Learning Risk Scores Robust to Unobserved Confounders

Ryan Edmonds, Yingxiao Ye, Sina Aghaei, Andrés Gómez, Çağıl Koçyiğit +1

We consider the problem of learning risk scores to prioritize individuals for scarce resources or interventions, from historical observational data affected by unobserved confounding. Decisions about who receives scarce resources are often guided by risk scores based on recorded characteristics, such as responses to a survey. These risk scores are increasingly being learned directly from observational data: historical records of individuals' characteristics, allocation decisions, and outcomes. Standard methods such as inverse propensity weighting (IPW), which corrects for the bias introduced by the historical allocation policy, can be used to learn accurate risk scores if the historical decision process is fully explained by the recorded characteristics. In practice, however, historical decisions often depend on unrecorded information, causing learned risk scores to systematically under-prioritize exactly the individuals whose unrecorded circumstances drove past prioritization. We propose a method for learning risk scores that are robust to this kind of unobserved confounding, building on IPW. Since propensity weights cannot be reliably estimated under unobserved confounding, we…