Finding optimal treatment plans in continuous time is crucial for personalized medicine. Existing methods, however, do not explicitly optimize treatment plans and instead focus solely on predicting treatment effects. Naive optimization over these treatment-response models can exploit model errors, resulting in plans that appear optimal under the learned model but perform poorly in practice. To mitigate model exploitation, we propose SigCTO (Signature-based Conservative Treatment Optimization), a conservative framework for continuous-time treatment optimization. We derive a path-space regularizer based on signature-kernel maximum mean discrepancy that penalizes treatment plans for which predicted and true responses differ. Under suitable assumptions, the regularizer allows for consistent estimation, and the regularized objective upper bounds the true treatment cost. Experiments on pharmacometric simulators show that SigCTO finds treatment plans with lower ground-truth costs than state-of-the-art baselines. On real-world ICU data, SigCTO predicts treatment cost more accurately than baselines, and the regularizer detects prediction errors.
Lars Pennig, Søren Wengel Mogensen, Niki Kilbertus
原文摘要
Causal questions often arise in systems that evolve in continuous time. While instrumental variable (IV) methods provide a principled approach to identify causal effects in static or discrete-time settings, even in the presence of unobserved confounding, they do not yet extend to continuous-time dynamics. In this work, we develop an IV framework for stationary continuous-time stochastic processes parameterized by stochastic differential equations (SDE), where the instrument itself takes the form of a stochastic process. We encode the structural sparsity and causal effects directly at the infinitesimal level of the drift, and contrast these assumptions with the IV assumptions on the discretized version of the same process. Based on these structural assumptions, we derive moment restrictions using path-valued instruments. We show how these restrictions simplify for Ornstein-Uhlenbeck processes and present an identification condition together with a corresponding consistent estimation method. Finally, we extend our estimation framework to nonlinear causal effects by expressing the path-based moment restrictions leveraging the signature kernel. Empirically, our method recovers causal effects in confounded continuous-time systems where maximum-likelihood-based estimation and discrete-time IV methods are systematically biased.