Stratified learning: A general‐purpose statistical method for improved learning under covariate shift

Author:

Autenrieth Maximilian1ORCID,van Dyk David A.1ORCID,Trotta Roberto234ORCID,Stenning David C.5ORCID

Affiliation:

1. Department of Mathematics Imperial College London London UK

2. Department of Physics SISSA Trieste Italy

3. Department of Physics Imperial College London London UK

4. Centro Nazionale “High Performance Computer Big Data and Quantum Computing” Italy

5. Department of Statistics and Actuarial Science Simon Fraser University Burnaby British Columbia Canada

Abstract

AbstractWe propose a simple, statistically principled, and theoretically justified method to improve supervised learning when the training set is not representative, a situation known as covariate shift. We build upon a well‐established methodology in causal inference and show that the effects of covariate shift can be reduced or eliminated by conditioning on propensity scores. In practice, this is achieved by fitting learners within strata constructed by partitioning the data based on the estimated propensity scores, leading to approximately balanced covariates and much‐improved target prediction. We refer to the overall method as Stratified Learning, or StratLearn. We demonstrate the effectiveness of this general‐purpose method on two contemporary research questions in cosmology, outperforming state‐of‐the‐art importance weighting methods. We obtain the best‐reported AUC (0.958) on the updated “Supernovae photometric classification challenge,” and we improve upon existing conditional density estimation of galaxy redshift from Sloan Digital Sky Survey (SDSS) data.

Funder

Science and Technology Facilities Council

Natural Sciences and Engineering Research Council of Canada

Publisher

Wiley

Subject

Computer Science Applications,Information Systems,Analysis

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