The conformal convolution T-learner (CCT-learner) and conformal Monte Carlo (CMC) meta-learners leverage weighted conformal predictive systems (WCPS), Monte Carlo sampling, and CATE meta-learners to generate predictive distributions of individual treatment effect (ITE) that could enhance individualized decision-making. The preprint version of our paper is accessible for review and feedback. To access the preprint, please visit here.

The following code shows how the CCT and CMC learners can be used. The example uses a CCT- and CMC T-learner trained using Random Forest Regressors from sklearn, however, a X- or S-learner is also supported using CMC_X_Learner and CMC_S_Learner.

from src.cmc_metalearners.cmc_metalearners import CCT_Learner, CMC_T_Learner
from sklearn.ensemble import RandomForestRegressor


X, y, W, ps = ...  # your treatment effect dataset (X = covariates, y = outcome, T = treatment variable)

# If you use the CCT version
cct_Learner = CCT_Learner(
            RandomForestRegressor(),
            RandomForestRegressor(),
            adaptive_conformal=adaptive_conformal,
)

#If you use the pseudo CMC version
CMC_Learner = CMC_T_Learner(
            RandomForestRegressor(),
            RandomForestRegressor(),
            adaptive_conformal=adaptive_conformal,
            pseudo_MC=True,
            MC_samples=MC_samples,
)

#If you use the full Monte Carlo version
CMC_Learner = CMC_T_Learner(
            RandomForestRegressor(),
            RandomForestRegressorRandomForestRegressor(),
            adaptive_conformal=adaptive_conformal,
            pseudo_MC=False,
            MC_samples=MC_samples,
)


cct_Learner.fit(X, y, W, ps)  # Fit the CCT-Learner on the treatment effect dataset
CMC_Learner.fit(X, y, W, ps)  # Fit the CMC-Learner on the treatment effect dataset

#Get a symmetric interval (i.e. the same amount of coverage in the right and left parts of the interval) of the CATE estimate with coverage of 1-alpha for all samples in X
int_CCT_Learner = cct_Learner.predict_int(X, confidence=1-alpha, p=ps)
int_CMC_Learner = CMC_Learner.predict_int(X, confidence=1-alpha)

#Get the predictive distribution of the CATE estimate
cps_CCT_Learner = cct_Learner.predict_cps(X, p=ps)
cps_CMC_Learner = CMC_Learner.predict_cps(X)

The CCT framework is built using weighted conformal predictive systems and meta-learners. First, it fits on the outcomes and calibrates the separate learners afterwards using a weighted conformal predictive system. Using the calibrated learners, it calculates the ITE for every training sample using by performing a convolution of the potential outcomes.

The CMC framework is built using Monte Carlo sampling, weighted conformal predictive systems, and meta-learners. First, it fits the meta-learner and calibrates the separate learners afterwards using a conformal predictive system. Using the calibrated learners, n ITE Monte Carlo samples are calculated for every training sample using:

• $MC_{ITE} = \hat{Y}^1 - \hat{Y}^0 $
• $Pseudo-MC_{ITE} = W(Y-\hat{Y}^0) + (1-W)\hat{Y}^1 $

The full meta-learner is then calibrated again using conformal predictive systems on these sampled ITEs to provide a predictive distribution of the CATE, given X.

If you use CCT-Learner and CMC-Learner in a scientific publication, we would highly appreciate citing us as:

@misc{jonkers2024conformal,
      title={Conformal Convolution and Monte Carlo Meta-learners for Predictive Inference of Individual Treatment Effects},
      author={Jef Jonkers and Jarne Verhaeghe and Glenn Van Wallendael and Luc Duchateau and Sofie Van Hoecke},
      year={2024},
      eprint={2402.04906},
      archivePrefix={arXiv},
      primaryClass={cs.LG}
}

The preprint version of the paper can be found at https://arxiv.org/abs/2402.04906.

This package is available under the MIT license. More information can be found here.

👤 Jef Jonkers, Jarne Verhaeghe