Inverse Probability Weighting

Momentum

2 papers in the last four weeks, against 2 the four weeks before. 0.0% of all new papers.

Jul 13Week of Sep 28

Latest papers 14

Sep 22, 2026cs.LG

Learning Risk Scores Robust to Unobserved Confounders

We consider the problem of learning risk scores to prioritize individuals for scarce resources or interventions, from historical observational data affected by unobserved confounding. Decisions about who receives scarce resources are often guided by risk scores based on recorded characteristics, such as responses to a survey. These risk scores are increasingly being learned directly from observational data: historical records of individuals' characteristics, allocation decisions, and outcomes. Standard methods such as inverse propensity weighting (IPW), which corrects for the bias introduced by the historical allocation policy, can be used to learn accurate risk scores if the historical decision process is fully explained by the recorded characteristics. In practice, however, historical decisions often depend on unrecorded information, causing learned risk scores to systematically under-prioritize exactly the individuals whose unrecorded circumstances drove past prioritization. We propose a method for learning risk scores that are robust to this kind of unobserved confounding, building on IPW. Since propensity weights cannot be reliably estimated under unobserved confounding, we instead treat them as belonging to an uncertainty set determined by the observable data and domain-informed estimates of the degree of confounding, combining sensitivity analysis from causal inference with Wasserstein distributionally robust optimization. The resulting robust risk score learning problem admits a sample-based approximation that we reformulate as an exponential cone program compatible with off-the-shelf solvers. We demonstrate the effectiveness of our approach on semi-synthetic data derived from datasets in the UCI Machine Learning Repository. Our method improves calibration by up to 29.2% over traditional benchmarks and up to 11.1% over the state of the art, without compromising other metrics.
Sep 8, 2026stat.ME

Differentially Private Average Treatment Effect Estimation by Propensity Score Blocking

Average treatment effect (ATE) estimation in observational studies is a fundamental statistical tool used frequently in social science, medicine, and other fields. These fields often work with sensitive data where privacy protections are important, so a differentially private mechanism for ATE estimation is highly desirable. Here we present two propensity score-based algorithms for ATE estimation on observational data, one improving the inverse probability weighting (IPW) method used in prior work, and the other using blocking on the propensity score (BPS). Both show lower error and less bias than prior work, with the BPS-based algorithm frequently reducing error by 75% or more compared to prior work.
Aug 12, 2026cs.LG

When Can You Trust Offline Evaluation of Equal-Cost Top-k Allocation? A Controlled, Reproducible Benchmark and Practitioner's Guide

Organizations decide whom to treat under a budget and want to know what a targeting rule would have earned before deploying it. Off-policy evaluation promises this from logged data, but the deployable rule is a deterministic top-k policy: it removes all averaging over actions, so weak overlap hits the estimate directly. We benchmark six estimators across five datasets and two known-effect sweeps, and validate the mechanisms against a non-simulated paired reference. First, weak overlap is governed by logger-target action alignment, not by logging sharpness alone: what governs support is the logger's probability of the target's actions. Sharpening a logger built from the target's own score barely moves overlap over the tested range; action-level disagreement collapses it. Effective sample size ranks this risk across logging environments, but is weak at ranking candidates within the single log a practitioner holds, and its cut point does not transfer. Second, the optimizer's curse is not fixed by cross-fitting the outcome nuisance. When the rule is fit on the data used to evaluate it, cross-fitting the nuisance alone leaves the reuse bias in place and makes it worse. Honest policy-level splitting avoids the reuse by targeting the learning procedure's value -- a change of estimand, not a de-biasing of the full-sample policy. Third, propensity-estimation error is the largest degradation we measure: an out-of-fold estimate hurts IPS more than any other stress we apply, leaves doubly-robust estimation almost unchanged, and can invert the overlap diagnostic itself. Logging is synthesized and propensities floored at 0.02, so every failure occurs with bounded weights; the floor also reduces the two tuned hybrids to their untuned parents, leaving four practically distinct estimators, and all exact-value surfaces are synthetic or semi-synthetic. We release the benchmark; public data only.
Aug 11, 2026cs.LG

PAIR: Pairwise-Aware Inclusion Reweighting for Adaptive Rollout Allocation in RLVR

Reinforcement learning with verifiable rewards (RLVR) spends most of its compute generating groups of long reasoning trajectories. Recent allocators reduce this cost by assigning budgets to prompts, rollouts, or tokens according to a pointwise notion of difficulty or utility. We identify a statistical mismatch: the unclipped leave-one-out group-relative score gradient is not a sum of independent point contributions, but a second-order U-statistic over pairs of rollouts. Completing one rollout therefore reveals contrast with every other completed rollout, and adaptive endpoint selection changes which pair terms are observable. We introduce PAIR (Pairwise-Aware Inclusion Reweighting), which treats short rollout prefixes as vertices and pair-gradient terms as edges of a contrast graph. A prefix-only predictor estimates correctness and remaining token cost; a convex design chooses positive continuation probabilities under an expected suffix-token budget; and each edge induced by completed vertices is inverse-weighted by its logged joint inclusion probability. Under conditionally independent on-policy rollouts and an unclipped, unstandardized objective, the resulting estimator is design-unbiased for the complete candidate-pair gradient. Across compute-matched RLVR runs on Qwen3-1.7B/4B, PAIR improves average accuracy by +1.2 and +1.4 over the strongest pointwise allocator while using 51% and 52% fewer generated tokens than full-group GRPO. A frozen-population estimator audit confirms that unweighted adaptive selection is biased, whereas pair-inclusion correction recovers the complete-pair target at matched suffix cost.
Aug 1, 2026stat.ME

Augmented Inverse Hybrid Weighting: Robust Inference under Deterministic and Random Distribution Shifts

Reweighting source samples to match a target covariate distribution is a standard response to distribution shift when generalizing evidence from one population to another. This strategy is well suited to deterministic, learnable covariate discrepancies, but can be insufficient when source--target population differences also contain changes beyond covariate shift or when estimation of the density-ratio weights is unstable. To address this challenge, we introduce a new model that allows non-systematic changes between two population laws after systematic shifts are accounted for. Such residual shift is modeled as random perturbations to the probability space that cannot be represented in a learnable way. In this way, we separate systematic shifts, treated as bias and corrected by reweighting, from residual random perturbations, treated as distributional uncertainty and handled through dataset pooling. Under pure random perturbations, this principle yields Augmented Inverse Distance Weighting (AIDW), which uses regression augmentation and variance-optimal dataset-level pooling. For mixed shifts, we develop Augmented Inverse Hybrid Weighting (AIHW), which interpolates between AIDW and standard augmented importance weighting. Both methods trade off sampling uncertainty and distributional uncertainty via a \emph{distributional distance} that describes the strength of random perturbations. We establish asymptotic properties of the methods, together with plug-in guidance for choosing tuning parameters and model diagnostic tools. Experiments on three real-world multi-site datasets demonstrate consistent reductions in mean-squared error compared with standard weighting baselines, along with substantially improved empirical coverage in settings where covariate-shift adjustment alone undercovers, showing the robustness of the proposed methods across diverse distribution shift scenarios.
Jul 15, 2026cs.LG

PUe: Biased Positive-Unlabeled Learning Enhancement by Causal Inference

Positive-Unlabeled (PU) learning aims to achieve high-accuracy binary classification with limited labeled positive examples and numerous unlabeled ones. Existing cost-sensitive-based methods often rely on strong assumptions that examples with an observed positive label were selected entirely at random. In fact, the uneven distribution of labels is prevalent in real-world PU problems, indicating that most actual positive and unlabeled data are subject to selection bias. Building on the SAR-PU propensity-weighted framework of Bekker et al., we study a PU learning enhancement (PUe) framework using normalized propensity scores and normalized inverse probability weighting (NIPW). PUe's main contributions are a normalized inverse-probability-weighted PU risk formulation; additional theoretical analyses of normalized sample-weight error and common PU estimators under biased labeling; regularized deep propensity-score estimation; integration with modern cost-sensitive PU methods; and support for selectively labeled negative classes. Experiments on MNIST, CIFAR-10, and ADNI demonstrate improvements over several PU baselines under non-uniform label distributions.
Jul 13, 2026cs.LG

Rank-Conditioned Sample Reuse for the Plackett--Luce Best-of-KK Objective

We study the coupled objective J_K^WOR = E_{S ~ PL-WOR_K}[max_{i in S} R_i]: the expected maximum reward of a size-K Plackett-Luce draw without replacement, the law of Gumbel-Top-K / Stochastic Beam Search decoding. This estimand differs from the conventional i.i.d. objective J_K^iid = E[max_{i<=K} R_i] targeted by existing sample-reuse Max@K estimators, and reusing their i.i.d. weights under the coupled sampler is provably biased (a closed-form three-item instance gives E[g_iid] = (4/5) grad J_K^WOR exactly; pass@K under the coupled sampler is the binary-reward special case). Generic joint-score REINFORCE is already unbiased for J_K^WOR; what it lacks is sample reuse. Our contribution is to instantiate standard rank-conditioned Horvitz-Thompson estimation for the J_K^WOR subset total: from one Gumbel-Top-n pool (n>K) and its observed priority threshold we build an estimator that reuses all C(n,K) embedded K-subsets, unbiased with an unbiased exact score-function surrogate gradient, plus a reward-sorted Max-specific dynamic program that collapses the C(n,K)-term subset sum (with K!-cost set probabilities) exactly to a one-dimensional integral. A fixed-Q quadrature evaluation costs O(n log n + nKQ) arithmetic and is numerically, not algebraically, exact; no epsilon-approximation rate is certified. Each nonzero degree-K Horvitz-Thompson term has finite second moment exactly when n >= 2K; under the same assumptions the full surrogate gradient has finite second moment whenever n >= 2K (sharpness there is open). At K=1 the construction recovers classical priority sampling. All quantities require only the values and differentiable computation graphs of the n+1 drawn items' probabilities, so finite structured sequence policies sampled by exact SBS are covered. A certified finite-Q quadrature bound and countably infinite support remain open. Validation code is included as ancillary files.
Jun 25, 2026cs.LG

Cross-Head Attention Uplift Network with Inverse Propensity Score under Unobserved Confounding

Uplift modeling, crucial for estimating individual treatment effects (ITE), faces dual challenges: flexibly leveraging inter-group similarity to enhance discriminative power and debiasing under unobserved confounding scenarios. In this paper, we propose the Cross-Head Attention Uplift Network (CHAUN) and Robust Adversarial Inverse Propensity Score (RA-IPS) method to address these limitations. CHAUN employs shared feature embeddings and cross-head attention mechanisms to dynamically integrate treatment-specific and control-specific representations, enhancing inter-group correlation modeling. Theoretically, we prove that access to the true propensity scores ensures ITE identifiability even with unobserved confounders. For practical scenarios lacking true propensity scores, RA-IPS adversarially optimizes propensity weights within constrained uncertainty sets to mitigate bias from unobserved variables. Experiments on public datasets (CRITEO-UPLIFT, LAZADA) and a production e-commerce dataset demonstrate CHAUN's superiority over state-of-the-art uplift models, achieving relative improvements of up to 25.6% in QINI scores. RA-IPS further enhances robustness, outperforming standard IPS by 5.4% under unobserved confounding. The results validate the effectiveness of our proposed methods in real-world causal inference tasks.
Jun 21, 2026stat.ML

Statistical Inference for Misspecified Contextual Bandits

Contextual bandit algorithms have transformed modern experimentation by enabling real-time adaptation for personalized treatment. Yet these advantages create challenges for statistical inference due to adaptivity. We study inference with contextual-bandit data without assuming a well-specified outcome model. In this setting, we show a previously overlooked issue: standard algorithms such as LinUCB may fail to stabilize under misspecified working models, leading to non-Gaussian estimator behavior and invalid inference. This issue is practically important, as misspecified working models -- such as approximations of complex dynamical systems -- are often employed by online agents in real-world adaptive experiments to balance reward, computational tractability, and robustness. We develop an inverse-probability-weighted Z-estimation framework for a broad class of marginal moment targets, including projection parameters, structural parameters with noisy contexts, and off-policy values. We identify a stability condition tailored to this framework, scaled inverse-propensity convergence, under which the IPW-Z estimator is consistent and asymptotically normal with a consistent sandwich variance estimator. We further establish sufficient conditions for scaled inverse-propensity convergence for several policy classes, including multi-armed bandit algorithms and smooth contextual allocation policies. Simulations and a HeartSteps V1 real-data-calibrated application show reliable coverage and competitive performance across multiple targets. Overall, our results highlight the importance of stability-aware adaptive design for valid post-experiment inference.
Jun 6, 2026stat.ML

MEC-Cox: Machine-Learning-Assisted Generalized Entropy Calibration for ATT Marginal Hazard-Ratio Estimation

Externally controlled survival trials are increasingly used when concurrent randomized controls are infeasible, particularly in oncology and rare-disease settings with time-to-event endpoints. We target an average-treatment-effect-on-the-treated (ATT)-type marginal hazard-ratio estimand, comparing treatment with counterfactual control in the treated trial population, and estimate it using inverse-probability-weighted (IPW) Cox regression. Valid inference is challenging because IPW Cox regression depends on the weights through both event contributions and risk-set averages, making flexible machine-learning nuisance estimation difficult to incorporate directly. Building on machine-learning-assisted generalized entropy calibration (MEC) by Lee and Kim (2026), we propose MEC-Cox for ATT-weighted IPW Cox regression. The method begins with normalized source-propensity-score odds weights for external controls and then applies Bregman calibration to balance cross-fitted prognostic summaries between external controls and treated trial patients. The calibration basis may include control-survival predictions, Cox linear predictors, penalized-survival-model predictions, or other prognostic-score summaries. MEC-updated weights therefore play a dual role as source-transport and prognostic-score balancing weights. We establish consistency, characterize a calibration-induced efficiency gain, and develop a stacked sandwich variance estimator. Simulations show that MEC-Cox can reduce bias, increase efficiency, and improve coverage through flexible machine-learning-assisted adjustment.
Jun 2, 2026cs.LG

Tailoring Strictly Proper Scoring Rules for Downstream Tasks: An Application to Causal Inference

Probabilistic models are typically trained using task-agnostic objectives like log-loss, which can lead to significant errors in downstream estimation. This disconnect is especially critical in Inverse Probability Weighting (IPW) for causal inference, where propensity score errors near 00 and 11 often lead to high bias and variance. We propose a principled framework for deriving task-specific strictly proper scoring rules by matching the local curvature of the downstream error metric. We apply this to the Average Treatment Effect (ATE) estimation, deriving a closed-form loss and its corresponding canonical probability mapping that can be readily integrated with any model like a neural network or a gradient boosting algorithm. Extensive evaluations on causal inference benchmarks demonstrate that our tailored objective consistently outperforms standard likelihood-based and covariate-balancing approaches.
May 26, 2026cs.LG

Linear and Neural Dueling Bandits with Delayed Feedback

Contextual dueling bandits form a cornerstone of preference-based decision-making, with critical applications in recommender systems and large language model alignment. However, standard algorithms rely on the idealized assumption of immediate feedback, a condition frequently violated in real-world scenarios such as prompt optimization. This setting introduces a unique theoretical challenge: unlike linear bandits, dueling bandit estimators lack closed-form solutions, rendering naive adaptations of standard weighting techniques biased. To address this, we formalize the problem of Contextual Dueling Bandits with Stochastic Delayed Feedback and propose two novel algorithms: Linear (LDB-DF) and Neural (NDB-DF) Dueling Bandits with Delayed Feedback. Central to our approach is a novel estimator that integrates an Inverse Probability Weighting (IPW) mechanism directly into the loss function, ensuring unbiased correction for delayed or missing feedback. We provide comprehensive theoretical analysis, establishing an O(d*sqrt(T)) regret bound for the linear setting and sub-linear guarantees for the neural setting. Extensive experiments on both simulated and real-world datasets demonstrate the effectiveness of our propose.
Apr 29, 2026cs.LG

Who Trains Matters: Federated Learning under Enrollment and Participation Selection Biases

Federated learning (FL) trains a shared model from updates contributed by distributed clients, often implicitly assuming that contributing clients are representative of the target population. In practice, this representativeness assumption can fail at two distinct stages, inducing selection bias. First, eligibility rules such as device constraints, software requirements, or user consent determine which clients are ever enrolled and reachable for training, inducing \emph{enrollment bias}. Second, among enrolled clients, user and system factors such as battery state, network status, and local time determine which clients participate in each communication round, inducing \emph{participation bias}. Although existing work has largely addressed round-level participation bias, it has paid far less attention to population-level enrollment bias, which can induce a persistent mismatch between the training objective and the target-population objective. We formalize FL under a two-stage selection model and derive \textsc{FedIPW}, an inverse-probability-weighted aggregation scheme that recovers the target-population mean update under standard ignorability and positivity assumptions. Because client-level covariates are often unavailable for non-enrolled clients, we also introduce a limited-information aggregate-calibration extension that uses known target-population summaries to reweight the enrolled sample, partially correcting enrollment bias. We further provide an algorithm-agnostic optimization analysis under residual weighting error and show that incomplete selection correction can induce a non-vanishing bias floor. Finally, experiments on synthetic federated logistic regression validate the predicted objective mismatch and show that enrollment correction reduces target-population error under two-stage selection.
Apr 23, 2026stat.ML

Calibeating Prediction-Powered Inference

We study semisupervised mean estimation with a small labeled sample, a large unlabeled sample, and a black-box prediction model whose output may be miscalibrated. A standard approach in this setting is augmented inverse-probability weighting (AIPW) [Robins et al., 1994], which protects against prediction-model misspecification but can be inefficient when the prediction score is poorly aligned with the outcome scale. We introduce Calibrated Prediction-Powered Inference, which post-hoc calibrates the prediction score on the labeled sample before using it for semisupervised estimation. This simple step requires no retraining and can improve the original score both as a predictor of the outcome and as a regression adjustment for semisupervised inference. We study both linear and isotonic calibration. For isotonic calibration, we establish first-order optimality guarantees: isotonic post-processing can improve predictive accuracy and estimator efficiency relative to the original score and simpler post-processing rules, while no further post-processing of the fitted isotonic score yields additional first-order gains. For linear calibration, we show first-order equivalence to PPI++. We also clarify the relationship among existing estimators, showing that the original PPI estimator is a special case of AIPW and can be inefficient when the prediction model is accurate, while PPI++ is AIPW with empirical efficiency maximization [Rubin et al., 2008]. In simulations and real-data experiments, our calibrated estimators often outperform PPI and are competitive with, or outperform, AIPW and PPI++. We provide an accompanying Python package, ppi_aipw, at https://larsvanderlaan.github.io/ppi-aipw/.