In jucheng1992/ctmle: Collaborative Targeted Maximum Likelihood Estimation

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Collaborative Targeted Maximum Likelihood Estimation

Collaborative Targeted Maximum Likelihood Estimation (C-TMLE) is an extention of Targeted Maximum Likelihood Estimation (TMLE). It applies variable/model selection for nuisance parameter (e.g. the propensity score) estimation in a 'collaborative' way, by directly optimizing the empirical metric on the causal estimator.

In this package, we implemented the general template of C-TMLE, for the estimation of the average treatment effect (ATE).

The package also offers convenient functions for discrete C-TMLE for variable selection, and LASSO-C-TMLE for model selection of LASSO, in estimation of the propensity score (PS).

Installation

To install the CRAN release version of ctmle:

install.packages('ctmle')

To install the development version (requires the devtools package):

devtools::install_github('jucheng1992/ctmle')

C-TMLE for variable selection

In this section, we start with examples of discrete C-TMLE for variable selection, using greedy forward searching, and scalable discrete C-TMLE with pre-ordering option.

library(ctmle)
library(dplyr)
set.seed(123)

N <- 1000
p = 5
Wmat <- matrix(rnorm(N * p), ncol = p)
beta1 <- 4+2*Wmat[,1]+2*Wmat[,2]+2*Wmat[,5]
beta0 <- 2+2*Wmat[,1]+2*Wmat[,2]+2*Wmat[,5]
tau <- 2
gcoef <- matrix(c(-1,-1,rep(-(3/((p)-2)),(p)-2)),ncol=1)
W <- as.matrix(Wmat)

g <- 1/(1+exp(W%*%gcoef /3))
A <- rbinom(N, 1, prob = g)

epsilon <-rnorm(N, 0, 1)
Y  <- beta0 + tau * A + epsilon

# With initial estimate of Q
Q <- cbind(rep(mean(Y[A == 0]), N), rep(mean(Y[A == 1]), N))

time_greedy <- system.time(
      ctmle_discrete_fit1 <- ctmleDiscrete(Y = Y, A = A, W = data.frame(Wmat), Q = Q,
                                           preOrder = FALSE, detailed = TRUE)
)
ctmle_discrete_fit2 <- ctmleDiscrete(Y = Y, A = A, W = data.frame(Wmat),
                                     preOrder = FALSE, detailed = TRUE)


time_preorder <- system.time(
      ctmle_discrete_fit3 <- ctmleDiscrete(Y = Y, A = A, W = data.frame(Wmat), Q = Q,
                                           preOrder = TRUE,
                                           order = rev(1:p), detailed = TRUE)
)

Scalable (discrete) C-TMLE takes much less computation time:

time_greedy
time_preorder

Show the brief results from greedy CTMLE:

ctmle_discrete_fit1

Summary function offers detial information of which variable is selected.

summary(ctmle_discrete_fit1)

LASSO-C-TMLE for model selection of LASSO

In this section, we introduce the LASSO-C-TMLE algorithm for model selection of LASSO in the estimation of the propensity score. We implemented three variations of the LASSO-C-TMLE algorithm. For simplicity, we call them C-TMLE1-3. See technical details in the corresponding references.

# Generate high-dimensional data
set.seed(123)

N <- 1000
p = 100
Wmat <- matrix(rnorm(N * p), ncol = p)
beta1 <- 4 + 2 * Wmat[,1] + 2 * Wmat[,2] + 2 * Wmat[,5] + 2 * Wmat[,6] + 2 * Wmat[,8]
beta0 <- 2 + 2 * Wmat[,1] + 2 * Wmat[,2] + 2 * Wmat[,5] + 2 * Wmat[,6] + 2 * Wmat[,8]
tau <- 2
gcoef <- matrix(c(-1,-1,rep(-(3/((p)-2)),(p)-2)),ncol=1)
W <- as.matrix(Wmat)

g <- 1/(1+exp(W%*%gcoef /3))
A <- rbinom(N, 1, prob = g)

epsilon <-rnorm(N, 0, 1)
Y  <- beta0 + tau * A + epsilon

# With initial estimate of Q
Q <- cbind(rep(mean(Y[A == 0]), N), rep(mean(Y[A == 1]), N))

glmnet_fit <- cv.glmnet(y = A, x = W, family = 'binomial', nlambda = 20)

We start build a sequence of lambdas from the lambda selected by cross-validation, as the model selected by cv.glmnet would over-smooth w.r.t. the target parameter.

lambdas <- glmnet_fit$lambda[(which(glmnet_fit$lambda==glmnet_fit$lambda.min)):length(glmnet_fit$lambda)]

We fit C-TMLE1 algorithm by feed the algorithm with a vector of lambda, in decreasing order:

time_ctmlelasso1 <- system.time(
      ctmle_fit1 <- ctmleGlmnet(Y = Y, A = A,
                                W = data.frame(W = W),
                                Q = Q, lambdas = lambdas, ctmletype=1, 
                                family="gaussian",gbound=0.025, V=5)
)

We fit C-TMLE2 algorithm:

time_ctmlelasso2 <- system.time(
      ctmle_fit2 <- ctmleGlmnet(Y = Y, A = A,
                                W = data.frame(W = W),
                                Q = Q, lambdas = lambdas, ctmletype=2, 
                                family="gaussian",gbound=0.025, V=5)
)

For C-TMLE3, we need two gn estimators, one with lambda selected by cross-validation, and the other with lambda slightly different from the selected lambda:

gcv <- predict.cv.glmnet(glmnet_fit, newx=W, s="lambda.min",type="response")
gcv <- bound(gcv,c(0.025,0.975))

s_prev <- glmnet_fit$lambda[(which(glmnet_fit$lambda == glmnet_fit$lambda.min))] * (1+5e-2)
gcvPrev <- predict.cv.glmnet(glmnet_fit,newx = W,s = s_prev,type="response")
gcvPrev <- bound(gcvPrev,c(0.025,0.975))

time_ctmlelasso3 <- system.time(
      ctmle_fit3 <- ctmleGlmnet(Y = Y, A = A, W = W, Q = Q,
                                ctmletype=3, g1W = gcv, g1WPrev = gcvPrev,
                                family="gaussian",
                                gbound=0.025, V = 5)
)

Les't compare the running time for each LASSO-C-TMLE

time_ctmlelasso1
time_ctmlelasso2
time_ctmlelasso3

Finally, we compare three C-TMLE estimates:

ctmle_fit1
ctmle_fit2
ctmle_fit3

Show which regularization parameter (lambda) is selected by C-TMLE1:

lambdas[ctmle_fit1$best_k]

In comparison, we show which regularization parameter (lambda) is selected by cv.glmnet:

glmnet_fit$lambda.min

Advanced topic: the general template of C-TMLE

In this section, we briefly introduce the general template of C-TMLE. In this function, the gn candidates could be a user-specified matrix, each column stand for the estimated PS for each unit. The estimators should be ordered by their empirical fit.

As C-TMLE requires cross-validation, it needs two gn estimate: one from cross-validated prediction, one from a vanilla prediction. For example, consider 5-folds cross-validation, where argument folds is the list of indices for each folds, then the (i,j)-th element in input gn_candidates_cv should be the predicted value of i-th unit, predicted by j-th unit, trained by other 4 folds where all of them do not contain i-th unit. gn_candidates should be just the predicted PS for each estimator trained on the whole data.

We could easily use SuperLearner package and build_gn_seq function to easily achieve this:

lasso_fit <- cv.glmnet(x = as.matrix(W), y = A, alpha = 1, nlambda = 100, nfolds = 10)
lasso_lambdas <- lasso_fit$lambda[lasso_fit$lambda <= lasso_fit$lambda.min][1:5]

# Build SL template for glmnet
SL.glmnet_new <- function(Y, X, newX, family, obsWeights, id, alpha = 1,
                           nlambda = 100, lambda = 0,...){
      # browser()
      if (!is.matrix(X)) {
            X <- model.matrix(~-1 + ., X)
            newX <- model.matrix(~-1 + ., newX)
      }
      fit <- glmnet::glmnet(x = X, y = Y,
                            lambda = lambda,
                            family = family$family, alpha = alpha)
      pred <- predict(fit, newx = newX, type = "response")
      fit <- list(object = fit)
      class(fit) <- "SL.glmnet"
      out <- list(pred = pred, fit = fit)
      return(out)
}

# Use a sequence of estimator to build gn sequence:
SL.cv1lasso <- function (... , alpha = 1, lambda = lasso_lambdas[1]){
      SL.glmnet_new(... , alpha = alpha, lambda = lambda)
}

SL.cv2lasso <- function (... , alpha = 1, lambda = lasso_lambdas[2]){
      SL.glmnet_new(... , alpha = alpha, lambda = lambda)
}

SL.cv3lasso <- function (... , alpha = 1, lambda = lasso_lambdas[3]){
      SL.glmnet_new(... , alpha = alpha, lambda = lambda)
}

SL.cv4lasso <- function (... , alpha = 1, lambda = lasso_lambdas[4]){
      SL.glmnet_new(... , alpha = alpha, lambda = lambda)
}

SL.library = c('SL.cv1lasso', 'SL.cv2lasso', 'SL.cv3lasso', 'SL.cv4lasso', 'SL.glm')

Construct the object folds, which is a list of indices for each fold

V = 5
folds <-by(sample(1:N,N), rep(1:V, length=N), list)

Use folds and SuperLearner template to compute gn_candidates and gn_candidates_cv

gn_seq <- build_gn_seq(A = A, W = W, SL.library = SL.library, folds = folds)

Lets look at the output of build_gn_seq

gn_seq$gn_candidates %>% dim
gn_seq$gn_candidates_cv %>% dim
gn_seq$folds %>% length

Then we could use ctmleGeneral algorithm. As input estimator is already trained, it is much faster than previous C-TMLE algorithms.

Note: we recommand use the same folds as build_gn_seq for ctmleGeneral, to make cross-validation objective.

ctmle_general_fit1 <- ctmleGeneral(Y = Y, A = A, W = W, Q = Q,
                                   ctmletype = 1, 
                                   gn_candidates = gn_seq$gn_candidates,
                                   gn_candidates_cv = gn_seq$gn_candidates_cv,
                                   folds = folds, V = 5)

ctmle_general_fit1

Citation

If you used ctmle package in your research, please cite:

Ju, Cheng; Susan, Gruber; van der Laan, Mark J.; ctmle: Collaborative Targeted Maximum Likelihood Estimation. R package version 0.1.1, https://CRAN.R-project.org/package=ctmle.

{bibtex,eval = FALSE} @Manual{, title = {ctmle: Collaborative Targeted Maximum Likelihood Estimation}, author = {Cheng Ju and Susan Gruber and Mark van der Laan}, year = {2017}, note = {R package version 0.1.1}, url = {https://CRAN.R-project.org/package=ctmle}, }

References (by inverse chronological order)

C-TMLE for Adaptive Propensity Score Truncation

Ju, Cheng, Joshua Schwab, and Mark J. van der Laan. "On adaptive propensity score truncation in causal inference." Statistical methods in medical research 28.6 (2019): 1741-1760.

LASSO-C-TMLE

Ju, Cheng, et al. "Collaborative-controlled LASSO for constructing propensity score-based estimators in high-dimensional data." Statistical methods in medical research 28.4 (2019): 1044-1063.

Scalable Discrete C-TMLE with Pre-ordering

Ju, Cheng, et al. "Scalable collaborative targeted learning for high-dimensional data." Statistical methods in medical research 28.2 (2019): 532-554.

Discrete C-TMLE with Greedy Search

Susan, Gruber, and van rder Laan, Mark J.. "An Application of Collaborative Targeted Maximum Likelihood Estimation in Causal Inference and Genomics." The International Journal of Biostatistics 6.1 (2010): 1-31.

General Template of C-TMLE

van der Laan, Mark J., and Susan Gruber. "Collaborative double robust targeted maximum likelihood estimation." The international journal of biostatistics 6.1 (2010): 1-71.

C-TMLE for Model Selection

In preperation

jucheng1992/ctmle documentation built on Dec. 16, 2019, 2:16 a.m.