English

Automated Efficient Estimation using Monte Carlo Efficient Influence Functions

Computation 2024-03-11 v2 Machine Learning Methodology

Abstract

Many practical problems involve estimating low dimensional statistical quantities with high-dimensional models and datasets. Several approaches address these estimation tasks based on the theory of influence functions, such as debiased/double ML or targeted minimum loss estimation. This paper introduces \textit{Monte Carlo Efficient Influence Functions} (MC-EIF), a fully automated technique for approximating efficient influence functions that integrates seamlessly with existing differentiable probabilistic programming systems. MC-EIF automates efficient statistical estimation for a broad class of models and target functionals that would previously require rigorous custom analysis. We prove that MC-EIF is consistent, and that estimators using MC-EIF achieve optimal N\sqrt{N} convergence rates. We show empirically that estimators using MC-EIF are at parity with estimators using analytic EIFs. Finally, we demonstrate a novel capstone example using MC-EIF for optimal portfolio selection.

Keywords

Cite

@article{arxiv.2403.00158,
  title  = {Automated Efficient Estimation using Monte Carlo Efficient Influence Functions},
  author = {Raj Agrawal and Sam Witty and Andy Zane and Eli Bingham},
  journal= {arXiv preprint arXiv:2403.00158},
  year   = {2024}
}