Conformal Convolution and Monte Carlo Meta-learners for Predictive Inference of Individual Treatment Effects (2402.04906v4)

Abstract: Knowledge of the effect of interventions, known as the treatment effect, is paramount for decision-making. Approaches to estimating this treatment effect using conditional average treatment effect (CATE) meta-learners often provide only a point estimate of this treatment effect, while additional uncertainty quantification is frequently desired to enhance decision-making confidence. To address this, we introduce two novel approaches: the conformal convolution T-learner (CCT-learner) and conformal Monte Carlo (CMC) meta-learners. The approaches leverage weighted conformal predictive systems (WCPS), Monte Carlo sampling, and CATE meta-learners to generate predictive distributions of individual treatment effect (ITE) that could enhance individualized decision-making. Although we show how assumptions about the noise distribution of the outcome influence the uncertainty predictions, our experiments demonstrate that the CCT- and CMC meta-learners achieve strong coverage while maintaining narrow interval widths. They also generate probabilistically calibrated predictive distributions, providing reliable ranges of ITEs across various synthetic and semi-synthetic datasets. Code: https://github.com/predict-idlab/cct-cmc