Paper ID: 2402.04906

Conformal Convolution and Monte Carlo Meta-learners for Predictive Inference of Individual Treatment Effects

Jef Jonkers, Jarne Verhaeghe, Glenn Van Wallendael, Luc Duchateau, Sofie Van Hoecke

Knowledge of the effect of interventions, known as the treatment effect, is paramount for decision-making. Approaches to estimating this treatment effect using conditional average treatment effect (CATE) meta-learners often provide only a point estimate of this treatment effect, while additional uncertainty quantification is frequently desired to enhance decision-making confidence. To address this, we introduce two novel approaches: the conformal convolution T-learner (CCT-learner) and conformal Monte Carlo (CMC) meta-learners. The approaches 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. Although we show how assumptions about the noise distribution of the outcome influence the uncertainty predictions, our experiments demonstrate that the CCT- and CMC meta-learners achieve strong coverage while maintaining narrow interval widths. They also generate probabilistically calibrated predictive distributions, providing reliable ranges of ITEs across various synthetic and semi-synthetic datasets. Code: https://github.com/predict-idlab/cct-cmc

Submitted: Feb 7, 2024