Bayesian Additive Regression Tree (BART) with application to controlled trail data analysis

Transcription

1 Bayesian Additive Regression Tree (BART) with application to controlled trail data analysis Weilan Yang May / 20

2 Background CATE i = E(Y i (Z 1 ) Y i (Z 0 ) X i ) 2 / 20

3 Background Previous work done by Jennifer L. Hill 1 suggested that in Causal Inference, it is more convenient to user flexible non-parametric method(like BART). The better fit can be obtained without parametric assumption. BART could also perform variable selection and confidence interval construction(from posterior samples). Imputation and Extrapolation are the main challenges in causal inference. If BART is able to give a reasonable estimate to the test effect, it should also be able to extrapolate the data well in a controlled trail data. In other words, we could evaluate the prediction performance of BART in the range of non-overlapping data. 1 Hill,J.L.(2011).Bayesian nonparametric modeling for causal inference. Journal of Computational and Graphical Statistics, 20(1). 3 / 20

4 BART overview 2 Place CART within a Bayesian framework by specifying a prior on tree space. Can get multiple tree realizations by using tree-changing proposal distribution: birth/death/change/swap. Get multiple realizations of 1 tree, average over posterior to form predictions. 2 Chipman, H. A., George, E. I., & McCulloch, R. E. (1998). Bayesian CART model search. Journal of the American Statistical Association, 93(443), Chipman, H. A., George, E. I., & McCulloch, R. E. (2010). BART: Bayesian additive regression trees. The Annals of Applied Statistics, / 20

5 BART overview, compared with CART Use entropy to split the nodes, which may result to producing similar trees in RF; Hard to obtain an interval estimation of a statistic. 5 / 20

6 BART overview A general regression form: Regression trees form: y = f (x) + ɛ, ɛ N(0, σ 2 ) y = g(x; M, T ) + ɛ, ɛ N(0, σ 2 ) With Bayesian perspective, we need to specify the joint distribution of parameters 3 : π(t, M, σ 2 ) = π(m, σ 2 T )π(t ), M N(µ, Σ), σ 2 IG(v/2, vλ/2) 3 Here we assume equal variance, i.e. mean shift model. Alternatively, we could have mean-variance shift model 6 / 20

7 BART overview π(t ) doesn t have a closed form, needs a process to define: P SPLIT (η, T ), η : Further split from a leaf node? P RULE (ρ η, T ), ρ : Split by which variable? Which value? complexity penalty:p SPLIT (η, T ) = α(1 + d η ) β 7 / 20

8 BART overview Then, integrate out Θ = (M, σ 2 ) p(y X, T ) = p(y X, Θ, T )p(θ T )dθ posterior of the tree: p(t X, Y ) p(y X, T )p(t ) 8 / 20

9 BART overview posterior of the tree: p(t X, Y ) p(y X, T )p(t ) Cannot enumerate all possible p(t ) s, so we user Metropolis-Hastings 4 to sample trees: probability of T i to T (T i+1 = T ): α(t i, T ) = min T 0, T 1, T 2,... { q(t, T i ) p(y X, T )p(t } ) q(t i, T ) p(y X, T i )p(t i ), 1 q(t i, T i+1 ) p(t i T i+1 ) produced by four situations: GROW, PRUNE, CHANGE, SWAP / 20

10 BART overview Aggregate m trees: y = m g(x; M j, T j ) + ɛ j=1 Posterior of p((t 1, M 1 ), (T 2, M 2 ),..., (T m, M m ), σ y) is produced by Gibbs Sampler: The former can be simplified as: (T j, M j ) T (j), M (j), σ 2, y σ T 1,..., T m, M 1,..., M m, y IG (T j, M j ) R j, σ R j y k j g(x; T k, M k ) 10 / 20

11 Simulation study 5 Data generating mechanism: Y Z = β 0 Z + i i A β 1 Z X i + i j (i,j) B β 2 Z X j X k + i j k (i,j,k) C β 3 Z X i X j X k + ε Previous work(hill, 2011) indicates that BART captures non-linear trend; When β i Z=0 β i Z=1, Z and X i have interaction, parameters in data generating model doubles, more complex; When some β i s are set to 0, we could examine its variable selection ability / 20

12 Simulation study: capturing interaction Figure: When X i, Z have interaction) different trends Z and X i unequal variance among X i s 12 / 20

13 Simulation study: capturing interaction Figure: residual plot Conclusion 1: BART captures interaction between X i, Z 13 / 20

14 Simulation study: capturing interaction Setting: 3 covariates, with all interactions significant, β i Z=0 β i Z=1 Table: MSE of OLS and BART on test dataset fit on overall data fit on separate labels OLS BART Conclusion 2: When β i Z=0 β i Z=1 (more parameters, complex model), fitting BART on separate labels gives better result. 14 / 20

15 Simulation study: variable selection Setting: 30 candidate covariates, with 3 of them significant( β i > 1), 27 not significant( β i = 0.001), 3 2nd order interactions(significant), 1 3rd order interaction(significant). Table: MSE of OLS and BART on test dataset fit on overall data fit on separate labels OLS BART Conclusion 3: BART has strong ability of variable selection. 15 / 20

16 Simulation study: extrapolation 16 / 20

17 Simulation study: extrapolation Conclusion 4: With only one covariate, BART cannot extrapolate well, trend will follow the existing ones if fitted together, and constant prediction is made if fitted separately. 17 / 20

18 Simulation study: extrapolation Figure: real data 18 / 20

19 Simulation study: extrapolation Figure: fitting overall data Conclusion 5: Multiple covariates with interaction will help BART in extrapolation. 19 / 20

20 Simulation study: extrapolation Figure: residual plot However, the system error is unavoidable. 20 / 20