This is a package for a varying-coefficient regression with Gaussian process priors on the varying coefficients. The coefficient functions are dependent on the confounders. The linear elements are the basis expansion of the treatment variable, allowing for causal inference for continuous variables.

It can be installed using (requires appropriate c++ compilers, see the documentation of Rcpp):

install.packages("https://github.com/mazphilip/AdditiveCausalExpansion/raw/master/builds/ace_0.4.1.tar.gz", repos = NULL, type = "source")

Generally, need to verify that Lapack and Arpack libraries are installed (required by Armadillo):

• Mac OS: Requires Lapack and Arpack with non-system g++ compiler (llvm), for example using: https://github.com/coatless/r-macos-rtools
• Ubuntu 16.04: Requires manual installation of Arpack (and Lapack if not already installed)

sudo apt-get install libarpack2-dev libarpack++2-dev
sudo apt-get install liblapack-dev libblas-dev libatlas-base-dev 

• AWS Linux (+ RHEL & Fedora): Needs more testing
• Windows: Requires Rtools and manual installation of Lapack & Arpack for MINGW (not fully tested)

The intended use case is a (for now) single dimensional set of a continuous variable Z whose marginal causal effect we are interested in. The other set, the control/confounding variables X are used to adjust for the confounding (see Pearl . Using Gaussian processes, we can use differentiable spline bases to obtain the marginal effect.

Formally,

y = mu + g(x) * b(z) + eps,

where each element of g has an independent GP-prior with covariance kernel K_g and zero prior-mean, b is a polynomial spline design vector (with dimension B), and mu is the mean. The noise term eps is Gaussian with unknown variance sig^2. As there is no useful basis extension for a binary (treatment) variable z, the model reduces to my CausalStump method.

We can write the model in reduced form y = f(x,z) + eps with f ~ GP(mu, K_r) where the additive kernel is given by

K_r(i,j) = sum_{l=1}^B K_{g_l}(x_i,x_j) b_l(z_i) b_l(z_j).

This constitutes a proper covariance Mercer kernel (sum of a product of kernels) and we can use standard Gaussian process inference methods to obtain the posterior distribution, i.e. empirical Bayes.

library(ace)
# generate data
set.seed(1234)
n2 <- 300
df <- data.frame(x = runif(n2, min = 1, max = 2))
df$x2 <- runif(n2, min = -1, max = 1)
df$z  <- rnorm(n2, exp(df$x) - 14, 1)
y_truefun <- function(x, z) {
    as.matrix(sqrt(x[, 1]) + x[, 2] * 3 * ((z + 8)^2 - 2 * z))
}
y2_true <- y_truefun(df[, c("x", "x2")], df$z)
df$y <- rnorm(n2, mean = y2_true, sd = 1)
# train model
my.ace <- ace(y ~ x + x2 | z, data = df, kernel="SE",
              basis = "cubic", n.knots = 2,
              optim = "Nadam", learning_rate = 0.01)
my.pred <- predict(my.ace)
plot(df$y, my.pred$map)
abline(0, 1, lty = 2)
# prediction of the curve as contour
plot(my.ace, "x2", show.observations = TRUE)
# prediction of the curve in 3D if plotly installed
plot(my.ace, "x2", plot3D = TRUE, show.observations = TRUE)

#difference to the true marginal curve
marg_truefun <- function(x, z) {
    as.matrix(sqrt(x[, 1]) + x[, 2] * 3 * (2 * (z + 8) - 2))
}
plot(my.ace, "x2", marginal = TRUE, show.observations = TRUE, truefun = marg_truefun)

Interactive version: https://plot.ly/~mazphilip/3/