Source code for causalml.metrics.visualize

from matplotlib import pyplot as plt
import logging
import numpy as np
import pandas as pd
import seaborn as sns
from lightgbm import LGBMRegressor
from ..inference.meta.tmle import TMLELearner


plt.style.use("fivethirtyeight")
sns.set_palette("Paired")
RANDOM_COL = "Random"

logger = logging.getLogger("causalml")


[docs]def plot(df, kind="gain", tmle=False, n=100, figsize=(8, 8), *args, **kwarg): """Plot one of the lift/gain/Qini charts of model estimates. A factory method for `plot_lift()`, `plot_gain()`, `plot_qini()`, `plot_tmlegain()` and `plot_tmleqini()`. For details, pleas see docstrings of each function. Args: df (pandas.DataFrame): a data frame with model estimates and actual data as columns. kind (str, optional): the kind of plot to draw. 'lift', 'gain', and 'qini' are supported. n (int, optional): the number of samples to be used for plotting. """ catalog = {"lift": get_cumlift, "gain": get_cumgain, "qini": get_qini} assert ( kind in catalog.keys() ), "{} plot is not implemented. Select one of {}".format(kind, catalog.keys()) if tmle: ci_catalog = {"gain": plot_tmlegain, "qini": plot_tmleqini} assert ( kind in ci_catalog.keys() ), "{} plot is not implemented. Select one of {}".format( kind, ci_catalog.keys() ) ci_catalog[kind](df, *args, **kwarg) else: df = catalog[kind](df, *args, **kwarg) if (n is not None) and (n < df.shape[0]): df = df.iloc[np.linspace(0, df.index[-1], n, endpoint=True)] df.plot(figsize=figsize) plt.xlabel("Population") plt.ylabel("{}".format(kind.title()))
[docs]def get_cumlift( df, outcome_col="y", treatment_col="w", treatment_effect_col="tau", random_seed=42 ): """Get average uplifts of model estimates in cumulative population. If the true treatment effect is provided (e.g. in synthetic data), it's calculated as the mean of the true treatment effect in each of cumulative population. Otherwise, it's calculated as the difference between the mean outcomes of the treatment and control groups in each of cumulative population. For details, see Section 4.1 of Gutierrez and G{\'e}rardy (2016), `Causal Inference and Uplift Modeling: A review of the literature`. For the former, `treatment_effect_col` should be provided. For the latter, both `outcome_col` and `treatment_col` should be provided. Args: df (pandas.DataFrame): a data frame with model estimates and actual data as columns outcome_col (str, optional): the column name for the actual outcome treatment_col (str, optional): the column name for the treatment indicator (0 or 1) treatment_effect_col (str, optional): the column name for the true treatment effect random_seed (int, optional): random seed for numpy.random.rand() Returns: (pandas.DataFrame): average uplifts of model estimates in cumulative population """ assert ( (outcome_col in df.columns and df[outcome_col].notnull().all()) and (treatment_col in df.columns and df[treatment_col].notnull().all()) or ( treatment_effect_col in df.columns and df[treatment_effect_col].notnull().all() ) ) df = df.copy() np.random.seed(random_seed) random_cols = [] for i in range(10): random_col = "__random_{}__".format(i) df[random_col] = np.random.rand(df.shape[0]) random_cols.append(random_col) model_names = [ x for x in df.columns if x not in [outcome_col, treatment_col, treatment_effect_col] ] lift = [] for i, col in enumerate(model_names): sorted_df = df.sort_values(col, ascending=False).reset_index(drop=True) sorted_df.index = sorted_df.index + 1 if treatment_effect_col in sorted_df.columns: # When treatment_effect_col is given, use it to calculate the average treatment effects # of cumulative population. lift.append(sorted_df[treatment_effect_col].cumsum() / sorted_df.index) else: # When treatment_effect_col is not given, use outcome_col and treatment_col # to calculate the average treatment_effects of cumulative population. sorted_df["cumsum_tr"] = sorted_df[treatment_col].cumsum() sorted_df["cumsum_ct"] = sorted_df.index.values - sorted_df["cumsum_tr"] sorted_df["cumsum_y_tr"] = ( sorted_df[outcome_col] * sorted_df[treatment_col] ).cumsum() sorted_df["cumsum_y_ct"] = ( sorted_df[outcome_col] * (1 - sorted_df[treatment_col]) ).cumsum() lift.append( sorted_df["cumsum_y_tr"] / sorted_df["cumsum_tr"] - sorted_df["cumsum_y_ct"] / sorted_df["cumsum_ct"] ) lift = pd.concat(lift, join="inner", axis=1) lift.loc[0] = np.zeros((lift.shape[1],)) lift = lift.sort_index().interpolate() lift.columns = model_names lift[RANDOM_COL] = lift[random_cols].mean(axis=1) lift.drop(random_cols, axis=1, inplace=True) return lift
[docs]def get_cumgain( df, outcome_col="y", treatment_col="w", treatment_effect_col="tau", normalize=False, random_seed=42, ): """Get cumulative gains of model estimates in population. If the true treatment effect is provided (e.g. in synthetic data), it's calculated as the cumulative gain of the true treatment effect in each population. Otherwise, it's calculated as the cumulative difference between the mean outcomes of the treatment and control groups in each population. For details, see Section 4.1 of Gutierrez and G{\'e}rardy (2016), `Causal Inference and Uplift Modeling: A review of the literature`. For the former, `treatment_effect_col` should be provided. For the latter, both `outcome_col` and `treatment_col` should be provided. Args: df (pandas.DataFrame): a data frame with model estimates and actual data as columns outcome_col (str, optional): the column name for the actual outcome treatment_col (str, optional): the column name for the treatment indicator (0 or 1) treatment_effect_col (str, optional): the column name for the true treatment effect normalize (bool, optional): whether to normalize the y-axis to 1 or not random_seed (int, optional): random seed for numpy.random.rand() Returns: (pandas.DataFrame): cumulative gains of model estimates in population """ lift = get_cumlift( df, outcome_col, treatment_col, treatment_effect_col, random_seed ) # cumulative gain = cumulative lift x (# of population) gain = lift.mul(lift.index.values, axis=0) if normalize: gain = gain.div(np.abs(gain.iloc[-1, :]), axis=1) return gain
[docs]def get_qini( df, outcome_col="y", treatment_col="w", treatment_effect_col="tau", normalize=False, random_seed=42, ): """Get Qini of model estimates in population. If the true treatment effect is provided (e.g. in synthetic data), it's calculated as the cumulative gain of the true treatment effect in each population. Otherwise, it's calculated as the cumulative difference between the mean outcomes of the treatment and control groups in each population. For details, see Radcliffe (2007), `Using Control Group to Target on Predicted Lift: Building and Assessing Uplift Models` For the former, `treatment_effect_col` should be provided. For the latter, both `outcome_col` and `treatment_col` should be provided. Args: df (pandas.DataFrame): a data frame with model estimates and actual data as columns outcome_col (str, optional): the column name for the actual outcome treatment_col (str, optional): the column name for the treatment indicator (0 or 1) treatment_effect_col (str, optional): the column name for the true treatment effect normalize (bool, optional): whether to normalize the y-axis to 1 or not random_seed (int, optional): random seed for numpy.random.rand() Returns: (pandas.DataFrame): cumulative gains of model estimates in population """ assert ( (outcome_col in df.columns and df[outcome_col].notnull().all()) and (treatment_col in df.columns and df[treatment_col].notnull().all()) or ( treatment_effect_col in df.columns and df[treatment_effect_col].notnull().all() ) ) df = df.copy() np.random.seed(random_seed) random_cols = [] for i in range(10): random_col = "__random_{}__".format(i) df[random_col] = np.random.rand(df.shape[0]) random_cols.append(random_col) model_names = [ x for x in df.columns if x not in [outcome_col, treatment_col, treatment_effect_col] ] qini = [] for i, col in enumerate(model_names): sorted_df = df.sort_values(col, ascending=False).reset_index(drop=True) sorted_df.index = sorted_df.index + 1 sorted_df["cumsum_tr"] = sorted_df[treatment_col].cumsum() if treatment_effect_col in sorted_df.columns: # When treatment_effect_col is given, use it to calculate the average treatment effects # of cumulative population. l = ( sorted_df[treatment_effect_col].cumsum() / sorted_df.index * sorted_df["cumsum_tr"] ) else: # When treatment_effect_col is not given, use outcome_col and treatment_col # to calculate the average treatment_effects of cumulative population. sorted_df["cumsum_ct"] = sorted_df.index.values - sorted_df["cumsum_tr"] sorted_df["cumsum_y_tr"] = ( sorted_df[outcome_col] * sorted_df[treatment_col] ).cumsum() sorted_df["cumsum_y_ct"] = ( sorted_df[outcome_col] * (1 - sorted_df[treatment_col]) ).cumsum() l = ( sorted_df["cumsum_y_tr"] - sorted_df["cumsum_y_ct"] * sorted_df["cumsum_tr"] / sorted_df["cumsum_ct"] ) qini.append(l) qini = pd.concat(qini, join="inner", axis=1) qini.loc[0] = np.zeros((qini.shape[1],)) qini = qini.sort_index().interpolate() qini.columns = model_names qini[RANDOM_COL] = qini[random_cols].mean(axis=1) qini.drop(random_cols, axis=1, inplace=True) if normalize: qini = qini.div(np.abs(qini.iloc[-1, :]), axis=1) return qini
[docs]def get_tmlegain( df, inference_col, learner=LGBMRegressor(num_leaves=64, learning_rate=0.05, n_estimators=300), outcome_col="y", treatment_col="w", p_col="p", n_segment=5, cv=None, calibrate_propensity=True, ci=False, ): """Get TMLE based average uplifts of model estimates of segments. Args: df (pandas.DataFrame): a data frame with model estimates and actual data as columns inferenece_col (list of str): a list of columns that used in learner for inference learner (optional): a model used by TMLE to estimate the outcome outcome_col (str, optional): the column name for the actual outcome treatment_col (str, optional): the column name for the treatment indicator (0 or 1) p_col (str, optional): the column name for propensity score n_segment (int, optional): number of segment that TMLE will estimated for each cv (sklearn.model_selection._BaseKFold, optional): sklearn CV object calibrate_propensity (bool, optional): whether calibrate propensity score or not ci (bool, optional): whether return confidence intervals for ATE or not Returns: (pandas.DataFrame): cumulative gains of model estimates based of TMLE """ assert ( (outcome_col in df.columns and df[outcome_col].notnull().all()) and (treatment_col in df.columns and df[treatment_col].notnull().all()) or (p_col in df.columns and df[p_col].notnull().all()) ) inference_col = [x for x in inference_col if x in df.columns] # Initialize TMLE tmle = TMLELearner(learner, cv=cv, calibrate_propensity=calibrate_propensity) ate_all, ate_all_lb, ate_all_ub = tmle.estimate_ate( X=df[inference_col], p=df[p_col], treatment=df[treatment_col], y=df[outcome_col] ) df = df.copy() model_names = [ x for x in df.columns if x not in [outcome_col, treatment_col, p_col] + inference_col ] lift = [] lift_lb = [] lift_ub = [] for col in model_names: ate_model, ate_model_lb, ate_model_ub = tmle.estimate_ate( X=df[inference_col], p=df[p_col], treatment=df[treatment_col], y=df[outcome_col], segment=pd.qcut(df[col], n_segment, labels=False), ) lift_model = [0.0] * (n_segment + 1) lift_model[n_segment] = ate_all[0] for i in range(1, n_segment): lift_model[i] = ( ate_model[0][n_segment - i] * (1 / n_segment) + lift_model[i - 1] ) lift.append(lift_model) if ci: lift_lb_model = [0.0] * (n_segment + 1) lift_lb_model[n_segment] = ate_all_lb[0] lift_ub_model = [0.0] * (n_segment + 1) lift_ub_model[n_segment] = ate_all_ub[0] for i in range(1, n_segment): lift_lb_model[i] = ( ate_model_lb[0][n_segment - i] * (1 / n_segment) + lift_lb_model[i - 1] ) lift_ub_model[i] = ( ate_model_ub[0][n_segment - i] * (1 / n_segment) + lift_ub_model[i - 1] ) lift_lb.append(lift_lb_model) lift_ub.append(lift_ub_model) lift = pd.DataFrame(lift).T lift.columns = model_names if ci: lift_lb = pd.DataFrame(lift_lb).T lift_lb.columns = [x + " LB" for x in model_names] lift_ub = pd.DataFrame(lift_ub).T lift_ub.columns = [x + " UB" for x in model_names] lift = pd.concat([lift, lift_lb, lift_ub], axis=1) lift.index = lift.index / n_segment lift[RANDOM_COL] = np.linspace(0, 1, n_segment + 1) * ate_all[0] return lift
[docs]def get_tmleqini( df, inference_col, learner=LGBMRegressor(num_leaves=64, learning_rate=0.05, n_estimators=300), outcome_col="y", treatment_col="w", p_col="p", n_segment=5, cv=None, calibrate_propensity=True, ci=False, normalize=False, ): """Get TMLE based Qini of model estimates by segments. Args: df (pandas.DataFrame): a data frame with model estimates and actual data as columns inferenece_col (list of str): a list of columns that used in learner for inference learner(optional): a model used by TMLE to estimate the outcome outcome_col (str, optional): the column name for the actual outcome treatment_col (str, optional): the column name for the treatment indicator (0 or 1) p_col (str, optional): the column name for propensity score n_segment (int, optional): number of segment that TMLE will estimated for each cv (sklearn.model_selection._BaseKFold, optional): sklearn CV object calibrate_propensity (bool, optional): whether calibrate propensity score or not ci (bool, optional): whether return confidence intervals for ATE or not Returns: (pandas.DataFrame): cumulative gains of model estimates based of TMLE """ assert ( (outcome_col in df.columns and df[outcome_col].notnull().all()) and (treatment_col in df.columns and df[treatment_col].notnull().all()) or (p_col in df.columns and df[p_col].notnull().all()) ) inference_col = [x for x in inference_col if x in df.columns] # Initialize TMLE tmle = TMLELearner(learner, cv=cv, calibrate_propensity=calibrate_propensity) ate_all, ate_all_lb, ate_all_ub = tmle.estimate_ate( X=df[inference_col], p=df[p_col], treatment=df[treatment_col], y=df[outcome_col] ) df = df.copy() model_names = [ x for x in df.columns if x not in [outcome_col, treatment_col, p_col] + inference_col ] qini = [] qini_lb = [] qini_ub = [] for col in model_names: ate_model, ate_model_lb, ate_model_ub = tmle.estimate_ate( X=df[inference_col], p=df[p_col], treatment=df[treatment_col], y=df[outcome_col], segment=pd.qcut(df[col], n_segment, labels=False), ) qini_model = [0] for i in range(1, n_segment): n_tr = df[pd.qcut(df[col], n_segment, labels=False) == (n_segment - i)][ treatment_col ].sum() qini_model.append(ate_model[0][n_segment - i] * n_tr) qini.append(qini_model) if ci: qini_lb_model = [0] qini_ub_model = [0] for i in range(1, n_segment): n_tr = df[pd.qcut(df[col], n_segment, labels=False) == (n_segment - i)][ treatment_col ].sum() qini_lb_model.append(ate_model_lb[0][n_segment - i] * n_tr) qini_ub_model.append(ate_model_ub[0][n_segment - i] * n_tr) qini_lb.append(qini_lb_model) qini_ub.append(qini_ub_model) qini = pd.DataFrame(qini).T qini.columns = model_names if ci: qini_lb = pd.DataFrame(qini_lb).T qini_lb.columns = [x + " LB" for x in model_names] qini_ub = pd.DataFrame(qini_ub).T qini_ub.columns = [x + " UB" for x in model_names] qini = pd.concat([qini, qini_lb, qini_ub], axis=1) qini = qini.cumsum() qini.loc[n_segment] = ate_all[0] * df[treatment_col].sum() qini[RANDOM_COL] = ( np.linspace(0, 1, n_segment + 1) * ate_all[0] * df[treatment_col].sum() ) qini.index = np.linspace(0, 1, n_segment + 1) * df.shape[0] return qini
[docs]def plot_gain( df, outcome_col="y", treatment_col="w", treatment_effect_col="tau", normalize=False, random_seed=42, n=100, figsize=(8, 8), ): """Plot the cumulative gain chart (or uplift curve) of model estimates. If the true treatment effect is provided (e.g. in synthetic data), it's calculated as the cumulative gain of the true treatment effect in each population. Otherwise, it's calculated as the cumulative difference between the mean outcomes of the treatment and control groups in each population. For details, see Section 4.1 of Gutierrez and G{\'e}rardy (2016), `Causal Inference and Uplift Modeling: A review of the literature`. For the former, `treatment_effect_col` should be provided. For the latter, both `outcome_col` and `treatment_col` should be provided. Args: df (pandas.DataFrame): a data frame with model estimates and actual data as columns outcome_col (str, optional): the column name for the actual outcome treatment_col (str, optional): the column name for the treatment indicator (0 or 1) treatment_effect_col (str, optional): the column name for the true treatment effect normalize (bool, optional): whether to normalize the y-axis to 1 or not random_seed (int, optional): random seed for numpy.random.rand() n (int, optional): the number of samples to be used for plotting """ plot( df, kind="gain", n=n, figsize=figsize, outcome_col=outcome_col, treatment_col=treatment_col, treatment_effect_col=treatment_effect_col, normalize=normalize, random_seed=random_seed, )
[docs]def plot_lift( df, outcome_col="y", treatment_col="w", treatment_effect_col="tau", random_seed=42, n=100, figsize=(8, 8), ): """Plot the lift chart of model estimates in cumulative population. If the true treatment effect is provided (e.g. in synthetic data), it's calculated as the mean of the true treatment effect in each of cumulative population. Otherwise, it's calculated as the difference between the mean outcomes of the treatment and control groups in each of cumulative population. For details, see Section 4.1 of Gutierrez and G{\'e}rardy (2016), `Causal Inference and Uplift Modeling: A review of the literature`. For the former, `treatment_effect_col` should be provided. For the latter, both `outcome_col` and `treatment_col` should be provided. Args: df (pandas.DataFrame): a data frame with model estimates and actual data as columns outcome_col (str, optional): the column name for the actual outcome treatment_col (str, optional): the column name for the treatment indicator (0 or 1) treatment_effect_col (str, optional): the column name for the true treatment effect random_seed (int, optional): random seed for numpy.random.rand() n (int, optional): the number of samples to be used for plotting """ plot( df, kind="lift", n=n, figsize=figsize, outcome_col=outcome_col, treatment_col=treatment_col, treatment_effect_col=treatment_effect_col, random_seed=random_seed, )
[docs]def plot_qini( df, outcome_col="y", treatment_col="w", treatment_effect_col="tau", normalize=False, random_seed=42, n=100, figsize=(8, 8), ): """Plot the Qini chart (or uplift curve) of model estimates. If the true treatment effect is provided (e.g. in synthetic data), it's calculated as the cumulative gain of the true treatment effect in each population. Otherwise, it's calculated as the cumulative difference between the mean outcomes of the treatment and control groups in each population. For details, see Radcliffe (2007), `Using Control Group to Target on Predicted Lift: Building and Assessing Uplift Models` For the former, `treatment_effect_col` should be provided. For the latter, both `outcome_col` and `treatment_col` should be provided. Args: df (pandas.DataFrame): a data frame with model estimates and actual data as columns outcome_col (str, optional): the column name for the actual outcome treatment_col (str, optional): the column name for the treatment indicator (0 or 1) treatment_effect_col (str, optional): the column name for the true treatment effect normalize (bool, optional): whether to normalize the y-axis to 1 or not random_seed (int, optional): random seed for numpy.random.rand() n (int, optional): the number of samples to be used for plotting ci (bool, optional): whether return confidence intervals for ATE or not """ plot( df, kind="qini", n=n, figsize=figsize, outcome_col=outcome_col, treatment_col=treatment_col, treatment_effect_col=treatment_effect_col, normalize=normalize, random_seed=random_seed, )
[docs]def plot_tmlegain( df, inference_col, learner=LGBMRegressor(num_leaves=64, learning_rate=0.05, n_estimators=300), outcome_col="y", treatment_col="w", p_col="tau", n_segment=5, cv=None, calibrate_propensity=True, ci=False, figsize=(8, 8), ): """Plot the lift chart based of TMLE estimation Args: df (pandas.DataFrame): a data frame with model estimates and actual data as columns inferenece_col (list of str): a list of columns that used in learner for inference learner (optional): a model used by TMLE to estimate the outcome outcome_col (str, optional): the column name for the actual outcome treatment_col (str, optional): the column name for the treatment indicator (0 or 1) p_col (str, optional): the column name for propensity score n_segment (int, optional): number of segment that TMLE will estimated for each cv (sklearn.model_selection._BaseKFold, optional): sklearn CV object calibrate_propensity (bool, optional): whether calibrate propensity score or not ci (bool, optional): whether return confidence intervals for ATE or not """ plot_df = get_tmlegain( df, learner=learner, inference_col=inference_col, outcome_col=outcome_col, treatment_col=treatment_col, p_col=p_col, n_segment=n_segment, cv=cv, calibrate_propensity=calibrate_propensity, ci=ci, ) if ci: model_names = [x.replace(" LB", "") for x in plot_df.columns] model_names = list(set([x.replace(" UB", "") for x in model_names])) fig, ax = plt.subplots(figsize=figsize) cmap = plt.get_cmap("tab10") cindex = 0 for col in model_names: lb_col = col + " LB" up_col = col + " UB" if col != "Random": ax.plot(plot_df.index, plot_df[col], color=cmap(cindex)) ax.fill_between( plot_df.index, plot_df[lb_col], plot_df[up_col], color=cmap(cindex), alpha=0.25, ) else: ax.plot(plot_df.index, plot_df[col], color=cmap(cindex)) cindex += 1 ax.legend() else: plot_df.plot(figsize=figsize) plt.xlabel("Population") plt.ylabel("Gain") plt.show()
[docs]def plot_tmleqini( df, inference_col, learner=LGBMRegressor(num_leaves=64, learning_rate=0.05, n_estimators=300), outcome_col="y", treatment_col="w", p_col="tau", n_segment=5, cv=None, calibrate_propensity=True, ci=False, figsize=(8, 8), ): """Plot the qini chart based of TMLE estimation Args: df (pandas.DataFrame): a data frame with model estimates and actual data as columns inferenece_col (list of str): a list of columns that used in learner for inference learner (optional): a model used by TMLE to estimate the outcome outcome_col (str, optional): the column name for the actual outcome treatment_col (str, optional): the column name for the treatment indicator (0 or 1) p_col (str, optional): the column name for propensity score n_segment (int, optional): number of segment that TMLE will estimated for each cv (sklearn.model_selection._BaseKFold, optional): sklearn CV object calibrate_propensity (bool, optional): whether calibrate propensity score or not ci (bool, optional): whether return confidence intervals for ATE or not """ plot_df = get_tmleqini( df, learner=learner, inference_col=inference_col, outcome_col=outcome_col, treatment_col=treatment_col, p_col=p_col, n_segment=n_segment, cv=cv, calibrate_propensity=calibrate_propensity, ci=ci, ) if ci: model_names = [x.replace(" LB", "") for x in plot_df.columns] model_names = list(set([x.replace(" UB", "") for x in model_names])) fig, ax = plt.subplots(figsize=figsize) cmap = plt.get_cmap("tab10") cindex = 0 for col in model_names: lb_col = col + " LB" up_col = col + " UB" if col != "Random": ax.plot(plot_df.index, plot_df[col], color=cmap(cindex)) ax.fill_between( plot_df.index, plot_df[lb_col], plot_df[up_col], color=cmap(cindex), alpha=0.25, ) else: ax.plot(plot_df.index, plot_df[col], color=cmap(cindex)) cindex += 1 ax.legend() else: plot_df.plot(figsize=figsize) plt.xlabel("Population") plt.ylabel("Qini") plt.show()
[docs]def auuc_score( df, outcome_col="y", treatment_col="w", treatment_effect_col="tau", normalize=True, tmle=False, *args, **kwarg, ): """Calculate the AUUC (Area Under the Uplift Curve) score. Args: df (pandas.DataFrame): a data frame with model estimates and actual data as columns outcome_col (str, optional): the column name for the actual outcome treatment_col (str, optional): the column name for the treatment indicator (0 or 1) treatment_effect_col (str, optional): the column name for the true treatment effect normalize (bool, optional): whether to normalize the y-axis to 1 or not Returns: (float): the AUUC score """ if not tmle: cumgain = get_cumgain( df, outcome_col, treatment_col, treatment_effect_col, normalize ) else: cumgain = get_tmlegain( df, outcome_col=outcome_col, treatment_col=treatment_col, *args, **kwarg ) return cumgain.sum() / cumgain.shape[0]
[docs]def qini_score( df, outcome_col="y", treatment_col="w", treatment_effect_col="tau", normalize=True, tmle=False, *args, **kwarg, ): """Calculate the Qini score: the area between the Qini curves of a model and random. For details, see Radcliffe (2007), `Using Control Group to Target on Predicted Lift: Building and Assessing Uplift Models` Args: df (pandas.DataFrame): a data frame with model estimates and actual data as columns outcome_col (str, optional): the column name for the actual outcome treatment_col (str, optional): the column name for the treatment indicator (0 or 1) treatment_effect_col (str, optional): the column name for the true treatment effect normalize (bool, optional): whether to normalize the y-axis to 1 or not Returns: (float): the Qini score """ if not tmle: qini = get_qini(df, outcome_col, treatment_col, treatment_effect_col, normalize) else: qini = get_tmleqini( df, outcome_col=outcome_col, treatment_col=treatment_col, *args, **kwarg ) return (qini.sum(axis=0) - qini[RANDOM_COL].sum()) / qini.shape[0]
def plot_ps_diagnostics(df, covariate_col, treatment_col="w", p_col="p", bal_tol=0.1): """Plot covariate balances (standardized differences between the treatment and the control) before and after weighting the sample using the inverse probability of treatment weights. Args: df (pandas.DataFrame): a data frame containing the covariates and treatment indicator covariate_col (list of str): a list of columns that are used a covariates treatment_col (str, optional): the column name for the treatment indicator (0 or 1) p_col (str, optional): the column name for propensity score """ X = df[covariate_col] W = df[treatment_col] PS = df[p_col] IPTW = get_simple_iptw(W, PS) diffs_pre = get_std_diffs(X, W, weighted=False) num_unbal_pre = (np.abs(diffs_pre) > bal_tol).sum()[0] diffs_post = get_std_diffs(X, W, IPTW, weighted=True) num_unbal_post = (np.abs(diffs_post) > bal_tol).sum()[0] diff_plot = _plot_std_diffs( diffs_pre, num_unbal_pre, diffs_post, num_unbal_post, bal_tol=bal_tol ) return diff_plot def _plot_std_diffs(diffs_pre, num_unbal_pre, diffs_post, num_unbal_post, bal_tol=0.1): fig, ax1 = plt.subplots() color = "#EA2566" sds_pre = pd.DataFrame( {"std_diff": diffs_pre[0], "covariate": diffs_pre.index, "prepost": "pre"} ) sds_post = pd.DataFrame( {"std_diff": diffs_post[0], "covariate": diffs_post.index, "prepost": "post"} ) sds = pd.concat([sds_pre, sds_post], ignore_index=True) sns.stripplot(data=sds, x="std_diff", y="covariate", hue="prepost", ax=ax1) ax1.set_xlabel( "Pre/Post Number of unbalanced covariates: {num_unbal_pre}/{num_unbal_post}".format( num_unbal_pre=num_unbal_pre, num_unbal_post=num_unbal_post ), fontsize=14, ) ax1.axvline(x=-bal_tol, ymin=0, ymax=1, color=color, linestyle="--", lw=2) ax1.axvline(x=bal_tol, ymin=0, ymax=1, color=color, linestyle="--", lw=2) fig.suptitle("Standardized differences in means", fontsize=16) return fig def get_simple_iptw(W, propensity_score): IPTW = (W / propensity_score) + (1 - W) / (1 - propensity_score) return IPTW def get_std_diffs(X, W, weight=None, weighted=False, numeric_threshold=5): """Calculate the inverse probability of treatment weighted standardized differences in covariate means between the treatment and the control. If weighting is set to 'False', calculate unweighted standardized differences. Accepts only continuous and binary numerical variables. """ cont_cols, prop_cols = _get_numeric_vars(X, threshold=numeric_threshold) cols = cont_cols + prop_cols if len(cols) == 0: raise ValueError( "No variable passed the test for continuous or binary variables." ) treat = W == 1 contr = W == 0 X_1 = X.loc[treat, cols] X_0 = X.loc[contr, cols] cont_index = np.array([col in cont_cols for col in cols]) prop_index = np.array([col in prop_cols for col in cols]) std_diffs_cont = np.empty(sum(cont_index)) std_diffs_prop = np.empty(sum(prop_index)) if weighted: assert ( weight is not None ), 'weight should be provided when weighting is set to "True"' weight_1 = weight[treat] weight_0 = weight[contr] X_1_mean, X_1_var = np.apply_along_axis( lambda x: _get_wmean_wvar(x, weight_1), 0, X_1 ) X_0_mean, X_0_var = np.apply_along_axis( lambda x: _get_wmean_wvar(x, weight_0), 0, X_0 ) elif not weighted: X_1_mean, X_1_var = np.apply_along_axis(lambda x: _get_mean_var(x), 0, X_1) X_0_mean, X_0_var = np.apply_along_axis(lambda x: _get_mean_var(x), 0, X_0) X_1_mean_cont, X_1_var_cont = X_1_mean[cont_index], X_1_var[cont_index] X_0_mean_cont, X_0_var_cont = X_0_mean[cont_index], X_0_var[cont_index] std_diffs_cont = (X_1_mean_cont - X_0_mean_cont) / np.sqrt( (X_1_var_cont + X_0_var_cont) / 2 ) X_1_mean_prop = X_1_mean[prop_index] X_0_mean_prop = X_0_mean[prop_index] std_diffs_prop = (X_1_mean_prop - X_0_mean_prop) / np.sqrt( ((X_1_mean_prop * (1 - X_1_mean_prop)) + (X_0_mean_prop * (1 - X_0_mean_prop))) / 2 ) std_diffs = np.concatenate([std_diffs_cont, std_diffs_prop], axis=0) std_diffs_df = pd.DataFrame(std_diffs, index=cols) return std_diffs_df def _get_numeric_vars(X, threshold=5): """Attempt to determine which variables are numeric and which are categorical. The threshold for a 'continuous' variable is set to 5 by default. """ cont = [ (not hasattr(X.iloc[:, i], "cat")) and (X.iloc[:, i].nunique() >= threshold) for i in range(X.shape[1]) ] prop = [X.iloc[:, i].nunique() == 2 for i in range(X.shape[1])] cont_cols = list(X.loc[:, cont].columns) prop_cols = list(X.loc[:, prop].columns) dropped = set(X.columns) - set(cont_cols + prop_cols) if dropped: logger.info( 'Some non-binary variables were dropped because they had fewer than {} unique values or were of the \ dtype "cat". The dropped variables are: {}'.format( threshold, dropped ) ) return cont_cols, prop_cols def _get_mean_var(X): """Calculate the mean and variance of a variable.""" mean = X.mean() var = X.var() return [mean, var] def _get_wmean_wvar(X, weight): """ Calculate the weighted mean of a variable given an arbitrary sample weight. Formulas from: Austin, Peter C., and Elizabeth A. Stuart. 2015. Moving towards Best Practice When Using Inverse Probability of Treatment Weighting (IPTW) Using the Propensity Score to Estimate Causal Treatment Effects in Observational Studies. Statistics in Medicine 34 (28): 3661 79. https://doi.org/10.1002/sim.6607. """ weighted_mean = np.sum(weight * X) / np.sum(weight) weighted_var = ( np.sum(weight) / (np.power(np.sum(weight), 2) - np.sum(np.power(weight, 2))) ) * (np.sum(weight * np.power((X - weighted_mean), 2))) return [weighted_mean, weighted_var]