Automated Efficient Estimation using Monte Carlo Efficient Influence Functions
Authors: Raj Agrawal, Sam Witty, Andy Zane, Elias Bingham
NeurIPS 2024 | Venue PDF | Archive PDF | Plain Text | LLM Run Details
| Reproducibility Variable | Result | LLM Response |
|---|---|---|
| Research Type | Experimental | We show empirically that estimators using MC-EIF are at parity with estimators using analytic EIFs. Finally, we present a novel capstone example using MC-EIF for optimal portfolio selection. |
| Researcher Affiliation | Collaboration | Raj Agrawal Basis Research Institute, Broad Institute EMAIL Sam Witty Basis Research Institute, Broad Institute EMAIL Andy Zane Basis Research Institute, UMass Amherst EMAIL Eli Bingham Basis Research Institute, Broad Institute EMAIL |
| Pseudocode | Yes | Algorithm 1 MC-EIF one step estimator |
| Open Source Code | Yes | Our MC-EIF implementation is publicly available in the Python package Chi Rho. All results shown here are end-to-end reproducible. |
| Open Datasets | Yes | All influence function computations are relative to an initial point estimate ˆϕ, found through maximum a posteriori estimation using 500 training datapoints. |
| Dataset Splits | Yes | Algorithm 1 MC-EIF one step estimator Input: Target functional ψ, initial estimate of parameters ˆϕ, held out datapoints {xn}N n=N/2+1, Number of Monte Carlo samples M |
| Hardware Specification | Yes | All experiments were run on an Apple M2 pro. In Figure 8, we plot the runtime of our method under various conditions. |
| Software Dependencies | No | The paper mentions software like 'pytorch' and 'Pyro' but does not specify their version numbers for reproducibility, which is required for a 'Yes' answer. |
| Experiment Setup | Yes | In Section 5, we consider the following model with confounders c, treatment t, and response y: µ0 N(0, 1), (intercept) , (outcome weights) , (propensity weights) τ N(0, 1), (treatment weight) cn N(0, ID), (confounders) tn | cn, π Bernoulli(logits = πT cn), (treatment assignment) yn N(τtn + ξT cn + µ0, 1), (response) |