Stratified Learning: A General-Purpose Statistical Method for Improved Learning under Covariate Shift

• URL: http://arxiv.org/abs/2106.11211v2
• Date: Wed, 17 May 2023 12:22:56 GMT
• Title: Stratified Learning: A General-Purpose Statistical Method for Improved Learning under Covariate Shift
• Authors: Maximilian Autenrieth, David A. van Dyk, Roberto Trotta, David C. Stenning
• Abstract summary: We propose a simple, statistically principled, and theoretically justified method to improve supervised learning when the training set is not representative. We build upon a well-established methodology in causal inference, and show that the effects of covariate shift can be reduced or eliminated by conditioning on propensity scores. We demonstrate the effectiveness of our general-purpose method on two contemporary research questions in cosmology, outperforming state-of-the-art importance weighting methods.
• Score: 1.1470070927586016
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: We propose a simple, statistically principled, and theoretically justified method to improve supervised learning when the training set is not representative, a situation known as covariate shift. We build upon a well-established methodology in causal inference, and show that the effects of covariate shift can be reduced or eliminated by conditioning on propensity scores. In practice, this is achieved by fitting learners within strata constructed by partitioning the data based on the estimated propensity scores, leading to approximately balanced covariates and much-improved target prediction. We demonstrate the effectiveness of our general-purpose method on two contemporary research questions in cosmology, outperforming state-of-the-art importance weighting methods. We obtain the best reported AUC (0.958) on the updated "Supernovae photometric classification challenge", and we improve upon existing conditional density estimation of galaxy redshift from Sloan Data Sky Survey (SDSS) data.

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