用能量距离选关键样本点,提升高维数据因果推断的效率与精度。
Double Machine Learning for Adaptive Causal Representation in High-Dimensional Data
- 基于能量距离选取最优代表点,替代传统随机分样本。
- 深度学习结合该方法在计算效率和估计质量上均优于支持向量机。
- 适合处理大规模观测数据中的因果推断问题,尤其适用于高维场景。
本文提出从观测数据中自适应学习因果表示,结合半参数估计方程框架内的高效样本分裂技术。采用基于能量距离的支持点样本分裂(SPSS)方法,选取并分割出能最优代表原始全数据的支撑点,相比传统随机分裂更有效保留底层数据生成分布的结构信息。实验中使用支持向量机(SVM)、深度学习(DL)及融合深度学习的混合超学习器(SDL)三种机器学习估计器,在401(k)退休计划真实数据集上与Chernozhukov等人(2018)的基准结果(基于随机森林、神经网络和回归树的k折交叉拟合)进行对比。模拟结果显示,采用SPSS的DL方法在计算效率上表现更优,而基于DL与SL的混合方法在估计质量上显著优于SVM与SPSS组合。
原文摘要 · Abstract (English)
Adaptive causal representation learning from observational data is presented, integrated with an efficient sample splitting technique within the semiparametric estimating equation framework. The support points sample splitting (SPSS), a subsampling method based on energy distance, is employed for efficient double machine learning (DML) in causal inference. The support points are selected and split as optimal representative points of the full raw data in a random sample, in contrast to the traditional random splitting, and providing an optimal sub-representation of the underlying data generating distribution. They offer the best representation of a full big dataset, whereas the unit structural information of the underlying distribution via the traditional random data splitting is most likely not preserved. Three machine learning estimators were adopted for causal inference, support vector machine (SVM), deep learning (DL), and a hybrid super learner (SL) with deep learning (SDL), using SPSS. A comparative study is conducted between the proposed SVM, DL, and SDL representations using SPSS, and the benchmark results from Chernozhukov et al. (2018), which employed random forest, neural network, and regression trees with a random k-fold cross-fitting technique on the 401(k)-pension plan real data. The simulations show that DL with SPSS and the hybrid methods of DL and SL with SPSS outperform SVM with SPSS in terms of computational efficiency and the estimation quality, respectively.
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