arXiv:2510.16127stat.MLcs.LG2025-10被引 4

统一三种密度比估计方法,提升因果推断中未观测干预的建模稳定性。

Learning density ratios in causal inference using Bregman-Riesz regression

  • 提出Bregman-Riesz回归框架,统一三类密度比估计方法。
  • 通过数据增强将密度比学习应用于因果推断中的未观测干预场景。
  • 支持梯度提升、神经网络等模型,提供可落地的Python工具包。

概率密度函数之比是统计学与机器学习中的基础概念,广泛应用于因果推断、强化学习、协变量偏移、异常检测、独立性检验、重要性采样及扩散建模等领域。直接使用核密度估计等方法分别估计分子和分母密度,会因高维特征导致性能不稳定且受维度诅咒影响。为此,已有多种方法通过(a)Bregman散度、(b)将密度比视为分类模型的似然比,或(c)将其看作连续线性映射的Riesz表示子,进而通过最小化Riesz损失进行估计。本文证明这三类方法可统一于一个新框架——Bregman-Riesz回归。进一步说明如何利用数据增强技术将密度比学习扩展至因果推断问题,其中分子分布通常代表未观测的干预。仿真结果表明,Bregman散度的选择与数据增强策略显著影响估计性能。论文提供基于梯度提升、神经网络和核方法的Python实现包,便于研究者实际应用。

原文摘要 · Abstract (English)

The ratio of two probability density functions is a fundamental quantity that appears in many areas of statistics and machine learning, including causal inference, reinforcement learning, covariate shift, outlier detection, independence testing, importance sampling, and diffusion modeling. Naively estimating the numerator and denominator densities separately using, e.g., kernel density estimators, can lead to unstable performance and suffer from the curse of dimensionality as the number of covariates increases. For this reason, several methods have been developed for estimating the density ratio directly based on (a) Bregman divergences or (b) recasting the density ratio as the odds in a probabilistic classification model that predicts whether an observation is sampled from the numerator or denominator distribution. Additionally, the density ratio can be viewed as the Riesz representer of a continuous linear map, making it amenable to estimation via (c) minimization of the so-called Riesz loss, which was developed to learn the Riesz representer in the Riesz regression procedure in causal inference. In this paper we show that all three of these methods can be unified in a common framework, which we call Bregman--Riesz regression. We further show how data augmentation techniques can be used to apply density ratio learning methods to causal problems, where the numerator distribution typically represents an unobserved intervention. We show through simulations how the choice of Bregman divergence and data augmentation strategy can affect the performance of the resulting density ratio learner. A Python package is provided for researchers to apply Bregman--Riesz regression in practice using gradient boosting, neural networks, and kernel methods.

因果推断密度比回归框架数据增强

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