BayesIMP: Uncertainty Quantification for Causal Data Fusion

Siu Lun Chau, Jean-Francois Ton, Javier Gonzalez, Yee Whye Teh, Dino Sejdinovic

Keywords: Kernel Methods, Causal Inference, Uncertainty Quantification

TL;DR: Quantifying uncertainty in multiple causal graphs with Bayesian kernel mean embeddings.

Abstract: While causal models are becoming one of the mainstays of machine learning, the problem of uncertainty quantification in causal inference remains challenging. In this paper, we study the causal data fusion problem, where data arising from multiple causal graphs are combined to estimate the average treatment effect of a target variable. As data arises from multiple sources and can vary in quality and sample size, principled uncertainty quantification becomes essential. To that end, we introduce \emph{Bayesian Causal Mean Processes}, the framework which combines ideas from probabilistic integration and kernel mean embeddings to represent interventional distributions in the reproducing kernel Hilbert space, while taking into account the uncertainty within each causal graph. To demonstrate the informativeness of our uncertainty estimation, we apply our method to the Causal Bayesian Optimisation task and show improvements over state-of-the-art methods.

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