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Learning Optimal Distributionally Robust Individualized Treatment Rules Integrating Multi-Source Data

Machine Learning 2026-03-09 v1 Machine Learning

Abstract

Integrative analysis of multiple datasets for estimating optimal individualized treatment rules (ITRs) can enhance decision efficiency. A central challenge is posterior shift, wherein the conditional distribution of potential outcomes given covariates differs between source and target populations. We propose a prior information-based distributionally robust ITR (PDRO-ITR) that maximizes the worst-case policy value over a covariate-dependent distributional uncertainty set, ensuring robust performance under posterior shift. The uncertainty set is constructed as an individualized combination of source distributions, with weights combining prior source-membership probabilities and deviation terms constrained to the probability simplex to accommodate posterior shift. We derive a closed-form solution for the PDRO-ITR and develop an adaptive procedure to tune the uncertainty level. We establish risk bounds for the PDRO-ITR estimator, which guarantees robust performance under the worst case. Extensive simulations and two real-data applications demonstrate that the proposed method achieves superior performance compared to existing approaches.

Keywords

Cite

@article{arxiv.2603.05568,
  title  = {Learning Optimal Distributionally Robust Individualized Treatment Rules Integrating Multi-Source Data},
  author = {Wenhai Cui and Wen Su and Xingqiu Zhao},
  journal= {arXiv preprint arXiv:2603.05568},
  year   = {2026}
}
R2 v1 2026-07-01T11:05:35.558Z