Learning Decision Policies with Instrumental Variables through Double Machine Learning ...

• Main Authors: Shao, Daqian, Soleymani, Ashkan, Quinzan, Francesco, Kwiatkowska, Marta
• Format: Report
• Language: unknown
• Published: arXiv 2024
• Subjects: Machine Learning cs.LG; Machine Learning stat.ML; FOS Computer and information sciences; DML
• Online Access: https://dx.doi.org/10.48550/arxiv.2405.08498; https://arxiv.org/abs/2405.08498

A common issue in learning decision-making policies in data-rich settings is spurious correlations in the offline dataset, which can be caused by hidden confounders. Instrumental variable (IV) regression, which utilises a key unconfounded variable known as the instrument, is a standard technique for learning causal relationships between confounded action, outcome, and context variables. Most recent IV regression algorithms use a two-stage approach, where a deep neural network (DNN) estimator learnt in the first stage is directly plugged into the second stage, in which another DNN is used to estimate the causal effect. Naively plugging the estimator can cause heavy bias in the second stage, especially when regularisation bias is present in the first stage estimator. We propose DML-IV, a non-linear IV regression method that reduces the bias in two-stage IV regressions and effectively learns high-performing policies. We derive a novel learning objective to reduce bias and design the DML-IV algorithm following ... : Accepted at ICML 2024 ...