Learning Optimal Prescriptive Trees from Observational Data

Abstract: We consider the problem of learning an optimal prescriptive tree (i.e., an interpretable treatment assignment policy in the form of a binary tree) of moderate depth, from observational data. This problem arises in numerous socially important domains such as public health and personalized medicine, where interpretable and data-driven interventions are sought based on data gathered in deployment -- through passive collection of data -- rather than from randomized trials. We propose a method for learning optimal prescriptive trees using mixed-integer optimization (MIO) technology. We show that under mild conditions our method is asymptotically exact in the sense that it converges to an optimal out-of-sample treatment assignment policy as the number of historical data samples tends to infinity. Contrary to existing literature, our approach: 1) does not require data to be randomized, 2) does not impose stringent assumptions on the learned trees, and 3) has the ability to model domain specific constraints. Through extensive computational experiments, we demonstrate that our asymptotic guarantees translate to significant performance improvements in finite samples, as well as showcase our uniquely flexible modeling power by incorporating budget and fairness constraints.