Inference on Optimal Policy Values and Other Irregular Functionals via Softmax Smoothing

Constructing confidence intervals for the value of an (unknown) optimal treatment policy is a fundamental problem in causal inference. Insight into the optimal policy value can guide the development of reward-maximizing, individualized treatment regimes. However, because the functional that defines the optimal value is non-differentiable, standard semi-parametric approaches for performing inference fail to be directly applicable. Many existing works circumvent non-differentiability by making the unrealistic assumption of zero probability of treatment non-response, i.e. that every unit responds (either positively or negatively) to an assigned treatment. Further, works that don't circumvent this restriction rely on refitting nuisance models a number of times proportional to the sample size. In this paper, we construct and analyze a simple, softmax smoothing-based estimator for the value of an optimal treatment policy. Our estimator applies in both static and dynamic treatment regimes, only requires fitting a constant number of nuisance models, and is statistically efficient when there is zero probability of non-response to treatment. Also, while our estimator does not require making semi-parametric restrictions, it can exploit them when they exist. We further show how our softmax smoothing approach can be used to estimate general parameters that are specified as a maximum of scores involving nuisance components, and look at conditional Balke and Pearl bounds and $L^1$ calibration error as salient examples.