Introduction

Code for replication of experiments in the paper:

Dikkala, Nishanth, Greg Lewis, Lester Mackey, and Vasilis Syrgkanis. "Minimax estimation of conditional moment models." arXiv preprint arXiv:2006.07201 (2020).

https://arxiv.org/abs/2006.07201

Installation

Before running any script you need to install the mliv package by running:

python setup.py develop

The main dependencies of the package are, cvxopt, scikit-learn, numpy, pytorch.

cvxopt is installed by running the setup.py command above. The rest need to be installed independently.

MLIV Package

This will install the package mliv on your python environment, which contains all the non-parametric instrumental variable estimators proposed in the paper. It contains the components:

• mliv.rkhs: estimators based on Reproducing Kernel Hilbert Spaces. See RKHS Notebook for example usage.
• mliv.linear: estimators based on high-dimensional sparse linear represetations. See Sparse Linear Notebook for example usage.
• mliv.ensemble: estimators based on random forests. See Random Forest Notebook for example usage.
• mliv.neuralnet: estimators based on neural nets, using pytorch. See Neural Net Notebook and MNIST Experiments Notebook for example usage.
• mliv.shape: estimators based on shape constraints. See Shape Constraints Notebook for example usage.

Table Generation for Non-Image Experiments

To generate figures that are not related to the mnist experiments you need to run:

cd montecarlo
chmod +x local_script.sh
local_script.sh {config_file}

where config file is different for each figure. The above is for windows. For linux replace local_script.sh with local_script_linux.sh and for Mac replace it with local_script_osx.sh. Results are saved in a .csv file with the corresponding name.

• To generate Figure 14:

local_script.sh ivconfig_one_z_one_t_paper_n_300_gamma_6

• To generate Figure 15:

local_script.sh ivconfig_one_z_one_t_paper_n_2000_gamma_6

• To generate Figure 16:

local_script.sh ivconfig_one_z_one_t_paper_n_2000_gamma_8

• To generate Figure 17:

local_script.sh ivconfig_many_z_one_t_paper_n_z_5

• To generate Figure 18:

local_script.sh ivconfig_many_z_one_t_paper_n_z_10

• To generate Figure 19:

local_script.sh ivconfig_many_z_many_t_paper_n_z_5

• To generate Figure 20:

local_script.sh ivconfig_many_z_many_t_paper_n_z_10

• To generate Figure 21:

local_script.sh ivconfig_many_z_many_t_nnet_paper

• To generate Figure 22:

local_script.sh ivconfig_high_dim_paper
local_script.sh ivconfig_very_high_dim_paper

In this case the results are stored in the "print_metrics.csv" file of the newly created folders: highdimlin and veryhighdimlin.

These experiments were run on a CPU cluster within a linux environment and parallelism over 1000 cores.

Table Generation for MNIST experiments

To generate the mnist results, from the main folder run:

chmod +x run_mnist_experiments.sh
./run_mnist_experiments.sh"

These experiments were run on a single linux GPU node.

Further Examples

Further examples on how to use the methods and run single instances can be found in the folder local_notebooks. Each notebook contains examples from each part of the library (RandomForests, NeuralNets, RKHS, SparseLinear, ShapeConstraints).

Third-Party Material

The folder deepgmm contains a frozen copy of the git repo https://github.com/CausalML/DeepGMM that contains the code from the prior work of Bennet et al. Deep Generalized Method of Moments for Instrumental Variable Analysis.

The code in mliv/neuralnet/oadam.py and mliv/neuralnet/rbflayer.py is forked and modified from the repository: https://github.com/georgepar/optimistic-adam By George Paraskevopoulos on April 15, 2020

The code in montecarlo/mcpy was forked and modified from the repository: https://github.com/vsyrgkanis/plugin_regularized_estimation

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