While significant progress has been made in heterogeneous treatment effect (HTE) estimation, the evaluation of HTE estimators remains underdeveloped. In this article, we propose a robust evaluation framework based on relative error, which quantifies performance differences between two HTE estimators. We first derive the key theoretical conditions on the nuisance parameters that are necessary to achieve a robust estimator of relative error. Building on these conditions, we introduce novel loss functions and design a neural network architecture to estimate nuisance parameters and obtain robust estimation of relative error, thereby achieving reliable evaluation of HTE estimators. We provide the large sample properties of the proposed relative error estimator. Furthermore, beyond evaluation, we propose a new learning algorithm for HTE that leverages both the previously HTE estimators and the nuisance parameters learned through our neural network architecture. Extensive experiments demonstrate that our evaluation framework supports reliable comparisons across HTE estimators, and the proposed learning algorithm for HTE exhibits desirable performance.

Weighting methods in causal inference have been widely used to achieve a desirable level of covariate balancing. However, the existing weighting methods have desirable theoretical properties only when a certain model, either the propensity score or outcome regression model, is correctly specified. In addition, the corresponding estimators do not behave well for finite samples due to large variance even when the model is correctly specified. In this paper, we consider to use the integral probability metric (IPM), which is a metric between two probability measures, for covariate balancing. Optimal weights are determined so that weighted empirical distributions for the treated and control groups have the smallest IPM value for a given set of discriminators. We prove that the corresponding estimator can be consistent without correctly specifying any model (neither the propensity score nor the outcome regression model). In addition, we empirically show that our proposed method outperforms existing weighting methods with large margins for finite samples.

Causal effect estimation for dynamic treatment regimes (DTRs) contributes to sequential decision making. However, censoring and time-dependent confounding under DTRs are challenging as the amount of observational data declines over time due to a reducing sample size but the feature dimension increases over time. Long-term follow-up compounds these challenges. Another challenge is the highly complex relationships between confounders, treatments, and outcomes, which causes the traditional and commonly used linear methods to fail. We combine outcome regression models with treatment models for high dimensional features using uncensored subjects that are small in sample size and we fit deep Bayesian models for outcome regression models to reveal the complex relationships between confounders, treatments, and outcomes. Also, the developed deep Bayesian models can model uncertainty and output the prediction variance which is essential for the safety-aware applications, such as self-driving cars and medical treatment design. The experimental results on medical simulations of HIV treatment show the ability of the proposed method to obtain stable and accurate dynamic causal effect estimation from observational data, especially with long-term follow-up. Our technique provides practical guidance for sequential decision making, and policy-making.

Contextual bandit algorithms are increasingly replacing non-adaptive A/B tests in e-commerce, healthcare, and policymaking because they can both improve outcomes for study participants and increase the chance of identifying good or even best policies. To support credible inference on novel interventions at the end of the study, nonetheless, we still want to construct valid confidence intervals on average treatment effects, subgroup effects, or value of new policies. The adaptive nature of the data collected by contextual bandit algorithms, however, makes this difficult: standard estimators are no longer asymptotically normally distributed and classic confidence intervals fail to provide correct coverage. While this has been addressed in non-contextual settings by using stabilized estimators, the contextual setting poses unique challenges that we tackle for the first time in this paper. We propose the Contextual Adaptive Doubly Robust (CADR) estimator, the first estimator for policy value that is asymptotically normal under contextual adaptive data collection. The main technical challenge in constructing CADR is designing adaptive and consistent conditional standard deviation estimators for stabilization. Extensive numerical experiments using 57 OpenML datasets demonstrate that confidence intervals based on CADR uniquely provide correct coverage.