65d 100644 --- a/docs/src/guide/its.md +++ b/docs/src/guide/its.md @@ -1,17 +1,17 @@ # Interrupted Time Series Analysis Sometimes we want to know how an outcome variable for a single unit changed after an event or intervention. For example, if regulators announce sanctions against company A, we might -want to know how the price of stock A changed after the announcement. Since we do not know -what the price of Company A's stock would have been if the santions were not announced, we -need some way to predict those values. An interrupted time series analysis does this by -using some covariates that are related to the oucome variable but not related to whether the -event happened to predict what would have happened. The estimated effects are the -differences between the predicted post-event counterfactual outcomes and the observed +want to know how the price of company A's stock changed after the announcement. Since we do +not know what the price of Company A's stock would have been if the santions were not +announced, we need some way to predict those values. An interrupted time series analysis +does this by using some covariates that are related to the outcome but not related to +whether the event happened to predict what would have happened. The estimated effects are +the differences between the predicted post-event counterfactual outcomes and the observed post-event outcomes, which can also be aggregated to mean or cumulative effects. Estimating an interrupted time series design in CausalELM consists of three steps. !!! note - For a deeper dive on interrupted time series estimation see: + For a general overview of interrupted time series estimation see: Bernal, James Lopez, Steven Cummins, and Antonio Gasparrini. "Interrupted time series regression for the evaluation of public health interventions: a tutorial." International @@ -29,33 +29,32 @@ Estimating an interrupted time series design in CausalELM consists of three step opposed to the commonly used segment linear regression. ## Step 1: Initialize an interrupted time series estimator -The InterruptedTimeSeries method takes at least four agruments: an array of pre-event -covariates, a vector of pre-event outcomes, an array of post-event covariates, and a vector -of post-event outcomes. The interrupted time series estimator assumes outcomes are either -continuous, count, or time to event variables. +The InterruptedTimeSeries constructor takes at least four agruments: pre-event covariates, +pre-event outcomes, post-event covariates, and post-event outcomes, all of which can be +either an array or any data structure that implements the Tables.jl interface (e.g. +DataFrames). The interrupted time series estimator assumes outcomes are either continuous, +count, or time to event variables. !!! note - Since extreme learning machines minimize the MSE, count outcomes will be predicted as - continuous variables. + Non-binary categorical outcomes are treated as continuous. !!! tip - You can also specify which activation function to use, whether the data is of a temporal - nature, the number of extreme learning machines to use, the number of features to - consider for each extreme learning machine, the number of bootstrapped observations to - include in each extreme learning machine, and the number of neurons to use during - estimation. These options are specified with the following keyword arguments: - activation, temporal, num_machines, num_feats, sample_size, and num\_neurons. + You can also specify which activation function to use, the number of extreme learning + machines to use, the number of features to consider for each extreme learning machine, + the number of bootstrapped observations to include in each extreme learning machine, and + the number of neurons to use during estimation. These options are specified with the + following keyword arguments: activation, num_machines, num_feats, sample_size, and + num\_neurons. ```julia # Generate some data to use X₀, Y₀, X₁, Y₁ = rand(1000, 5), rand(1000), rand(100, 5), rand(100) -# We could also use DataFrames or any other package that implements the Tables.jl API +# We could also use DataFrames or any other package that implements the Tables.jl interface # using DataFrames # X₀ = DataFrame(x1=rand(1000), x2=rand(1000), x3=rand(1000), x4=rand(1000), x5=rand(1000)) # X₁ = DataFrame(x1=rand(1000), x2=rand(1000), x3=rand(1000), x4=rand(1000), x5=rand(1000)) # Y₀, Y₁ = DataFrame(y=rand(1000)), DataFrame(y=rand(1000)) - its = InterruptedTimeSeries(X₀, Y₀, X₁, Y₁) ``` @@ -67,16 +66,14 @@ estimate_causal_effect!(its) ``` ## Step 3: Get a Summary -We can get a summary of the model, including a p-value and statndard via asymptotic -randomization inference, by pasing the model to the summarize method. - -Calling the summarize method returns a dictionary with the estimator's task (regression or -classification), the quantity of interest being estimated (ATE), whether the model uses an -L2 penalty (always true for DML), the activation function used in the model's outcome -predictors, whether the data is temporal (always true for ITS), the number of neurons used -in the ELMs used by the estimator, the causal effect, standard error, and p-value. Due to -long running times, calculation of the p-value and standard error is not conducted and set -to NaN unless inference is set to true. +We can get a summary of the model by pasing the model to the summarize method. + +!!!note + To calculate the p-value and standard error for the treatmetn effect, you can set the + inference argument to false. However, p-values and standard errors are calculated via + randomization inference, which will take a long time. But can be sped up by launching + Julia with a higher number of threads. + ```julia summarize(its) ``` diff --git a/docs/src/guide/metalearners.md b/docs/src/guide/metalearners.md index dad7b22a..76718c60 100644 --- a/docs/src/guide/metalearners.md +++ b/docs/src/guide/metalearners.md @@ -11,11 +11,6 @@ doubly robust learners, they can only handle binary treatments. On the other han R-learners can handle binary, categorical, count, or continuous treatments but only supports continuous outcomes. -!!! note - If regularized is set to true then the ridge penalty will be estimated using generalized - cross. However, if the penalty in on iteration is approximately the same as in the - previous penalty, then the procedure will stop early. - !!! note For a deeper dive on S-learning, T-learning, and X-learning see: @@ -29,25 +24,22 @@ continuous outcomes. Nie, Xinkun, and Stefan Wager. "Quasi-oracle estimation of heterogeneous treatment effects." Biometrika 108, no. 2 (2021): 299-319. + To see the details out doubly robust estimation implemented in CausalELM see: + Kennedy, Edward H. "Towards optimal doubly robust estimation of heterogeneous causal effects." Electronic Journal of Statistics 17, no. 2 (2023): 3008-3049. # Initialize a Metalearner S-learners, T-learners, X-learners, R-learners, and doubly robust estimators all take at -least three arguments: an array of covariates, a vector of outcomes, and a vector of -treatment statuses. S, T, X, and doubly robust learners support binary treatment variables -and binary, continuous, count, or time to event outcomes. The R-learning estimator supports -binary, continuous, or count treatment variables and binary, continuous, count, or time to -event outcomes. +least three arguments—covariates, treatment statuses, and outcomes, all of which can be +either an array or any struct that implements the Tables.jl interface (e.g. DataFrames). S, +T, X, and doubly robust learners support binary treatment variables and binary, continuous, +count, or time to event outcomes. The R-learning estimator supports binary, continuous, or +count treatment variables and binary, continuous, count, or time to event outcomes. !!! note - Internally, the outcome and treatment models of the metalearners are treated as a regression - since extreme learning machines minimize the MSE. This means that predicted treatments and - outcomes under treatment and control groups could fall outside [0, 1], although this is not - likely in practice. To deal with this, predicted binary variables are automatically clipped to - [0.0000001, 0.9999999].This also means that count outcomes will be predicted as continuous - variables. + Non-binary categorical outcomes are treated as continuous. !!! tip You can also specify the the number of folds to use for cross-fitting, the number of @@ -65,7 +57,6 @@ X, Y, T = rand(1000, 5), rand(1000), [rand()<0.4 for i in 1:1000] # using DataFrames # X = DataFrame(x1=rand(1000), x2=rand(1000), x3=rand(1000), x4=rand(1000), x5=rand(1000)) # T, Y = DataFrame(t=[rand()<0.4 for i in 1:1000]), DataFrame(y=rand(1000)) - s_learner = SLearner(X, Y, T) t_learner = TLearner(X, Y, T) x_learner = XLearner(X, Y, T) @@ -84,16 +75,14 @@ estimate_causal_effect!(dr_lwarner) ``` # Get a Summary -We can get a summary of the models that includes p0values and standard errors for the -average treatment effect by passing the models to the summarize method. - -Calling the summarize methodd returns a dictionary with the estimator's task (regression or -classification), the quantity of interest being estimated (CATE), whether the model -uses an L2 penalty, the activation function used in the model's outcome predictors, whether -the data is temporal, the validation metric used for cross validation to find the best -number of neurons, the number of neurons used in the ELMs used by the estimator, the number -of neurons used in the ELM used to learn a mapping from number of neurons to validation -loss during cross validation, the causal effect, standard error, and p-value for the ATE. +We can get a summary of the model by pasing the model to the summarize method. + +!!!note + To calculate the p-value and standard error for the treatmetn effect, you can set the + inference argument to false. However, p-values and standard errors are calculated via + randomization inference, which will take a long time. But can be sped up by launching + Julia with a higher number of threads. + ```julia summarize(s_learner) summarize(t_learner) @@ -110,12 +99,12 @@ tests do not provide definitive evidence of a violation of these assumptions. To counterfactual consistency assumption, we simulate counterfactual outcomes that are different from the observed outcomes, estimate models with the simulated counterfactual outcomes, and take the averages. If the outcome is continuous, the noise for the simulated -counterfactuals is drawn from N(0, dev) for each element in devs, otherwise the default is -0.25, 0.5, 0.75, and 1.0 standard deviations from the mean outcome. For discrete variables, -each outcome is replaced with a different value in the range of outcomes with probability ϵ -for each ϵ in devs, otherwise the default is 0.025, 0.05, 0.075, 0.1. If the average -estimate for a given level of violation differs greatly from the effect estimated on the -actual data, then the model is very sensitive to violations of the counterfactual +counterfactuals is drawn from N(0, dev) for each element in devs and each outcome, +multiplied by the original outcome, and added to the original outcome. For discrete +variables, each outcome is replaced with a different value in the range of outcomes with +probability ϵ for each ϵ in devs, otherwise the default is 0.025, 0.05, 0.075, 0.1. If the +average estimate for a given level of violation differs greatly from the effect estimated on +the actual data, then the model is very sensitive to violations of the counterfactual consistency assumption for that level of violation. Next, this method tests the model's sensitivity to a violation of the exchangeability assumption by calculating the E-value, which is the minimum strength of association, on the risk ratio scale, that an unobserved diff --git a/docs/src/index.md b/docs/src/index.md index 8d435eae..5b777f0a 100644 --- a/docs/src/index.md +++ b/docs/src/index.md @@ -16,16 +16,16 @@ CurrentModule = CausalELM CausalELM leverages new techniques in machine learning and statistics to estimate individual and aggregate treatment effects in situations where traditional methods are unsatisfactory or infeasible. To enable this, CausalELM provides a simple API to initialize a model, -estimate a causal effect, get a summary from the model, and test the robustness of the -model. CausalELM includes estimators for interupted time series analysis, G-Computation, -double machine learning, S-Learning, T-Learning, X-Learning, R-learning, and doubly robust -estimation. Underlying all these estimators are bagged extreme learning machines. Extreme -learning machines are a single layer feedfoward neural network that relies on randomized -weights and least squares optimization, making them expressive, simple, and computationally -efficient. Combining them with bagging reduces the variance due to their randomized weights -and provides a form of regularization that does not have to be tuned through cross -validation.These attributes make CausalELM a very simple and powerful package for estimating -treatment effects. +estimate a causal effect, get a summary of the model, and test its robustness. CausalELM +includes estimators for interupted time series analysis, G-Computation, double machine +learning, S-Learning, T-Learning, X-Learning, R-learning, and doubly robust estimation. +Underlying all these estimators are bagged extreme learning machines. Extreme learning +machines are a single layer feedfoward neural network that relies on randomized weights and +least squares optimization, making them expressive, simple, and computationally +efficient. Combining them with bagging reduces the variance caused by the randomization of +weights and provides a form of regularization that does not have to be tuned through cross +validation. These attributes make CausalELM a very simple and powerful package for +estimating treatment effects. ### Features * Estimate a causal effect, get a summary, and validate assumptions in just four lines of code @@ -33,16 +33,16 @@ treatment effects. * Enables using the same structs for regression and classification * Includes 13 activation functions and allows user-defined activation functions * Most inference and validation tests do not assume functional or distributional forms -* Implements the latest techniques form statistics, econometrics, and biostatistics +* Implements the latest techniques from statistics, econometrics, and biostatistics * Works out of the box with arrays or any data structure that implements the Tables.jl interface * Codebase is high-quality, well tested, and regularly updated ### What's New? * Now includes doubly robust estimator for CATE estimation -* Uses generalized cross validation with successive halving to find the best ridge penalty -* Double machine learning, R-learning, and doubly robust estimators suppot specifying confounders and covariates of interest separately -* Counterfactual consistency validation simulates outcomes that violate the assumption rather than the previous binning approach -* Standardized and improved docstrings and added doctests +* All estimators now implement bagging to reduce predictive performance and reduce variance +* Counterfactual consistency validation simulates more realistic violations of the counterfactual consistency assumption +* Uses a simple heuristic to choose the number of neurons, which reduces training time and still works well in practice +* Probability clipping for classifier predictions and residuals is no longer necessary due to the bagging procedure * CausalELM talk has been accepted to JuliaCon 2024! ### What makes CausalELM different? @@ -50,16 +50,16 @@ Other packages, mainly EconML, DoWhy, CausalAI, and CausalML, have similar funci Beides being written in Julia rather than Python, the main differences between CausalELM and these libraries are: * Simplicity is core to casualELM's design philosophy. CausalELM only uses one type of - machine learning model, extreme learning machines (with optional L2 regularization) and - does not require you to import any other packages or initialize machine learning models, - pass machine learning structs to CausalELM's estimators, convert dataframes or arrays to - a special type, or one hot encode categorical treatments. By trading a little bit of - flexibility for a simpler API, all of CausalELM's functionality can be used with just - four lines of code. -* As part of this design principle, CausalELM's estimators handle all of the work in - finding the best number of neurons during estimation. They use a simple log heuristic - for determining the number of neurons to use and automatically select the best ridge - penalty via generalized cross validation. + machine learning model, extreme learning machines (with bagging) and does not require + you to import any other packages or initialize machine learning models, pass machine + learning structs to CausalELM's estimators, convert dataframes or arrays to a special + type, or one hot encode categorical treatments. By trading a little bit of flexibility + for a simpler API, all of CausalELM's functionality can be used with just four lines of + code. +* As part of this design principle, CausalELM's estimators decide whether to use regression + or classification based on the type of outcome variable. This is in contrast to most + machine learning packages, which have separate classes or structs fro regressors and + classifiers of the same model. * CausalELM's validate method, which is specific to each estimator, allows you to validate or test the sentitivity of an estimator to possible violations of identifying assumptions. * Unlike packages that do not allow you to estimate p-values and standard errors, use diff --git a/pension.csv b/pension.csv deleted file mode 100644 index e4dff354..00000000 --- a/pension.csv +++ /dev/null @@ -1,9916 +0,0 @@ -"","ira","a401","hval","hmort","hequity","nifa","net_nifa","tfa","net_tfa","tfa_he","tw","age","inc","fsize","educ","db","marr","male","twoearn","dum91","e401","p401","pira","nohs","hs","smcol","col","icat","ecat","zhat","net_n401","hown","i1","i2","i3","i4","i5","i6","i7","a1","a2","a3","a4","a5" -"1",0,0,69000,60150,8850,100,-3300,100,-3300,5550,53550,31,28146,5,12,0,1,0,0,1,0,0,0,0,1,0,0,3,2,0.273178,-3300,1,0,0,1,0,0,0,0,0,1,0,0,0 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+0,0 @@ -{ - "cells": [ - { - "cell_type": "code", - "execution_count": 1, - "metadata": {}, - "outputs": [], - "source": [ - "using CausalELM\n", - "using CSV\n", - "using DataFrames\n", - "using Random" - ] - }, - { - "cell_type": "code", - "execution_count": 2, - "metadata": {}, - "outputs": [ - { - "data": { - "text/plain": [ - "(\u001b[1m9915×8 DataFrame\u001b[0m\n", - "\u001b[1m Row \u001b[0m│\u001b[1m age \u001b[0m\u001b[1m inc \u001b[0m\u001b[1m fsize \u001b[0m\u001b[1m marr \u001b[0m\u001b[1m twoearn \u001b[0m\u001b[1m db \u001b[0m\u001b[1m pira \u001b[0m\u001b[1m hown \u001b[0m\n", - " │\u001b[90m Int64 \u001b[0m\u001b[90m Int64 \u001b[0m\u001b[90m Int64 \u001b[0m\u001b[90m Int64 \u001b[0m\u001b[90m Int64 \u001b[0m\u001b[90m Int64 \u001b[0m\u001b[90m Int64 \u001b[0m\u001b[90m Int64 \u001b[0m\n", - "──────┼──────────────────────────────────────────────────────────\n", - " 1 │ 31 28146 5 1 0 0 0 1\n", - " 2 │ 52 32634 5 0 0 0 0 1\n", - " 3 │ 50 52206 3 1 1 0 1 1\n", - " 4 │ 28 45252 4 1 1 0 0 0\n", - " 5 │ 42 33126 3 0 0 1 0 1\n", - " 6 │ 49 76860 6 1 1 1 0 1\n", - " 7 │ 40 57477 4 1 1 1 0 1\n", - " 8 │ 58 14637 1 0 0 0 0 0\n", - " ⋮ │ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮\n", - " 9909 │ 28 31926 2 1 1 0 0 0\n", - " 9910 │ 49 64215 4 1 1 0 1 1\n", - " 9911 │ 34 13500 1 0 0 1 0 0\n", - " 9912 │ 33 39027 3 1 0 1 0 1\n", - " 9913 │ 34 62616 4 1 1 0 0 1\n", - " 9914 │ 41 56190 3 1 1 1 0 1\n", - " 9915 │ 28 26205 4 1 1 0 0 0\n", - "\u001b[36m 9900 rows omitted\u001b[0m, [0, 0, 0, 0, 0, 0, 0, 0, 0, 0 … 1, 1, 1, 1, 1, 1, 1, 1, 1, 1], [-3300, 61010, 8849, -6013, -2375, -11000, -16901, 1000, 0, 6400 … -1436, 4500, 34739, -750, 40000, 172, 836, 6150, 14499, -5400])" - ] - }, - "metadata": {}, - "output_type": "display_data" - } - ], - "source": [ - "pension_df = CSV.read(\"pension.csv\", DataFrame)\n", - "pension_df = pension_df[:, [10, 22, 13, 14, 15, 18, 20, 17, 24, 33]]\n", - "covariates, treatment, outcome = pension_df[:, 3:end], pension_df[:, 2], pension_df[:, 1]" - ] - }, - { - "cell_type": "code", - "execution_count": 3, - "metadata": {}, - "outputs": [ - { - "data": { - "text/html": [ - "
9915×8 DataFrame
9890 rows omitted
Rowageincfsizemarrtwoearndbpirahown
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99040.9743590.1673330.00.00011
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" - ], - "text/latex": [ - "\\begin{tabular}{r|cccccccc}\n", - "\t& age & inc & fsize & marr & twoearn & db & pira & hown\\\\\n", - "\t\\hline\n", - "\t& Float64 & Float64 & Float64 & Float64 & Int64 & Int64 & Int64 & Int64\\\\\n", - "\t\\hline\n", - "\t1 & 0.153846 & 0.125821 & 0.333333 & 1.0 & 0 & 0 & 0 & 1 \\\\\n", - "\t2 & 0.692308 & 0.144156 & 0.333333 & 0.0 & 0 & 0 & 0 & 1 \\\\\n", - "\t3 & 0.641026 & 0.224115 & 0.166667 & 1.0 & 1 & 0 & 1 & 1 \\\\\n", - "\t4 & 0.0769231 & 0.195705 & 0.25 & 1.0 & 1 & 0 & 0 & 0 \\\\\n", - "\t5 & 0.435897 & 0.146166 & 0.166667 & 0.0 & 0 & 1 & 0 & 1 \\\\\n", - "\t6 & 0.615385 & 0.324836 & 0.416667 & 1.0 & 1 & 1 & 0 & 1 \\\\\n", - "\t7 & 0.384615 & 0.245649 & 0.25 & 1.0 & 1 & 1 & 0 & 1 \\\\\n", - "\t8 & 0.846154 & 0.0706319 & 0.0 & 0.0 & 0 & 0 & 0 & 0 \\\\\n", - "\t9 & 0.102564 & 0.0376875 & 0.25 & 0.0 & 0 & 0 & 0 & 0 \\\\\n", - "\t10 & 0.641026 & 0.0343906 & 0.0 & 0.0 & 0 & 0 & 1 & 0 \\\\\n", - "\t11 & 0.512821 & 0.187482 & 0.0 & 0.0 & 0 & 1 & 1 & 1 \\\\\n", - "\t12 & 0.0 & 0.175569 & 0.166667 & 1.0 & 1 & 0 & 0 & 0 \\\\\n", - "\t13 & 0.128205 & 0.133395 & 0.0833333 & 1.0 & 0 & 0 & 0 & 0 \\\\\n", - "\t14 & 0.0512821 & 0.050103 & 0.0 & 0.0 & 0 & 0 & 0 & 0 \\\\\n", - "\t15 & 0.435897 & 0.358442 & 0.25 & 1.0 & 1 & 0 & 1 & 1 \\\\\n", - "\t16 & 0.25641 & 0.142416 & 0.0833333 & 1.0 & 1 & 0 & 0 & 0 \\\\\n", - "\t17 & 0.25641 & 0.270357 & 0.0 & 0.0 & 0 & 0 & 1 & 0 \\\\\n", - "\t18 & 0.410256 & 0.141141 & 0.333333 & 1.0 & 0 & 0 & 0 & 0 \\\\\n", - "\t19 & 0.717949 & 0.0506422 & 0.0 & 1.0 & 0 & 0 & 0 & 0 \\\\\n", - "\t20 & 0.948718 & 0.315558 & 0.166667 & 1.0 & 0 & 1 & 0 & 1 \\\\\n", - "\t21 & 0.512821 & 0.166683 & 0.0 & 0.0 & 0 & 0 & 0 & 0 \\\\\n", - "\t22 & 0.794872 & 0.077385 & 0.0 & 0.0 & 0 & 0 & 0 & 0 \\\\\n", - "\t23 & 0.153846 & 0.0571625 & 0.0 & 0.0 & 0 & 0 & 0 & 0 \\\\\n", - "\t24 & 0.153846 & 0.117769 & 0.333333 & 1.0 & 1 & 0 & 0 & 0 \\\\\n", - "\t$\\dots$ & $\\dots$ & $\\dots$ & $\\dots$ & $\\dots$ & $\\dots$ & $\\dots$ & $\\dots$ & $\\dots$ \\\\\n", - "\\end{tabular}\n" - ], - "text/plain": [ - "\u001b[1m9915×8 DataFrame\u001b[0m\n", - "\u001b[1m Row \u001b[0m│\u001b[1m age \u001b[0m\u001b[1m inc \u001b[0m\u001b[1m fsize \u001b[0m\u001b[1m marr \u001b[0m\u001b[1m twoearn \u001b[0m\u001b[1m db \u001b[0m\u001b[1m pira \u001b[0m\u001b[1m hown \u001b[0m ⋯\n", - " │\u001b[90m Float64 \u001b[0m\u001b[90m Float64 \u001b[0m\u001b[90m Float64 \u001b[0m\u001b[90m Float64 \u001b[0m\u001b[90m Int64 \u001b[0m\u001b[90m Int64 \u001b[0m\u001b[90m Int64 \u001b[0m\u001b[90m Int64\u001b[0m ⋯\n", - "──────┼─────────────────────────────────────────────────────────────────────────\n", - " 1 │ 0.153846 0.125821 0.333333 1.0 0 0 0 1 ⋯\n", - " 2 │ 0.692308 0.144156 0.333333 0.0 0 0 0 1\n", - " 3 │ 0.641026 0.224115 0.166667 1.0 1 0 1 1\n", - " 4 │ 0.0769231 0.195705 0.25 1.0 1 0 0 0\n", - " 5 │ 0.435897 0.146166 0.166667 0.0 0 1 0 1 ⋯\n", - " 6 │ 0.615385 0.324836 0.416667 1.0 1 1 0 1\n", - " 7 │ 0.384615 0.245649 0.25 1.0 1 1 0 1\n", - " 8 │ 0.846154 0.0706319 0.0 0.0 0 0 0 0\n", - " ⋮ │ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋮ ⋱\n", - " 9909 │ 0.0769231 0.141264 0.0833333 1.0 1 0 0 0 ⋯\n", - " 9910 │ 0.615385 0.273176 0.25 1.0 1 0 1 1\n", - " 9911 │ 0.230769 0.0659869 0.0 0.0 0 1 0 0\n", - " 9912 │ 0.205128 0.170274 0.166667 1.0 0 1 0 1\n", - " 9913 │ 0.230769 0.266644 0.25 1.0 1 0 0 1 ⋯\n", - " 9914 │ 0.410256 0.240391 0.166667 1.0 1 1 0 1\n", - " 9915 │ 0.0769231 0.117891 0.25 1.0 1 0 0 0\n", - "\u001b[36m 9900 rows omitted\u001b[0m" - ] - }, - "metadata": {}, - "output_type": "display_data" - } - ], - "source": [ - "covariates.inc = (covariates.inc .- minimum(covariates.inc))/(maximum(covariates.inc) - minimum(covariates.inc))\n", - "covariates.age = (covariates.age .- minimum(covariates.age))/(maximum(covariates.age) - minimum(covariates.age))\n", - "covariates.fsize = (covariates.fsize .- minimum(covariates.fsize))/(maximum(covariates.fsize) - minimum(covariates.fsize))\n", - "covariates.marr = (covariates.marr .- minimum(covariates.marr))/(maximum(covariates.marr) - minimum(covariates.marr))\n", - "covariates" - ] - }, - { - "cell_type": "code", - "execution_count": 4, - "metadata": {}, - "outputs": [ - { - "data": { - "text/plain": [ - "DoubleMachineLearning([0.15384615384615385 0.18468722423767037 … 0.0 0.0; 0.10256410256410256 0.2869031277576233 … 1.0 0.0; … ; 0.46153846153846156 0.6448671438376311 … 1.0 1.0; 0.48717948717948717 0.14913226786939895 … 0.0 1.0], [0.0, 0.0, 0.0, 0.0, 1.0, 1.0, 0.0, 0.0, 0.0, 0.0 … 0.0, 1.0, 0.0, 1.0, 1.0, 0.0, 0.0, 1.0, 1.0, 1.0], [-101436.0, 72450.0, 0.0, 12400.0, 11000.0, 162100.0, 0.0, -17039.0, 20000.0, 20200.0 … 47700.0, 61550.0, -4100.0, 20080.0, 765.0, 499.0, 5073.0, -5750.0, 87000.0, 24335.0], \"ATE\", false, \"regression\", CausalELM.swish, 9915, 50, 6, 24, NaN, 5)" - ] - }, - "metadata": {}, - "output_type": "display_data" - } - ], - "source": [ - "dml = DoubleMachineLearning(covariates, treatment, outcome)" - ] - }, - { - "cell_type": "code", - "execution_count": 5, - "metadata": {}, - "outputs": [ - { - "data": { - "text/plain": [ - "RLearner([0.48717948717948717 0.31428326306500637 … 0.0 1.0; 0.8974358974358975 0.12285518188057652 … 1.0 1.0; … ; 0.02564102564102564 0.08928571428571429 … 0.0 0.0; 0.6410256410256411 0.025884890675556427 … 0.0 0.0], [1.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 1.0, 1.0, 0.0 … 1.0, 0.0, 0.0, 1.0, 0.0, 0.0, 1.0, 0.0, 0.0, 0.0], [4500.0, 26549.0, 12000.0, 35883.0, 52399.0, 0.0, -295.0, 19328.0, 20390.0, 0.0 … 10900.0, 32600.0, 36950.0, 63249.0, -10002.0, -1600.0, -6100.0, 1599.0, -3900.0, 8.0], \"CATE\", false, \"regression\", CausalELM.swish, 9915, 50, 6, 32, [NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN … NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN], 5)" - ] - }, - "metadata": {}, - "output_type": "display_data" - } - ], - "source": [ - "r_learner = RLearner(covariates, treatment, outcome)" - ] - }, - { - "cell_type": "code", - "execution_count": 6, - "metadata": {}, - "outputs": [ - { - "data": { - "text/plain": [ - "DoublyRobustLearner([0.7692307692307693 0.17686783017942936 … 1.0 1.0; 0.358974358974359 0.03952593391508971 … 0.0 0.0; … ; 0.5128205128205128 0.21873467987057554 … 0.0 0.0; 0.2564102564102564 0.11966859496029023 … 0.0 1.0], [1.0, 0.0, 0.0, 0.0, 0.0, 0.0, 1.0, 0.0, 0.0, 0.0 … 0.0, 1.0, 1.0, 0.0, 0.0, 0.0, 0.0, 0.0, 1.0, 0.0], [120097.0, 13.0, 0.0, 7300.0, 6399.0, -4400.0, 73800.0, 0.0, -1700.0, -1021.0 … 3300.0, 78656.0, -8000.0, 0.0, 1746.0, 145720.0, -150.0, -1000.0, 15815.0, -2430.0], \"CATE\", false, \"regression\", CausalELM.swish, 9915, 50, 6, 32, [NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN … NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN, NaN], 2)" - ] - }, - "metadata": {}, - "output_type": "display_data" - } - ], - "source": [ - "dre = DoublyRobustLearner(covariates, treatment, outcome)" - ] - }, - { - "cell_type": "code", - "execution_count": 7, - "metadata": {}, - "outputs": [ - { - "data": { - "text/plain": [ - "8759.474734449188" - ] - }, - "metadata": {}, - "output_type": "display_data" - } - ], - "source": [ - "estimate_causal_effect!(dml)" - ] - }, - { - "cell_type": "code", - "execution_count": 9, - "metadata": {}, - "outputs": [ - { - "data": { - "text/plain": [ - "9915-element Vector{Float64}:\n", - " 24755.785338865426\n", - " 68197.07184295838\n", - " 92849.42080534843\n", - " 32105.11108685571\n", - " 25500.01930162667\n", - " -6418.974724219135\n", - " 17429.003461237742\n", - " 26258.63116963979\n", - " -3068.111940954936\n", - " 4760.359076011844\n", - " ⋮\n", - " 17102.897091206243\n", - " 3734.3184805060528\n", - " 243555.138005544\n", - " 125092.59572298202\n", - " -994.2317041595583\n", - " -2483.5916206124098\n", - 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] - }, - "metadata": {}, - "output_type": "display_data" - } - ], - "source": [ - "validate(r_learner)" - ] - }, - { - "cell_type": "code", - "execution_count": 17, - "metadata": {}, - "outputs": [ - { - "data": { - "text/plain": [ - "(Dict(\"0.1 Standard Deviations from Observed Outcomes\" => 8162.367832397463, \"0.075 Standard Deviations from Observed Outcomes\" => 5515.914028578847, \"0.025 Standard Deviations from Observed Outcomes\" => 8190.3094079227085, \"0.05 Standard Deviations from Observed Outcomes\" => 8242.728308790338), 2.6325661236588545, Matrix{Float64}(undef, 0, 9))" - ] - }, - "metadata": {}, - "output_type": "display_data" - } - ], - "source": [ - "validate(dre)" - ] - } - ], - "metadata": { - "kernelspec": { - "display_name": "Julia 1.8.5", - "language": "julia", - "name": "julia-1.8" - }, - "language_info": { - "file_extension": ".jl", - "mimetype": "application/julia", - "name": "julia", - "version": "1.8.5" - } - }, - "nbformat": 4, - "nbformat_minor": 2 -} From 58039505dfb0decbd79465496c88ca67e727fd81 Mon Sep 17 00:00:00 2001 From: Darren Colby Date: Fri, 5 Jul 2024 17:56:51 -0500 Subject: [PATCH 22/24] Fixed documentation --- docs/src/api.md | 12 +++++------- src/CausalELM.jl | 11 +++++------ src/models.jl | 2 -- 3 files changed, 10 insertions(+), 15 deletions(-) diff --git a/docs/src/api.md b/docs/src/api.md index a4ddee88..41e0ff3a 100644 --- a/docs/src/api.md +++ b/docs/src/api.md @@ -1,7 +1,7 @@ # CausalELM -Most of the methods and structs here are private, not exported, should not be called by the -user, and are documented for the purpose of developing CausalELM or to facilitate -understanding of the implementation. +```@docs +CausalELM.CausalELM +``` ## Types ```@docs @@ -15,9 +15,8 @@ RLearner DoublyRobustLearner CausalELM.CausalEstimator CausalELM.Metalearner -CausalELM.ExtremeLearningMachine CausalELM.ExtremeLearner -CausalELM.RegularizedExtremeLearner +CausalELM.ELMEnsemble CausalELM.Nonbinary CausalELM.Binary CausalELM.Count @@ -100,7 +99,6 @@ CausalELM.fit! CausalELM.predict CausalELM.predict_counterfactual! CausalELM.placebo_test -CausalELM.ridge_constant CausalELM.set_weights_biases ``` @@ -113,5 +111,5 @@ CausalELM.one_hot_encode CausalELM.clip_if_binary CausalELM.@model_config CausalELM.@standard_input_data -CausalEL.generate_folds +CausalELM.generate_folds ``` diff --git a/src/CausalELM.jl b/src/CausalELM.jl index f4b4d354..949e42ae 100644 --- a/src/CausalELM.jl +++ b/src/CausalELM.jl @@ -1,10 +1,9 @@ """ -Macros, functions, and structs for applying Extreme Learning Machines to causal inference -tasks where the counterfactual is unavailable or biased and must be predicted. Supports -causal inference via interrupted time series designs, parametric G-computation, double -machine learning, and S-learning, T-learning, X-learning, R-learning, and doubly robust -estimation. Additionally, these tasks can be performed with or without L2 penalization and -will automatically choose the best number of neurons and L2 penalty. +Macros, functions, and structs for applying Ensembles of extreme learning machines to causal +inference tasks where the counterfactual is unavailable or biased and must be predicted. +Supports causal inference via interrupted time series designs, parametric G-computation, +double machine learning, and S-learning, T-learning, X-learning, R-learning, and doubly +robust estimation. For more details on Extreme Learning Machines see: Huang, Guang-Bin, Qin-Yu Zhu, and Chee-Kheong Siew. "Extreme learning machine: theory diff --git a/src/models.jl b/src/models.jl index 0b9bdd73..b13edda5 100644 --- a/src/models.jl +++ b/src/models.jl @@ -15,8 +15,6 @@ For more details see: Huang, Guang-Bin, Qin-Yu Zhu, and Chee-Kheong Siew. "Extreme learning machine: theory and applications." Neurocomputing 70, no. 1-3 (2006): 489-501. -See also [`CausalELM.RegularizedExtremeLearner`](@ref). - # Examples ```julia julia> x, y = [1.0 1.0; 0.0 1.0; 0.0 0.0; 1.0 0.0], [0.0, 1.0, 0.0, 1.0] From d39f14d69f766e4688b8ff84a5bd1c6990598324 Mon Sep 17 00:00:00 2001 From: Darren Colby Date: Fri, 5 Jul 2024 18:09:23 -0500 Subject: [PATCH 23/24] Updated version --- Project.toml | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/Project.toml b/Project.toml index 8e583b82..8e1fd321 100644 --- a/Project.toml +++ b/Project.toml @@ -1,7 +1,7 @@ name = "CausalELM" uuid = "26abab4e-b12e-45db-9809-c199ca6ddca8" authors = ["Darren Colby and contributors"] -version = "0.6.0" +version = "0.7.0" [deps] LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e" From 2df00321f05a762e4898360d6de920a0ad2a7074 Mon Sep 17 00:00:00 2001 From: Darren Colby Date: Fri, 5 Jul 2024 18:19:45 -0500 Subject: [PATCH 24/24] Tested persistent tasks --- test/runtests.jl | 4 +++- test/test_aqua.jl | 3 --- 2 files changed, 3 insertions(+), 4 deletions(-) delete mode 100644 test/test_aqua.jl diff --git a/test/runtests.jl b/test/runtests.jl index a5b44fcf..18b1e7ad 100644 --- a/test/runtests.jl +++ b/test/runtests.jl @@ -1,4 +1,5 @@ using Test +using Aqua using Documenter using CausalELM @@ -10,7 +11,8 @@ include("test_metalearners.jl") include("test_inference.jl") include("test_model_validation.jl") include("test_utilities.jl") -include("test_aqua.jl") + +Aqua.test_all(CausalELM) DocMeta.setdocmeta!(CausalELM, :DocTestSetup, :(using CausalELM); recursive=true) doctest(CausalELM) diff --git a/test/test_aqua.jl b/test/test_aqua.jl deleted file mode 100644 index 865951c2..00000000 --- a/test/test_aqua.jl +++ /dev/null @@ -1,3 +0,0 @@ -using Aqua - -Aqua.test_all(CausalELM; persistent_tasks=false)