Robust regression for optimal individualized treatment rules (1604.03648v1)

Abstract: Because different patients may response quite differently to the same drug or treatment, there is increasing interest in discovering individualized treatment rule. In particular, people are eager to find the optimal individualized treatment rules, which if followed by the whole patient population would lead to the "best" outcome. In this paper, we propose new estimators based on robust regression with general loss functions to estimate the optimal individualized treatment rules. The new estimators possess the following nice properties: first, they are robust against skewed, heterogeneous, heavy-tailed errors or outliers; second, they are robust against misspecification of the baseline function; third, under certain situations, the new estimator coupled with pinball loss approximately maximizes the outcome's conditional quantile instead of conditional mean, which leads to a different optimal individualized treatment rule comparing with traditional Q- and A-learning. Consistency and asymptotic normality of the proposed estimators are established. Their empirical performance is demonstrated via extensive simulation studies and an analysis of an AIDS data.