Adversarial Generalized Method of Moments

arXiv1803.07164MaRDI QIDQ6299283FDOQ6299283

Authors: Greg Lewis, Vasilis Syrgkanis 

Publication date: 19 March 2018

Abstract: We provide an approach for learning deep neural net representations of models described via conditional moment restrictions. Conditional moment restrictions are widely used, as they are the language by which social scientists describe the assumptions they make to enable causal inference. We formulate the problem of estimating the underling model as a zero-sum game between a modeler and an adversary and apply adversarial training. Our approach is similar in nature to Generative Adversarial Networks (GAN), though here the modeler is learning a representation of a function that satisfies a continuum of moment conditions and the adversary is identifying violating moments. We outline ways of constructing effective adversaries in practice, including kernels centered by k-means clustering, and random forests. We examine the practical performance of our approach in the setting of non-parametric instrumental variable regression.

Has companion code repository: https://github.com/vsyrgkanis/adversarial_gmm

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