Nonparametric Instrumental Variable Regression through Stochastic Approximate Gradients

Yuri Fonseca, Caio Peixoto, Yuri Saporito

Keywords: Nonparametric Instrumental Variables, Stochastic Gradients, RKHS, Binary response, Deep Learning, Causality

TL;DR: We address the problem of nonparametric instrumental variable regression using stochastic gradient descent in a function space.

Abstract: Instrumental variables (IVs) provide a powerful strategy for identifying causal effects in the presence of unobservable confounders. Within the nonparametric setting (NPIV), recent methods have been based on nonlinear generalizations of Two-Stage Least Squares and on minimax formulations derived from moment conditions or duality. In a novel direction, we show how to formulate a functional stochastic gradient descent algorithm to tackle NPIV regression by directly minimizing the populational risk. We provide theoretical support in the form of bounds on the excess risk, and conduct numerical experiments showcasing our method's superior stability and competitive performance relative to current state-of-the-art alternatives. This algorithm enables flexible estimator choices, such as neural networks or kernel based methods, as well as non-quadratic loss functions, which may be suitable for structural equations beyond the setting of continuous outcomes and additive noise. Finally, we demonstrate this flexibility of our framework by presenting how it naturally addresses the important case of binary outcomes, which has received far less attention by recent developments in the NPIV literature.

Primary Area: Optimization (convex and non-convex, discrete, stochastic, robust)

Submission Number: 18416