Robust Estimation of Heterogeneous Treatment Effects: An Algorithm-based Approach.

Heterogeneous treatment effect estimation is an essential element in the practice of tailoring treatment to suit the characteristics of individual patients. Most existing methods are not sufficiently robust against data irregularities. To enhance the robustness of the existing methods, we recently put forward a general estimating equation that unifies many existing learners. But the performance of model-based learners depends heavily on the correctness of the underlying treatment effect model. This paper addresses this vulnerability by converting the treatment effect estimation to a weighted supervised learning problem. We combine the general estimating equation with supervised learning algorithms, such as the gradient boosting machine, random forest, and artificial neural network, with appropriate modifications. This extension retains the estimators' robustness while enhancing their flexibility and scalability. Simulation shows that the algorithm-based estimation methods outperform their model-based counterparts in the presence of nonlinearity and non-additivity. We developed an