Batch Mode Active Learning for Individual Treatment Effect Estimation

Field experimentation has become a well-established practice to estimate individual treatment effects. In recent years, the Active Learning (AL) literature has developed methods to optimize the design of field experiments and reduce their cost. In this paper, we propose a novel AL algorithm for individual treatment effect estimation that works in batch mode for cases where the outcomes of an intervention are not immediate. It uniquely combines Expected Model Change Maximization and Bayesian Additive Regression Trees. Our approach (B-EMCMITE) uses the predictive uncertainty around the individual treatment effects to actively sample new units for experimentation and decide which treatment they will receive. We perform extensive simulations and test our approach on semi-synthetic, real-life data. B-EMCMITE outperforms alternative approaches and substantially reduces the number of observations needed to estimate individual treatment effects compared to A/B tests.