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Vasilis/randomstate #325

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merged 7 commits into from Nov 20, 2020
Merged

Vasilis/randomstate #325

merged 7 commits into from Nov 20, 2020

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vsyrgkanis
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@vsyrgkanis vsyrgkanis commented Nov 19, 2020 •
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  • Fixed random state to be stateless and enable refitting the same instance with no change in all current _OrthoLearner classes. (fixes Results differ at each run #323)
  • Fixed some bugs in orthoiv related to passing W and to passing sample_weights to score in IntentToTreatDRIV.
  • Fixed some bugs related to random_state in orthoiv.
  • Fixed some bugs related to scoring in DRIV
  • Fixed some bugs related to treating sample_weight in DRIV

@vasilismsr
fixed random state in dml and ortho learner
a40cc7b
@vasilismsr
fixed random state to be stateless and enable refitting the same inst…
fd98c05 
…ance with no change. Fixed some bugs in orthoiv related to passing W and to passing sample_weights to score in IntentToTreatDRIV. Fixed some bugs related to random_state in orthoiv.
@vsyrgkanis vsyrgkanis added the bug Something isn't working label Nov 19, 2020
@vsyrgkanis vsyrgkanis added this to To do in Double Machine Learning via automation Nov 19, 2020
@vsyrgkanis vsyrgkanis added this to To do in DMLIV via automation Nov 19, 2020
kbattocchi
kbattocchi reviewed Nov 19, 2020
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@kbattocchi kbattocchi left a comment

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This looks great. While not strictly necessary, it might be nice to rewrite history so that this consists of two separate commits; one for the improved random state behavior and another for the bugfixes.

econml/_ortho_learner.py Outdated Show resolved Hide resolved
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Also, as long as you're fixing places where sample_weight is ignored, do you mind taking a look at the TODO in _BaseDRIVFinalModel.fit and seeing what can be done? I assume in the else branch we could just pass it (with **filter_none_kwargs, in case the model doesn't support it). But in the other branch should we be multiplying by the covariance-based weights, or just ignoring the sample weights, or what?

DMLIV automation moved this from To do to In progress Nov 20, 2020
Double Machine Learning automation moved this from To do to In progress Nov 20, 2020
@vsyrgkanis vsyrgkanis merged commit e1abf19 into master Nov 20, 2020
DMLIV automation moved this from In progress to Done Nov 20, 2020
Double Machine Learning automation moved this from In progress to Done Nov 20, 2020
@vsyrgkanis vsyrgkanis deleted the vasilis/randomstate branch November 20, 2020 10:51
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@kbattocchi kbattocchi kbattocchi approved these changes

@moprescu moprescu Awaiting requested review from moprescu

@heimengqi heimengqi Awaiting requested review from heimengqi

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Results differ at each run
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@vsyrgkanis @kbattocchi @vasilismsr