Add return_components support to R-learner#923
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jeongyoonlee
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Two blockers before merge:
B1 — the p component is the stored training propensity, not recomputed for the passed X.
In both predict() bodies, when p is None you set p = self.propensity (training-data propensity) while yhat = self.model_mu.predict(X) is computed for the passed X. The two returned components end up on different bases, and on a differently-sized X the p array length won't match yhat/te — with no error raised:
rl.fit(X[:800], treatment[:800], y[:800], p=p[:800])
te, yhat, p_hat = rl.predict(X[800:1000], return_components=True)
# te: (200, 1), yhat: len 200, p_hat: len 800Please mirror the X-learner, which recomputes propensity for X (xlearner.py:203/:643):
if p is None:
p = {g: self.propensity_model[g].predict(X) for g in self.t_groups}
else:
p = self._format_p(p, self.t_groups)Note self.propensity_model only exists when fit() ran with p=None; if the user supplied p at fit and then calls predict(p=None) there is no model to recompute from — raise a clear error there rather than returning stale training values. The current test doesn't surface this because it always passes p=p_scores and predicts on the training X of equal length.
B2 — predict(..., return_ci=True) is accepted but never implemented.
The new predict() signature adds return_ci=False, but the body only uses it for the return_ci/return_components mutual-exclusion guard — it never computes CIs. So te, lb, ub = rl.predict(X, return_ci=True) raises ValueError at the unpack site (same footgun as #886). R-learner has no per-predict bootstrap path, so rather than accept-and-ignore, please drop return_ci from predict() (keep the guard in fit_predict, which does implement it) or raise NotImplementedError when True.
Tests: the new coverage only exercises BaseRLearner. Since BaseRClassifier and XGBRRegressor both had fit()/predict() modified, please add return_components tests for the classifier override and XGBR, plus the p=None predict path and a predict on a different-sized X (that last one guards B1).
Non-blocking notes to follow separately.
Proposed changes
this PR adds
return_componentssupport to the R-Learner, bringing its API in line with the existing T- and X-Learner implementationsspecific changes..
return_componentsargument topredict()andfit_predict()for bothBaseRLearnerandBaseRClassifieryhat: outcome model predictions (E[Y|X])p: propensity score estimates (E[W|X])return_ciandreturn_componentsfrom being used togetherreturn_componentsfunctionality for bothpredict()andfit_predict()along with the mutual exclusion behaviorfixes #304
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