Created
November 12, 2018 04:16
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alpha and imbalance.penalty don't matter
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library(grf) | |
p = 3 | |
n = 2000 | |
sigma = 0.1 | |
X = matrix(2 * runif(n * p) - 1, n, p) | |
W = rbinom(n, 1, 0.1) | |
TAU = (X[,1] > 0) | |
Y = TAU * (W - 1/2) + sigma * rnorm(n) | |
W.forest = regression_forest(X, W, num.trees = 500, seed=1234) | |
W.hat = predict(W.forest)$predictions | |
Y.forest = regression_forest(X, Y, num.trees = 500, seed=1234) | |
Y.hat = predict(Y.forest)$predictions | |
Y.resid = Y - Y.hat | |
W.resid = W - W.hat | |
print(mean(Y.resid, na.rm=TRUE)) | |
for (i in seq(100)) { | |
alpha = runif(1, min = 0.01, max=0.24) | |
imbalance.penalty= runif(1, min = 0.01, max=1000) | |
cf <- causal_forest(X, Y, W, Y.hat = Y.hat, W.hat = W.hat, | |
num.trees = 200, tune.parameters = FALSE, | |
sample.fraction=0.5, | |
alpha=alpha, | |
imbalance.penalty = imbalance.penalty, | |
min.node.size = 1, | |
stabilize.splits = TRUE, | |
seed = 12345) | |
deb_error <- predict(cf)$debiased.error | |
avg_deb_error <- mean(deb_error, na.rm=TRUE) | |
print("ALPHA: ") | |
print(alpha) | |
print("IMBALANCE PENALTY: ") | |
print(imbalance.penalty) | |
print("AVG DEBIASED ERROR:") | |
print(avg_deb_error) | |
cat("\n") | |
} | |
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