Supplementto" Learning IndividualizedTreatment RuleswithManyTreatments: ASupervised ClusteringApproachUsingAdaptiveFusion "

For parametric models, we assume the linear main effect M0pZq " Z η where η PRp. For nonparametric regression, we follow [3] to divide the training data into M folds based on the assignedtreatment. In addition, since β PΘn, we have β PΘn as well. Hence, with similar derivations, we have }β i β j}1 " a2λn.BasedonAssumption4, Therefore, only the treatments that belong to the same group contribute to Γ2.