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First rough cut of simultaneous search for estimator and outcome function #310

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merged 12 commits into from
Aug 29, 2024

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ZmeiGorynych
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Problem

Refitting AutoML for each estimator is far too slow

Proposed changes

Now if outcome_model="auto" in the CausalTune constructor, we search over a simultaneous search space for the EconML estimators and for FLAML wrappers for common regressors. The old behavior is now achieved by outcome_model="nested" (the default for now)

This was written against the latest flaml version, that will need to be bumped in package reqs

Types of changes

What types of changes does your code introduce to causaltune?
Put an x in the boxes that apply

  • Bugfix (non-breaking change which fixes an issue)
  • [x ] New feature (non-breaking change which adds functionality)
  • Breaking change (fix or feature that would cause existing functionality to not work as expected)
  • Documentation Update (if none of the other choices apply)

Checklist

  • [x ] I have read the CONTRIBUTING doc
  • [x ] Description above provides context of the change
  • [x ] I have added tests that prove my fix is effective or that my feature works
  • Unit tests for changes (not needed for documentation changes)
  • Bumping version in setup.py is an individual PR and not mixed with feature or bugfix PRs
  • Commits follow "How to write a good git commit message"
  • Relevant documentation is updated including usage instructions

@ZmeiGorynych
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Ah yes, stderr calculation needs fixing - will do

@AlxdrPolyakov AlxdrPolyakov merged commit 7f68879 into py-why:main Aug 29, 2024
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2 participants