I’m a last year PhD student at ETH Zürich, Seminar for Statistics supervised by Jonas Peters.

During my PhD studies, I spent some time at Apple in the Health AI team working with Christina Heinze-Deml. I also spent my first two years at Copenhagen Causality Lab and did a research visit with Pradeep Ravikumar at Carnegie Mellon University’s Machine Learning Department and with Susan Murphy at the Statistical Reinforcement Learning Lab, Harvard University.

I completed my master’s degree in Machine Learning at University College London, during which I worked with Ricardo Silva. Prior to the master’s studies, I worked as a data scientist at Agoda for four years. I received my bachelor’s degree in Statistics from Chulalongkorn University.

My research interest lies in the intersection between Causality, Invariance and Robustness in Machine Learning.

Publications

Journal Articles

2024

JMLR

Effect-Invariant Mechanisms for Policy Generalization

Sorawit Saengkyongam, Niklas Pfister, Predrag Klasnja, Susan Murphy, and Jonas Peters

Journal of Machine Learning Research, 2024

Abstract Link

Policy learning is an important component of many real-world learning systems. A major challenge in policy learning is how to adapt efficiently to unseen environments or tasks. Recently, it has been suggested to exploit invariant conditional distributions to learn models that generalize better to unseen environments. However, assuming invariance of entire conditional distributions (which we call full invariance) may be too strong of an assumption in practice. In this paper, we introduce a relaxation of full invariance called effect-invariance (e-invariance for short) and prove that it is sufficient, under suitable assumptions, for zero-shot policy generalization. We also discuss an extension that exploits e-invariance when we have a small sample from the test environment, enabling few-shot policy generalization. Our work does not assume an underlying causal graph or that the data are generated by a structural causal model; instead, we develop testing procedures to test e-invariance directly from data. We present empirical results using simulated data and a mobile health intervention dataset to demonstrate the effectiveness of our approach.
JASA

Model-based Causal Feature Selection for General Response Types

Lucas Kook, Sorawit Saengkyongam, Anton Rask Lundborg, Torsten Hothorn, and Jonas Peters

Journal of the American Statistical Association, 2024

Abstract Link

Discovering causal relationships from observational data is a fundamental yet challenging task. Invariant causal prediction (ICP, Peters et al., 2016) is a method for causal feature selection which requires data from heterogeneous settings and exploits that causal models are invariant. ICP has been extended to general additive noise models and to nonparametric settings using conditional independence tests. However, the latter often suffer from low power (or poor type I error control) and additive noise models are not suitable for applications in which the response is not measured on a continuous scale, but reflects categories or counts. Here, we develop transformation-model (TRAM) based ICP, allowing for continuous, categorical, count-type, and uninformatively censored responses (these model classes, generally, do not allow for identifiability when there is no exogenous heterogeneity). As an invariance test, we propose TRAM-GCM based on the expected conditional covariance between environments and score residuals with uniform asymptotic level guarantees. For the special case of linear shift TRAMs, we also consider TRAM-Wald, which tests invariance based on the Wald statistic. We provide an open-source R package ’tramicp’ and evaluate our approach on simulated data and in a case study investigating causal features of survival in critically ill patients.

2023

TPAMI

Invariant Policy Learning: A Causal Perspective

Sorawit Saengkyongam, Nikolaj Thams, Jonas Peters, and Niklas Pfister

IEEE transactions on pattern analysis and machine intelligence, 2023

Abstract Link

Contextual bandit and reinforcement learning algorithms have been successfully used in various interactive learning systems such as online advertising, recommender systems, and dynamic pricing. However, they have yet to be widely adopted in high-stakes application domains, such as healthcare. One reason may be that existing approaches assume that the underlying mechanisms are static in the sense that they do not change over different environments. In many real-world systems, however, the mechanisms are subject to shifts across environments which may invalidate the static environment assumption. In this paper, we take a step toward tackling the problem of environmental shifts considering the framework of offline contextual bandits. We view the environmental shift problem through the lens of causality and propose multi-environment contextual bandits that allow for changes in the underlying mechanisms. We adopt the concept of invariance from the causality literature and introduce the notion of policy invariance. We argue that policy invariance is only relevant if unobserved variables are present and show that, in that case, an optimal invariant policy is guaranteed to generalize across environments under suitable assumptions. Our results establish concrete connections among causality, invariance, and contextual bandits.
JRSS-B

Statistical Testing under Distributional Shifts

Nikolaj Thams, Sorawit Saengkyongam, Niklas Pfister, and Jonas Peters

Journal of the Royal Statistical Society Series B: Statistical Methodology, 2023

Abstract Link

In this work, we introduce statistical testing under distributional shifts. We are interested in the hypothesis P∗ ∈ H0 for a target distribution P∗, but observe data from a different distribution Q∗. We assume that P∗ is related to Q∗ through a known shift τ and formally introduce hypothesis testing in this setting. We propose a general testing procedure that first resamples from the observed data to construct an auxiliary data set and then applies an existing test in the target domain. We prove that if the size of the resample is at most o(n‾√) and the resampling weights are well-behaved, this procedure inherits the pointwise asymptotic level and power from the target test. If the map τ is estimated from data, we can maintain the above guarantees under mild conditions if the estimation works sufficiently well. We further extend our results to finite sample level, uniform asymptotic level and a different resampling scheme. Testing under distributional shifts allows us to tackle a diverse set of problems. We argue that it may prove useful in reinforcement learning and covariate shift, we show how it reduces conditional to unconditional independence testing and we provide example applications in causal inference.

2021

JMLR

Counterfactual Mean Embeddings

Krikamol Muandet, Motonobu Kanagawa, Sorawit Saengkyongam, and Sanparith Marukatat

Journal of Machine Learning Research, 2021

Abstract Link

Counterfactual inference has become a ubiquitous tool in online advertisement, recommendation systems, medical diagnosis, and econometrics. Accurate modelling of outcome distributions associated with different interventions—known as counterfactual distributions—is crucial for the success of these applications. In this work, we propose to model counterfactual distributions using a novel Hilbert space representation called counterfactual mean embedding (CME). The CME embeds the associated counterfactual distribution into a reproducing kernel Hilbert space (RKHS) endowed with a positive definite kernel, which allows us to perform causal inference over the entire landscape of the counterfactual distribution. Based on this representation, we propose a distributional treatment effect (DTE) which can quantify the causal effect over entire outcome distributions. Our approach is nonparametric as the CME can be estimated under the unconfoundedness assumption from observational data without requiring any parametric assumption about the underlying distributions. We also establish a rate of convergence of the proposed estimator which depends on the smoothness of the conditional mean and the Radon-Nikodym derivative of the underlying marginal distributions. Furthermore, our framework allows for more complex outcomes such as images, sequences, and graphs. Our experimental results on synthetic data and off-policy evaluation tasks demonstrate the advantages of the proposed estimator.

2019

CompStat

Efficient Computation of the Stochastic Behavior of Partial Sum Processes

Sorawit Saengkyongam, Anthony Hayter, Seksan Kiatsupaibul, and Wei Liu

Computational Statistics, 2019

Abstract Link

In this paper the computational aspects of probability calculations for dynamical partial sum expressions are discussed. Such dynamical partial sum expressions have many important applications, and examples are provided in the fields of reliability, product quality assessment, and stochastic control. While these probability calculations are ostensibly of a high dimension, and consequently intractable in general, it is shown how a recursive integration methodology can be implemented to obtain exact calculations as a series of two-dimensional calculations. The computational aspects of the implementation of this methodology, with the adoption of Fast Fourier Transforms, are discussed.

Conference Articles

2024

ICLR

Identifying Representations for Intervention Extrapolation

Sorawit Saengkyongam, Elan Rosenfeld, Pradeep Ravikumar, Niklas Pfister, and Jonas Peters

International Conference on Learning Representations, 2024

Abstract Link

The premise of identifiable and causal representation learning is to improve the current representation learning paradigm in terms of generalizability or robustness. Despite recent progress in questions of identifiability, more theoretical results demonstrating concrete advantages of these methods for downstream tasks are needed. In this paper, we consider the task of intervention extrapolation: predicting how interventions affect an outcome, even when those interventions are not observed at training time, and show that identifiable representations can provide an effective solution to this task even if the interventions affect the outcome non-linearly. Our setup includes an outcome Y, observed features X, which are generated as a non-linear transformation of latent features Z, and exogenous action variables A, which influence Z. The objective of intervention extrapolation is to predict how interventions on A that lie outside the training support of A affect Y. Here, extrapolation becomes possible if the effect of A on Z is linear and the residual when regressing Z on A has full support. As Z is latent, we combine the task of intervention extrapolation with identifiable representation learning, which we call Rep4Ex: we aim to map the observed features X into a subspace that allows for non-linear extrapolation in A. We show that the hidden representation is identifiable up to an affine transformation in Z-space, which is sufficient for intervention extrapolation. The identifiability is characterized by a novel constraint describing the linearity assumption of A on Z. Based on this insight, we propose a method that enforces the linear invariance constraint and can be combined with any type of autoencoder. We validate our theoretical findings through synthetic experiments and show that our approach succeeds in predicting the effects of unseen interventions.

2022

ICML

Exploiting Independent Instruments: Identification and Distribution Generalization

Sorawit Saengkyongam, Leonard Henckel, Niklas Pfister, and Jonas Peters

In International Conference on Machine Learning , 2022

Abstract Link

Instrumental variable models allow us to identify a causal function between covariates X and a response Y, even in the presence of unobserved confounding. Most of the existing estimators assume that the error term in the response Y and the hidden confounders are uncorrelated with the instruments Z. This is often motivated by a graphical separation, an argument that also justifies independence. Positing an independence restriction, however, leads to strictly stronger identifiability results. We connect to the existing literature in econometrics and provide a practical method called HSIC-X for exploiting independence that can be combined with any gradient-based learning procedure. We see that even in identifiable settings, taking into account higher moments may yield better finite sample results. Furthermore, we exploit the independence for distribution generalization. We prove that the proposed estimator is invariant to distributional shifts on the instruments and worst-case optimal whenever these shifts are sufficiently strong. These results hold even in the under-identified case where the instruments are not sufficiently rich to identify the causal function.

2020

UAI

Learning Joint Nonlinear Effects from Single-variable Interventions in the Presence of Hidden Confounders

Sorawit Saengkyongam, and Ricardo Silva

In Conference on Uncertainty in Artificial Intelligence , 2020

Abstract Link

We propose an approach to estimate the effect of multiple simultaneous interventions in the presence of hidden confounders. To overcome the problem of hidden confounding, we consider the setting where we have access to not only the observational data but also sets of single-variable interventions in which each of the treatment variables is intervened on separately. We prove identifiability under the assumption that the data is generated from a nonlinear continuous structural causal model with additive Gaussian noise. In addition, we propose a simple parameter estimation method by pooling all the data from different regimes and jointly maximizing the combined likelihood. We also conduct comprehensive experiments to verify the identifiability result as well as to compare the performance of our approach against a baseline on both synthetic and real-world data.