diff --git a/CHANGELOG.rst b/CHANGELOG.rst
index 7f30b50..a89a083 100644
--- a/CHANGELOG.rst
+++ b/CHANGELOG.rst
@@ -7,15 +7,6 @@
Changelog
=========
-0.9.1 (2024-07-xx)
-------------------
-
-**New features**
-
-* Added :meth:`metalearners.metalearner.DRLearner.treatment_effect` to compute AIPW point estimate and standard error without requiring a full model fit.
-
-
-
0.9.0 (2024-07-xx)
------------------
@@ -25,6 +16,7 @@ Changelog
* Add :class:`metalearners.utils.FixedBinaryPropensity`.
+* Added :meth:`metalearners.metalearner.DRLearner.treatment_effect` to compute AIPW point estimate and standard error for _average treatment effects (ATE)_ without requiring a full model fit (which is required for CATE estimation). A new notebook contains examples.
0.8.0 (2024-07-22)
------------------
diff --git a/docs/examples/example_estimating_ates.ipynb b/docs/examples/example_estimating_ates.ipynb
index e653918..4a2c93a 100644
--- a/docs/examples/example_estimating_ates.ipynb
+++ b/docs/examples/example_estimating_ates.ipynb
@@ -12,7 +12,9 @@
"Motivation\n",
"----------\n",
"\n",
- "Estimating average treatment effects (ATEs) involves a subset of the tasks involved in estimating Conditional Average Treatment Effects (CATEs), so we can use methods that are designed for estimating CATEs to estimate ATEs. In this example, we simulate some data with confounding and demonstrate the `treatment_effect` method of the `DRLearner` class, which estimates the ATE, and compare it to estimates from some other popular libraries (`econML` and `doubleML`).\n",
+ "Estimating average treatment effects (ATEs) involves a subset of the tasks involved in estimating Conditional Average Treatment Effects (CATEs), so we can use methods that are designed for estimating CATEs to estimate ATEs. \n",
+ "\n",
+ "In this example, we simulate some data with a confounded binary treatment and demonstrate the `treatment_effect` method of the `DRLearner` class, which estimates the ATE, and compare it to estimates from some other popular libraries (`econML` and `doubleML`). We then show how this approach generalizes to a setting with multiple discrete treatments, and finally to a setting with discrete-valued outcomes.\n",
"\n",
"Example\n",
"-------"
@@ -26,14 +28,16 @@
"source": [
"import pandas as pd\n",
"import numpy as np\n",
- "import statsmodels.formula.api as smf"
+ "import statsmodels.formula.api as smf\n",
+ "\n",
+ "np.random.seed(42)"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
- "# DGP with confounding"
+ "## Binary Treatment with confounding"
]
},
{
@@ -42,11 +46,7 @@
"metadata": {},
"outputs": [],
"source": [
- "# generate covariate matrix with mixture of continuous and categorical variables\n",
- "np.random.seed(123)\n",
- "\n",
- "\n",
- "def dgp(n, k, pscore_fn, tau_fn, outcome_fn, k_cat=1):\n",
+ "def binary_dgp(n, k, pscore_fn, tau_fn, outcome_fn, k_cat=1):\n",
" \"\"\"DGP for a confounded treatment assignment dgp\n",
"\n",
" Args:\n",
@@ -55,9 +55,6 @@
" pscore_fn (lambda): propensity score function\n",
" tau_fn (lambda): treatment effect function. Can be scalar for constant effect.\n",
" outcome_fn (lambda): outcome DGP\n",
- "\n",
- " Returns:\n",
- " _type_: _description_\n",
" \"\"\"\n",
" Sigma = np.random.uniform(-1, 1, (k, k))\n",
" Sigma = Sigma @ Sigma.T\n",
@@ -73,10 +70,6 @@
" return df\n",
"\n",
"\n",
- "pscore_fn = lambda x: 1 / (1 + np.exp(-x[:, 0] - x[:, 1] - x[:, 2] ** 2 + x[:, 3]))\n",
- "\n",
- "\n",
- "# tau_fn = lambda x: 1 + 2 * x[:, 0] + 3 * x[:, 1] + 4 * x[:, 2] + 5 * x[:, 3]\n",
"def outcome_fn(x, w, taufn):\n",
" return (\n",
" taufn(x) * w\n",
@@ -90,7 +83,11 @@
"\n",
"\n",
"n, k = 10_000, 3\n",
- "df = dgp(n, k, pscore_fn, tau_fn=lambda x: 1, outcome_fn=outcome_fn)\n",
+ "pscore_fn = lambda x: 1 / (1 + np.exp(-x[:, 0] - x[:, 1] - x[:, 2] ** 2 + x[:, 3]))\n",
+ "# simulate constant_effects\n",
+ "# tau_fn = lambda x: 1 + 2 * x[:, 0] + 3 * x[:, 1] + 4 * x[:, 2] + 5 * x[:, 3]\n",
+ "tau_fn = lambda x: 1\n",
+ "df = binary_dgp(n, k, pscore_fn, tau_fn=tau_fn, outcome_fn=outcome_fn)\n",
"outcome_column, treatment_column = \"Y\", \"W\"\n",
"feature_columns = [f\"X{i}\" for i in range(k + 1)]"
]
@@ -99,7 +96,7 @@
"cell_type": "markdown",
"metadata": {},
"source": [
- "## Linear Regression "
+ "### Linear Regression "
]
},
{
@@ -110,7 +107,7 @@
{
"data": {
"text/plain": [
- "(1.624943884109307, 0.04532725031682251)"
+ "(2.083595103597918, 0.06526671583747883)"
]
},
"execution_count": 3,
@@ -132,7 +129,7 @@
{
"data": {
"text/plain": [
- "(1.1326349969274776, 0.02972906033475406)"
+ "(2.1433722387308025, 0.06345124983351998)"
]
},
"execution_count": 4,
@@ -158,7 +155,7 @@
"cell_type": "markdown",
"metadata": {},
"source": [
- "## `metalearners`: `DRLearner`\n",
+ "### `metalearners`: `DRLearner`\n",
"\n",
"Point estimates and standard errors for treatment effects for the AIPW estimator can be computed by aggregating the pseudo-outcome computed by the `DRLearner` class."
]
@@ -215,7 +212,7 @@
{
"data": {
"text/plain": [
- "array([[1.01467296, 0.03699228]])"
+ "array([[1.02931589, 0.06679633]])"
]
},
"execution_count": 6,
@@ -239,7 +236,6 @@
" y=df[outcome_column],\n",
" w=df[treatment_column],\n",
")\n",
- "\n",
"metalearners_est = metalearners_dr.treatment_effect( # still need to pass data objects since DRLearner does not retain any data\n",
" X=df[feature_columns],\n",
" w=df[treatment_column],\n",
@@ -264,7 +260,7 @@
"name": "stdout",
"output_type": "stream",
"text": [
- "est: 1.0146729600419584, se: 0.036994131087587\n"
+ "est: 1.0293158917468608, se: 0.06679966900982737\n"
]
}
],
@@ -285,9 +281,9 @@
"cell_type": "markdown",
"metadata": {},
"source": [
- "## `doubleml`: `DoubleMLIRM`\n",
+ "### `doubleml`: `DoubleMLIRM`\n",
"\n",
- "The `doubleML` library focuses on estimating average effects and has an 'interactive regression model (IRM)' class that estimates the ATE using the same pseudo-outcome method as the `DRLearner` class."
+ "The [`doubleML`](https://docs.doubleml.org/stable/index.html) library focuses on estimating average effects and has an 'interactive regression model (IRM)' class that estimates the ATE using the same pseudo-outcome method as the `DRLearner` class."
]
},
{
@@ -324,7 +320,7 @@
"name": "stdout",
"output_type": "stream",
"text": [
- "[1.01366331 0.03880938]\n"
+ "[1.08356716 0.05786543]\n"
]
}
],
@@ -336,7 +332,7 @@
"cell_type": "markdown",
"metadata": {},
"source": [
- "## `econML`: `LinearDRLearner`"
+ "### `econML`: `LinearDRLearner`"
]
},
{
@@ -388,7 +384,7 @@
"name": "stdout",
"output_type": "stream",
"text": [
- "[1.069 0.059]\n"
+ "[1.001 0.109]\n"
]
}
],
@@ -400,9 +396,9 @@
"cell_type": "markdown",
"metadata": {},
"source": [
- "## comparison\n",
+ "### comparison\n",
"\n",
- "All ml-based estimators yield comparable results."
+ "All ml-based estimators yield comparable results (both point estimate and standard error)."
]
},
{
@@ -441,28 +437,28 @@
"
\n",
" \n",
" est | \n",
- " 1.624944 | \n",
- " 1.132635 | \n",
- " 1.014673 | \n",
- " 1.013663 | \n",
- " 1.069 | \n",
+ " 2.083595 | \n",
+ " 2.143372 | \n",
+ " 1.029316 | \n",
+ " 1.083567 | \n",
+ " 1.001 | \n",
"
\n",
" \n",
- " 0.036994 | \n",
- " 0.045327 | \n",
- " 0.029729 | \n",
- " 0.036992 | \n",
- " 0.038809 | \n",
- " 0.059 | \n",
+ " se | \n",
+ " 0.065267 | \n",
+ " 0.063451 | \n",
+ " 0.066796 | \n",
+ " 0.057865 | \n",
+ " 0.109 | \n",
"
\n",
" \n",
"\n",
""
],
"text/plain": [
- " naive linreg metalearners doubleml econml\n",
- "est 1.624944 1.132635 1.014673 1.013663 1.069\n",
- "0.036994 0.045327 0.029729 0.036992 0.038809 0.059"
+ " naive linreg metalearners doubleml econml\n",
+ "est 2.083595 2.143372 1.029316 1.083567 1.001\n",
+ "se 0.065267 0.063451 0.066796 0.057865 0.109"
]
},
"execution_count": 14,
@@ -478,10 +474,483 @@
" metalearners_est.flatten(),\n",
" doubleml_est,\n",
" econml_est,\n",
- "], index = ['est', se],\n",
+ "], index = ['est', 'se'],\n",
"columns = ['naive', 'linreg', 'metalearners', 'doubleml', 'econml']\n",
")\n"
]
+ },
+ {
+ "cell_type": "markdown",
+ "metadata": {},
+ "source": [
+ "## Multiple Treatment Arms\n",
+ "\n",
+ "Next, we demonstrate the use of the `treatment_effect` method of the `DRLearner` class in a setting with multiple discrete treatments."
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 15,
+ "metadata": {},
+ "outputs": [
+ {
+ "data": {
+ "text/html": [
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+ }
+ ],
+ "source": [
+ "np.random.seed(123)\n",
+ "\n",
+ "def multi_pscore_fn(x, num_treatments=3):\n",
+ " logits = np.zeros((x.shape[0], num_treatments))\n",
+ " logits[:, 0] = -x[:, 0] - x[:, 1] - x[:, 2] + x[:, 3]\n",
+ " logits[:, 1] = -x[:, 1] - x[:, 2] - x[:, 3] + x[:, 0]\n",
+ " logits[:, 2] = -x[:, 2] - x[:, 3] - x[:, 0] + x[:, 1]\n",
+ " # Apply softmax\n",
+ " exp_logits = np.exp(logits - np.max(logits, axis=1, keepdims=True))\n",
+ " pscores = exp_logits / np.sum(exp_logits, axis=1, keepdims=True)\n",
+ " return pscores\n",
+ "\n",
+ "# And then modify the multi_treatment_dgp function to use these probabilities:\n",
+ "\n",
+ "def multi_treatment_dgp(n, k, pscore_fn, tau_fn, outcome_fn, k_cat=1, num_treatments=3):\n",
+ " \"\"\"DGP for a confounded multiple treatment assignment\"\"\"\n",
+ " Sigma = np.random.uniform(-1, 1, (k, k))\n",
+ " Sigma = Sigma @ Sigma.T\n",
+ " Xnum = np.random.multivariate_normal(np.zeros(k), Sigma, n)\n",
+ " Xcat = np.random.binomial(1, 0.5, (n, k_cat))\n",
+ " X = np.c_[Xnum, Xcat]\n",
+ "\n",
+ " # Generate multiple treatments\n",
+ " pscores = pscore_fn(X, num_treatments)\n",
+ " W = np.zeros((n, num_treatments), dtype=int)\n",
+ " for i in range(n):\n",
+ " W[i, np.random.choice(num_treatments, p=pscores[i])] = 1\n",
+ " Y = outcome_fn(X, W, tau_fn)\n",
+ " df = pd.DataFrame(\n",
+ " np.c_[Y, X],\n",
+ " columns=[\"Y\"]\n",
+ " + [f\"X{i}\" for i in range(k + 1)],\n",
+ " ).assign(\n",
+ " W=np.argmax(W, axis=1)\n",
+ " ) # convert one-hot encoding to single column\n",
+ " return df\n",
+ "\n",
+ "\n",
+ "def multi_outcome_fn(x, w, taufn):\n",
+ " return (\n",
+ " np.sum(taufn(x) * w, axis=1) # sum over treatments\n",
+ " + x[:, 0]\n",
+ " + 2 * x[:, 1] ** 2\n",
+ " + 3 * x[:, 3] * x[:, 1]\n",
+ " + x[:, 2]\n",
+ " + x[:, 3]\n",
+ " + np.random.normal(0, 1, n)\n",
+ " )\n",
+ "\n",
+ "def multi_tau_fn(x):\n",
+ " return np.c_[ 0, 1, 2]\n",
+ "\n",
+ "n, k = 10_000, 3\n",
+ "\n",
+ "df_multi = multi_treatment_dgp(\n",
+ " n, k, multi_pscore_fn, tau_fn=multi_tau_fn, outcome_fn=multi_outcome_fn\n",
+ ")\n",
+ "feature_columns = [f\"X{i}\" for i in range(k + 1)]\n",
+ "outcome_column, treatment_column = \"Y\", \"W\"\n",
+ "df_multi.head()"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 16,
+ "metadata": {},
+ "outputs": [
+ {
+ "data": {
+ "text/plain": [
+ "Intercept 0.645659\n",
+ "C(W)[T.1] 1.777798\n",
+ "C(W)[T.2] 2.387949\n",
+ "dtype: float64"
+ ]
+ },
+ "execution_count": 16,
+ "metadata": {},
+ "output_type": "execute_result"
+ }
+ ],
+ "source": [
+ "lm_multi = smf.ols(\"Y ~ C(W)\", df_multi).fit()\n",
+ "lm_multi.params"
+ ]
+ },
+ {
+ "cell_type": "markdown",
+ "metadata": {},
+ "source": [
+ "These estimates are substantially biased, since the model is misspecified (the true outcome and propensity score contains quadratic terms)."
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 17,
+ "metadata": {},
+ "outputs": [
+ {
+ "data": {
+ "text/plain": [
+ "array([[1.04071166, 0.14139908],\n",
+ " [2.25658364, 0.21346275]])"
+ ]
+ },
+ "execution_count": 17,
+ "metadata": {},
+ "output_type": "execute_result"
+ }
+ ],
+ "source": [
+ "metalearners_dr_2 = DRLearner(\n",
+ " nuisance_model_factory=LGBMRegressor,\n",
+ " treatment_model_factory=DummyRegressor, # not actually used since we don't fit treatment model\n",
+ " propensity_model_factory=LGBMClassifier,\n",
+ " is_classification=False,\n",
+ " n_variants=3,\n",
+ " nuisance_model_params={\"verbose\": -1},\n",
+ " propensity_model_params={\"verbose\": -1},\n",
+ ")\n",
+ "\n",
+ "metalearners_dr_2.fit_all_nuisance(\n",
+ " X=df_multi[feature_columns],\n",
+ " y=df_multi[outcome_column],\n",
+ " w=df_multi[treatment_column],\n",
+ ")\n",
+ "metalearners_est2 = metalearners_dr_2.treatment_effect( # still need to pass data objects since DRLearner does not retain any data\n",
+ " X=df_multi[feature_columns],\n",
+ " y=df_multi[outcome_column],\n",
+ " w=df_multi[treatment_column],\n",
+ ")\n",
+ "metalearners_est2"
+ ]
+ },
+ {
+ "cell_type": "markdown",
+ "metadata": {},
+ "source": [
+ "These estimates are less biased than those produced by the linear model."
+ ]
+ },
+ {
+ "cell_type": "markdown",
+ "metadata": {},
+ "source": [
+ "## Binary Outcome\n",
+ "\n",
+ "Finally, we consider a case where the outcome is binary, in which case the DRLearner class is initialized with `is_classification=True` and the nuisance model is a classifier."
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 18,
+ "metadata": {},
+ "outputs": [
+ {
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+ "source": [
+ "def classification_dgp(n, k, pscore_fn, tau_fn, outcome_fn, k_cat=1):\n",
+ " \"\"\"DGP for a confounded treatment assignment with binary outcome\"\"\"\n",
+ " Sigma = np.random.uniform(-1, 1, (k, k))\n",
+ " Sigma = Sigma @ Sigma.T\n",
+ " Xnum = np.random.multivariate_normal(np.zeros(k), Sigma, n)\n",
+ " Xcat = np.random.binomial(1, 0.5, (n, k_cat))\n",
+ " X = np.c_[Xnum, Xcat]\n",
+ " W = np.random.binomial(1, pscore_fn(X), n)\n",
+ " Y_prob = outcome_fn(X, W, tau_fn)\n",
+ " Y = np.random.binomial(1, Y_prob).astype(int)\n",
+ " df = pd.DataFrame(\n",
+ " np.c_[Y, W, X], columns=[\"Y\", \"W\"] + [f\"X{i}\" for i in range(k + 1)]\n",
+ " ).assign(Y = pd.to_numeric(Y, downcast='integer'))\n",
+ " return df\n",
+ "\n",
+ "\n",
+ "def classification_outcome_fn(x, w, taufn):\n",
+ " logits = (\n",
+ " taufn(x) * w\n",
+ " + x[:, 0]\n",
+ " + 2 * x[:, 1]\n",
+ " + 3 * x[:, 3] * x[:, 1]\n",
+ " + x[:, 2]\n",
+ " + x[:, 3]\n",
+ " )\n",
+ " return 1 / (1 + np.exp(-logits))\n",
+ "\n",
+ "\n",
+ "# Propensity score function\n",
+ "pscore_fn = lambda x: 1 / (1 + np.exp(-x[:, 0] - x[:, 1] - x[:, 2] ** 2 + x[:, 3]))\n",
+ "\n",
+ "# Treatment effect function - constant increase in probability of Y=1\n",
+ "classification_tau_fn = lambda x: 0.05\n",
+ "\n",
+ "n, k = 10_000, 3\n",
+ "df_class = classification_dgp(\n",
+ " n, k, pscore_fn, tau_fn=classification_tau_fn, outcome_fn=classification_outcome_fn\n",
+ ")\n",
+ "feature_columns = [f\"X{i}\" for i in range(k + 1)]\n",
+ "outcome_column, treatment_column = \"Y\", \"W\"\n",
+ "\n",
+ "df_class.head()"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 19,
+ "metadata": {},
+ "outputs": [
+ {
+ "data": {
+ "image/png": "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",
+ "text/latex": [
+ "$\\displaystyle 0.081358650748229$"
+ ],
+ "text/plain": [
+ "0.08135865074822901"
+ ]
+ },
+ "execution_count": 19,
+ "metadata": {},
+ "output_type": "execute_result"
+ }
+ ],
+ "source": [
+ "# naive TE\n",
+ "df_class.groupby(\"W\")[\"Y\"].mean().diff()[1]"
+ ]
+ },
+ {
+ "cell_type": "code",
+ "execution_count": 20,
+ "metadata": {},
+ "outputs": [
+ {
+ "data": {
+ "text/plain": [
+ "array([[0.04373356, 0.04191263]])"
+ ]
+ },
+ "execution_count": 20,
+ "metadata": {},
+ "output_type": "execute_result"
+ }
+ ],
+ "source": [
+ "metalearners_dr_3 = DRLearner(\n",
+ " nuisance_model_factory=LGBMClassifier,\n",
+ " treatment_model_factory=DummyRegressor, # not actually used since we don't fit treatment model\n",
+ " propensity_model_factory=LGBMClassifier,\n",
+ " is_classification=True,\n",
+ " n_variants=2,\n",
+ " nuisance_model_params={\"verbose\": -1},\n",
+ " propensity_model_params={\"verbose\": -1},\n",
+ ")\n",
+ "\n",
+ "metalearners_dr_3.fit_all_nuisance(\n",
+ " X=df_class[feature_columns],\n",
+ " y=df_class[outcome_column],\n",
+ " w=df_class[treatment_column],\n",
+ ")\n",
+ "metalearners_est_3 = metalearners_dr_3.treatment_effect( # still need to pass data objects since DRLearner does not retain any data\n",
+ " X=df_class[feature_columns],\n",
+ " y=df_class[outcome_column],\n",
+ " w=df_class[treatment_column],\n",
+ ")\n",
+ "metalearners_est_3"
+ ]
+ },
+ {
+ "cell_type": "markdown",
+ "metadata": {},
+ "source": [
+ "Again, we have lower bias than the naive comparison."
+ ]
}
],
"metadata": {
diff --git a/docs/examples/index.rst b/docs/examples/index.rst
index ad95031..2ef1439 100644
--- a/docs/examples/index.rst
+++ b/docs/examples/index.rst
@@ -6,6 +6,7 @@ Examples
:maxdepth: 1
Estimating CATEs with MetaLearners
+ Estimating ATEs with DRLearner
Reusing base models
Explainability: Lime plots of MetaLearners
Explainability: Feature importance and SHAP values
diff --git a/metalearners/drlearner.py b/metalearners/drlearner.py
index ae5f7c4..18df8af 100644
--- a/metalearners/drlearner.py
+++ b/metalearners/drlearner.py
@@ -191,7 +191,7 @@ def fit_all_nuisance(
)
self._assign_joblib_nuisance_results(results)
-
+ self._nuisance_models_fit = True
return self
def fit_all_treatment(
@@ -337,7 +337,11 @@ def treatment_effect(
y: Vector,
w: Vector,
) -> np.ndarray:
- """Compute Average Treatment Effect (ATE) for each treatment variant using the Augmented IPW estimator (Robins et al 1994). Does not require fitting a second-stage treatment model: it uses the pseudo-outcome alone and computes the average and SE. Can be used following the `fit_all_nuisance` method.
+ """Compute Average Treatment Effect (ATE) for each treatment variant using the
+ Augmented IPW estimator (Robins et al 1994). Does not require fitting a second-
+ stage treatment model: it uses the pseudo-outcome alone and computes the average
+ and SE. Can be used following the
+ :meth:`~metalearners.drlearner.DRLearner.fit_all_nuisance` method.
Args:
X (Matrix): Covariate matrix.
@@ -347,6 +351,10 @@ def treatment_effect(
Returns:
np.ndarray: Treatment effect and standard error for each treatment variant.
"""
+ if not self._nuisance_models_fit:
+ raise ValueError(
+ "The nuisance models need to be fitted before computing the treatment effect."
+ )
gamma_matrix = np.zeros((len(X), self.n_variants - 1))
for treatment_variant in range(1, self.n_variants):
gamma_matrix[:, treatment_variant - 1] = self._pseudo_outcome(
diff --git a/pixi.lock b/pixi.lock
index 8baa1d0..7227f07 100644
--- a/pixi.lock
+++ b/pixi.lock
@@ -11,11 +11,11 @@ environments:
- conda: https://conda.anaconda.org/conda-forge/linux-64/atk-1.0-2.38.0-h04ea711_2.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/brotli-1.1.0-hd590300_1.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/brotli-bin-1.1.0-hd590300_1.conda
- - conda: https://conda.anaconda.org/conda-forge/linux-64/bzip2-1.0.8-hd590300_5.conda
+ - conda: https://conda.anaconda.org/conda-forge/linux-64/bzip2-1.0.8-h4bc722e_7.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/ca-certificates-2024.7.4-hbcca054_0.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/cairo-1.18.0-hbb29018_2.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/causalml-0.15.1-py310h2bcf4ab_1.conda
- - conda: https://conda.anaconda.org/conda-forge/noarch/certifi-2024.6.2-pyhd8ed1ab_0.conda
+ - conda: https://conda.anaconda.org/conda-forge/noarch/certifi-2024.7.4-pyhd8ed1ab_0.conda
- conda: https://conda.anaconda.org/conda-forge/noarch/cloudpickle-3.0.0-pyhd8ed1ab_0.conda
- conda: https://conda.anaconda.org/conda-forge/noarch/colorama-0.4.6-pyhd8ed1ab_0.tar.bz2
- conda: https://conda.anaconda.org/conda-forge/linux-64/contourpy-1.2.1-py310hd41b1e2_0.conda
@@ -23,7 +23,7 @@ environments:
- conda: https://conda.anaconda.org/conda-forge/linux-64/cython-0.29.34-py310heca2aa9_0.conda
- conda: https://conda.anaconda.org/conda-forge/noarch/dill-0.3.8-pyhd8ed1ab_0.conda
- conda: https://conda.anaconda.org/conda-forge/noarch/dowhy-0.7.1-pyhd8ed1ab_0.tar.bz2
- - conda: https://conda.anaconda.org/conda-forge/linux-64/econml-0.15.0-py310hcc13569_0.conda
+ - conda: https://conda.anaconda.org/conda-forge/linux-64/econml-0.15.1-py310h27b3328_0.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/expat-2.6.2-h59595ed_0.conda
- conda: https://conda.anaconda.org/conda-forge/noarch/filelock-3.15.4-pyhd8ed1ab_0.conda
- conda: https://conda.anaconda.org/conda-forge/noarch/font-ttf-dejavu-sans-mono-2.37-hab24e00_0.tar.bz2
@@ -33,7 +33,7 @@ environments:
- conda: https://conda.anaconda.org/conda-forge/linux-64/fontconfig-2.14.2-h14ed4e7_0.conda
- conda: https://conda.anaconda.org/conda-forge/noarch/fonts-conda-ecosystem-1-0.tar.bz2
- conda: https://conda.anaconda.org/conda-forge/noarch/fonts-conda-forge-1-0.tar.bz2
- - conda: https://conda.anaconda.org/conda-forge/linux-64/fonttools-4.53.0-py310hc51659f_0.conda
+ - conda: https://conda.anaconda.org/conda-forge/linux-64/fonttools-4.53.1-py310h5b4e0ec_0.conda
- conda: https://conda.anaconda.org/conda-forge/noarch/forestci-0.6-pyha21a80b_0.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/freetype-2.12.1-h267a509_2.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/fribidi-1.0.10-h36c2ea0_0.tar.bz2
@@ -45,10 +45,10 @@ environments:
- conda: https://conda.anaconda.org/conda-forge/linux-64/gmp-6.3.0-hac33072_2.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/gmpy2-2.1.5-py310hc7909c9_1.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/graphite2-1.3.13-h59595ed_1003.conda
- - conda: https://conda.anaconda.org/conda-forge/linux-64/graphviz-2.50.0-h78e8752_4.conda
- - conda: https://conda.anaconda.org/conda-forge/linux-64/gtk2-2.24.33-h280cfa0_4.conda
+ - conda: https://conda.anaconda.org/conda-forge/linux-64/graphviz-12.0.0-hba01fac_0.conda
+ - conda: https://conda.anaconda.org/conda-forge/linux-64/gtk2-2.24.33-h6470451_5.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/gts-0.7.6-h977cf35_4.conda
- - conda: https://conda.anaconda.org/conda-forge/linux-64/harfbuzz-8.5.0-hfac3d4d_0.conda
+ - conda: https://conda.anaconda.org/conda-forge/linux-64/harfbuzz-9.0.0-hfac3d4d_0.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/icu-73.2-h59595ed_0.conda
- conda: https://conda.anaconda.org/conda-forge/noarch/jinja2-3.1.4-pyhd8ed1ab_0.conda
- conda: https://conda.anaconda.org/conda-forge/noarch/joblib-1.4.2-pyhd8ed1ab_0.conda
@@ -56,49 +56,49 @@ environments:
- conda: https://conda.anaconda.org/conda-forge/linux-64/lcms2-2.16-hb7c19ff_0.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/ld_impl_linux-64-2.40-hf3520f5_7.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/lerc-4.0.0-h27087fc_0.tar.bz2
- - conda: https://conda.anaconda.org/conda-forge/linux-64/libabseil-20240116.2-cxx17_h59595ed_0.conda
- - conda: https://conda.anaconda.org/conda-forge/linux-64/libblas-3.9.0-22_linux64_openblas.conda
+ - conda: https://conda.anaconda.org/conda-forge/linux-64/libabseil-20240116.2-cxx17_he02047a_1.conda
+ - conda: https://conda.anaconda.org/conda-forge/linux-64/libblas-3.9.0-23_linux64_openblas.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/libboost-1.84.0-hba137d9_3.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/libbrotlicommon-1.1.0-hd590300_1.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/libbrotlidec-1.1.0-hd590300_1.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/libbrotlienc-1.1.0-hd590300_1.conda
- - conda: https://conda.anaconda.org/conda-forge/linux-64/libcblas-3.9.0-22_linux64_openblas.conda
- - conda: https://conda.anaconda.org/conda-forge/linux-64/libdeflate-1.20-hd590300_0.conda
+ - conda: https://conda.anaconda.org/conda-forge/linux-64/libcblas-3.9.0-23_linux64_openblas.conda
+ - conda: https://conda.anaconda.org/conda-forge/linux-64/libdeflate-1.21-h4bc722e_0.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/libexpat-2.6.2-h59595ed_0.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/libffi-3.4.2-h7f98852_5.tar.bz2
- conda: https://conda.anaconda.org/conda-forge/linux-64/libgcc-ng-14.1.0-h77fa898_0.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/libgd-2.3.3-h119a65a_9.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/libgfortran-ng-14.1.0-h69a702a_0.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/libgfortran5-14.1.0-hc5f4f2c_0.conda
- - conda: https://conda.anaconda.org/conda-forge/linux-64/libglib-2.80.2-h8a4344b_1.conda
+ - conda: https://conda.anaconda.org/conda-forge/linux-64/libglib-2.80.3-h8a4344b_1.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/libgomp-14.1.0-h77fa898_0.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/libiconv-1.17-hd590300_2.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/libjpeg-turbo-3.0.0-hd590300_1.conda
- - conda: https://conda.anaconda.org/conda-forge/linux-64/liblapack-3.9.0-22_linux64_openblas.conda
+ - conda: https://conda.anaconda.org/conda-forge/linux-64/liblapack-3.9.0-23_linux64_openblas.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/libllvm14-14.0.6-hcd5def8_4.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/libnsl-2.0.1-hd590300_0.conda
- - conda: https://conda.anaconda.org/conda-forge/linux-64/libopenblas-0.3.27-pthreads_h413a1c8_0.conda
+ - conda: https://conda.anaconda.org/conda-forge/linux-64/libopenblas-0.3.27-pthreads_hac2b453_1.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/libpng-1.6.43-h2797004_0.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/libprotobuf-4.25.3-h08a7969_0.conda
- - conda: https://conda.anaconda.org/conda-forge/linux-64/librsvg-2.58.1-hadf69e7_0.conda
+ - conda: https://conda.anaconda.org/conda-forge/linux-64/librsvg-2.58.2-h9564881_1.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/libsqlite-3.46.0-hde9e2c9_0.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/libstdcxx-ng-14.1.0-hc0a3c3a_0.conda
- - conda: https://conda.anaconda.org/conda-forge/linux-64/libtiff-4.6.0-h1dd3fc0_3.conda
+ - conda: https://conda.anaconda.org/conda-forge/linux-64/libtiff-4.6.0-h46a8edc_4.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/libtorch-2.3.1-cpu_generic_h970db74_0.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/libuuid-2.38.1-h0b41bf4_0.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/libuv-1.48.0-hd590300_0.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/libwebp-1.4.0-h2c329e2_0.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/libwebp-base-1.4.0-hd590300_0.conda
- conda: https://conda.anaconda.org/conda-forge/linux-64/libxcb-1.16-hd590300_0.conda
- - conda: https://conda.anaconda.org/conda-forge/linux-64/libxgboost-2.0.3-cpu_h7afb2cf_4.conda
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license_family: BSD
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license_family: BSD
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license_family: BSD
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size: 282523
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name: libcblas
version: 3.9.0
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- - liblapacke 3.9.0 22_osxarm64_openblas
license: BSD-3-Clause
license_family: BSD
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name: libcblas
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+ build: 23_win64_mkl
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subdir: win-64
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- - liblapack 3.9.0 22_win64_mkl
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+ - liblapacke 3.9.0 23_win64_mkl
license: BSD-3-Clause
license_family: BSD
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name: libcblas
version: 3.9.0
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subdir: win-64
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license: BSD-3-Clause
license_family: BSD
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license: Apache-2.0 WITH LLVM-exception
license_family: Apache
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name: libcxx
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license: Apache-2.0 WITH LLVM-exception
license_family: Apache
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- kind: conda
name: libdeflate
version: '1.20'
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license_family: MIT
size: 71500
timestamp: 1711196523408
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+ name: libdeflate
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+ build: h2466b09_0
+ subdir: win-64
+ url: https://conda.anaconda.org/conda-forge/win-64/libdeflate-1.21-h2466b09_0.conda
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+ license_family: MIT
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+ name: libdeflate
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+ build: h4bc722e_0
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+ name: libdeflate
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+ build: h99b78c6_0
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+ url: https://conda.anaconda.org/conda-forge/osx-arm64/libdeflate-1.21-h99b78c6_0.conda
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name: libedit
version: 3.1.20191231
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size: 206783
timestamp: 1696161158189
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name: libgfortran
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size: 1457561
timestamp: 1719538909168
-- kind: conda
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timestamp: 1719538796073
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name: libhwloc
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build: default_h456cccd_1000
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subdir: osx-64
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license: BSD-3-Clause
license_family: BSD
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build_number: 1000
subdir: win-64
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license_family: BSD
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name: libjxl
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license: BSD-3-Clause
license_family: BSD
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license_family: BSD
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name: liblapack
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name: liblapack
version: 3.9.0
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license_family: BSD
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license_family: BSD
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license_family: BSD
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name: libopenblas
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license: BSD-3-Clause
license_family: BSD
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license_family: BSD
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license: BSD-3-Clause
license_family: BSD
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license_family: BSD
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license_family: BSD
size: 2154402
timestamp: 1709514097574
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size: 282688
timestamp: 1711217970425
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size: 787198
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- size: 3924159
- timestamp: 1710794002174
+ size: 3825427
+ timestamp: 1722471277238
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+ name: taplo
+ version: 0.9.3
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+ url: https://conda.anaconda.org/conda-forge/osx-64/taplo-0.9.3-hd264b5c_0.conda
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+ license: MIT
+ license_family: MIT
+ size: 3699006
+ timestamp: 1722470174306
- kind: conda
name: tbb
version: 2021.12.0
- build: h3c5361c_2
- build_number: 2
+ build: h3c5361c_3
+ build_number: 3
subdir: osx-64
- url: https://conda.anaconda.org/conda-forge/osx-64/tbb-2021.12.0-h3c5361c_2.conda
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- md5: 9baedc6436ec835bca3aabf06e971687
+ url: https://conda.anaconda.org/conda-forge/osx-64/tbb-2021.12.0-h3c5361c_3.conda
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+ md5: b0cada4d5a4cf1cbf8598b86231b5958
depends:
- __osx >=10.13
- libcxx >=16
- - libhwloc >=2.11.0,<2.11.1.0a0
+ - libhwloc >=2.11.1,<2.11.2.0a0
license: Apache-2.0
- size: 172329
- timestamp: 1720077246862
+ license_family: APACHE
+ size: 173182
+ timestamp: 1720768574354
- kind: conda
name: tbb
version: 2021.12.0
- build: hc790b64_2
- build_number: 2
+ build: hc790b64_3
+ build_number: 3
subdir: win-64
- url: https://conda.anaconda.org/conda-forge/win-64/tbb-2021.12.0-hc790b64_2.conda
- sha256: e41d0d07bbabc0144292fd28e871f54828eaa10da27e50c8b8cf5dad9a2f3a92
- md5: 3d6620dda0ba48d457fb722adfad5963
+ url: https://conda.anaconda.org/conda-forge/win-64/tbb-2021.12.0-hc790b64_3.conda
+ sha256: 721a88d702e31efd9437d387774ef9157846743e66648f5f863b29ae322e8479
+ md5: a16e2a639e87c554abee5192ce6ee308
depends:
- - libhwloc >=2.11.0,<2.11.1.0a0
+ - libhwloc >=2.11.1,<2.11.2.0a0
- ucrt >=10.0.20348.0
- vc >=14.2,<15
- vc14_runtime >=14.29.30139
license: Apache-2.0
- size: 161756
- timestamp: 1720077659730
+ license_family: APACHE
+ size: 161213
+ timestamp: 1720768916898
- kind: conda
name: tenacity
version: 9.0.0
@@ -28067,13 +26947,13 @@ packages:
timestamp: 1714400228771
- kind: conda
name: tifffile
- version: 2024.7.2
+ version: 2024.7.24
build: pyhd8ed1ab_0
subdir: noarch
noarch: python
- url: https://conda.anaconda.org/conda-forge/noarch/tifffile-2024.7.2-pyhd8ed1ab_0.conda
- sha256: 70075535caf22f8bdb2c9fa564b91d4cae9caad10e7d0bf1a7ecc435f745d04c
- md5: 67bdbdca78327a94e91969df173dbdb7
+ url: https://conda.anaconda.org/conda-forge/noarch/tifffile-2024.7.24-pyhd8ed1ab_0.conda
+ sha256: e31137890b9677a0c7f6f8961970a4c052d2bb0f75de80d5a89c95d89e82ad68
+ md5: 5e59c23bd7626e83acf61657cf0512e9
depends:
- imagecodecs >=2023.8.12
- numpy >=1.19.2
@@ -28082,8 +26962,8 @@ packages:
- matplotlib-base >=3.3
license: BSD-3-Clause
license_family: BSD
- size: 178769
- timestamp: 1720010533744
+ size: 177867
+ timestamp: 1721813351678
- kind: conda
name: tinycss2
version: 1.3.0
@@ -28396,19 +27276,19 @@ packages:
timestamp: 1717722844100
- kind: conda
name: tqdm
- version: 4.66.4
+ version: 4.66.5
build: pyhd8ed1ab_0
subdir: noarch
noarch: python
- url: https://conda.anaconda.org/conda-forge/noarch/tqdm-4.66.4-pyhd8ed1ab_0.conda
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- md5: e74cd796e70a4261f86699ee0a3a7a24
+ url: https://conda.anaconda.org/conda-forge/noarch/tqdm-4.66.5-pyhd8ed1ab_0.conda
+ sha256: f2384902cef72048b0e9bad5c03d7a843de02ba6bc8618a9ecab6ff81a131312
+ md5: c6e94fc2b2ec71ea33fe7c7da259acb4
depends:
- colorama
- python >=3.7
license: MPL-2.0 or MIT
- size: 89452
- timestamp: 1714855008479
+ size: 89519
+ timestamp: 1722737568509
- kind: conda
name: traitlets
version: 5.14.3
@@ -28426,18 +27306,18 @@ packages:
timestamp: 1713535244513
- kind: conda
name: types-setuptools
- version: 70.2.0.20240704
+ version: 71.1.0.20240726
build: pyhd8ed1ab_0
subdir: noarch
noarch: python
- url: https://conda.anaconda.org/conda-forge/noarch/types-setuptools-70.2.0.20240704-pyhd8ed1ab_0.conda
- sha256: cceef0196a4ed45263f9ea645c7db4d37f18a77f1d2c76c78d80f9c9acb94dc7
- md5: 0f6a24f1ee3083b77c63611f7e8c05af
+ url: https://conda.anaconda.org/conda-forge/noarch/types-setuptools-71.1.0.20240726-pyhd8ed1ab_0.conda
+ sha256: ec4c28121a781334115b64d955e178419f3f4a58ee1361942b27aae3d3934d38
+ md5: 644f050501361142a5d9b0efc28967a5
depends:
- python >=3.8
license: Apache-2.0 AND MIT
- size: 46983
- timestamp: 1720076251957
+ size: 46989
+ timestamp: 1721973461093
- kind: conda
name: typing-extensions
version: 4.12.2
@@ -28470,44 +27350,44 @@ packages:
timestamp: 1717802653893
- kind: conda
name: typos
- version: 1.22.7
+ version: 1.23.6
build: h686f776_0
subdir: osx-64
- url: https://conda.anaconda.org/conda-forge/osx-64/typos-1.22.7-h686f776_0.conda
- sha256: cb0203305cffc52cf24481f64f4cf30dba34384245257bd443ba5ead6b09d5b3
- md5: 9cbc5bb8f804f3e500042b985286ab60
+ url: https://conda.anaconda.org/conda-forge/osx-64/typos-1.23.6-h686f776_0.conda
+ sha256: 2d233ab559731dc138ac69613d8fc0e38029d53d3e1d4bb28959481b0cd67b48
+ md5: cf131ee2fc8e4a4cf141eb0dbab0f0dd
depends:
- __osx >=10.13
constrains:
- - __osx >=10.12
+ - __osx >=10.13
license: MIT
license_family: MIT
- size: 3358158
- timestamp: 1718216721382
+ size: 3347234
+ timestamp: 1722478365544
- kind: conda
name: typos
- version: 1.22.7
+ version: 1.23.6
build: h6e96688_0
subdir: osx-arm64
- url: https://conda.anaconda.org/conda-forge/osx-arm64/typos-1.22.7-h6e96688_0.conda
- sha256: b01ecd5d44b67738f9148add9ec7f12d9f1a4935725fc3d8841d020a7ba93f36
- md5: 61ee622afcccb925d13da044e1c3ab26
+ url: https://conda.anaconda.org/conda-forge/osx-arm64/typos-1.23.6-h6e96688_0.conda
+ sha256: 04aef5e61df2424792d91046dc4c3fd971ff543c86892e9a708b97241b6c6c09
+ md5: 2ce9c5d11ded742722a02bc0c1170c95
depends:
- __osx >=11.0
constrains:
- __osx >=11.0
license: MIT
license_family: MIT
- size: 3355631
- timestamp: 1718216631691
+ size: 3347511
+ timestamp: 1722478465883
- kind: conda
name: typos
- version: 1.22.7
+ version: 1.23.6
build: h813c833_0
subdir: win-64
- url: https://conda.anaconda.org/conda-forge/win-64/typos-1.22.7-h813c833_0.conda
- sha256: d6074f6cda322f20210daf5110f22af26c5b29d4633a2136a9e24797c33119b2
- md5: 113e466e1e990ecf8b9d5f51dfefad28
+ url: https://conda.anaconda.org/conda-forge/win-64/typos-1.23.6-h813c833_0.conda
+ sha256: a857f68d0ce318f66b9a49f16b61f4811c16c060544005cb1818098fe33123a1
+ md5: d3fe5d121432ec55f86f553f009f32f1
depends:
- m2w64-gcc-libs
- m2w64-gcc-libs-core
@@ -28516,22 +27396,25 @@ packages:
- vc14_runtime >=14.40.33810
license: MIT
license_family: MIT
- size: 2616268
- timestamp: 1718217545401
+ size: 2609725
+ timestamp: 1722479029104
- kind: conda
name: typos
- version: 1.22.7
- build: he9194b0_0
+ version: 1.23.6
+ build: h9678756_0
subdir: linux-64
- url: https://conda.anaconda.org/conda-forge/linux-64/typos-1.22.7-he9194b0_0.conda
- sha256: 0735920140025bd5723c205ca88a00d9fea0c39af90cb1bc027be99c9254634d
- md5: ad4408a67c73689c5030c06c59d329ac
+ url: https://conda.anaconda.org/conda-forge/linux-64/typos-1.23.6-h9678756_0.conda
+ sha256: 7249e99ccae256560da9f0c5ea7b21685fbb54371c250ca5117a97fb1049de4d
+ md5: a1c6a197839b1346506c445692645a21
depends:
+ - __glibc >=2.17,<3.0.a0
- libgcc-ng >=12
+ constrains:
+ - __glibc >=2.17
license: MIT
license_family: MIT
- size: 3660740
- timestamp: 1718216125788
+ size: 3745308
+ timestamp: 1722477889489
- kind: conda
name: tzdata
version: 2024a
@@ -28986,20 +27869,19 @@ packages:
timestamp: 1694681458271
- kind: conda
name: wheel
- version: 0.43.0
- build: pyhd8ed1ab_1
- build_number: 1
+ version: 0.44.0
+ build: pyhd8ed1ab_0
subdir: noarch
noarch: python
- url: https://conda.anaconda.org/conda-forge/noarch/wheel-0.43.0-pyhd8ed1ab_1.conda
- sha256: cb318f066afd6fd64619f14c030569faf3f53e6f50abf743b4c865e7d95b96bc
- md5: 0b5293a157c2b5cd513dd1b03d8d3aae
+ url: https://conda.anaconda.org/conda-forge/noarch/wheel-0.44.0-pyhd8ed1ab_0.conda
+ sha256: d828764736babb4322b8102094de38074dedfc71f5ff405c9dfee89191c14ebc
+ md5: d44e3b085abcaef02983c6305b84b584
depends:
- python >=3.8
license: MIT
license_family: MIT
- size: 57963
- timestamp: 1711546009410
+ size: 58585
+ timestamp: 1722797131787
- kind: conda
name: widgetsnbextension
version: 4.0.11
@@ -29228,21 +28110,21 @@ packages:
timestamp: 1699533495284
- kind: conda
name: xgboost
- version: 2.0.3
- build: cpu_pyhb8f9a19_4
- build_number: 4
+ version: 2.1.1
+ build: cpu_pyhb8f9a19_1
+ build_number: 1
subdir: noarch
noarch: python
- url: https://conda.anaconda.org/conda-forge/noarch/xgboost-2.0.3-cpu_pyhb8f9a19_4.conda
- sha256: 353a299a6758a748e286c7beda4b8d6640bb25062031862f3ae0c5dde590f1cb
- md5: 6d841f6e43095e98843e9ee49bd7c700
+ url: https://conda.anaconda.org/conda-forge/noarch/xgboost-2.1.1-cpu_pyhb8f9a19_1.conda
+ sha256: 636d0edde8e6aa59817c7742a8c8317c11e20e7bcf7d7c5e35d3a9df9ad09f11
+ md5: bc3d2545931539e258c58deeb59043ca
depends:
- - py-xgboost 2.0.3 cpu_pyh995e691_4
- - python
+ - py-xgboost 2.1.1 cpu_pyh995e691_1
+ - python >=3.8
license: Apache-2.0
license_family: APACHE
- size: 16171
- timestamp: 1713400029804
+ size: 14298
+ timestamp: 1722455224921
- kind: conda
name: xorg-kbproto
version: 1.0.7
diff --git a/tests/test_drlearner.py b/tests/test_drlearner.py
index 2bf611a..1e8d3c5 100644
--- a/tests/test_drlearner.py
+++ b/tests/test_drlearner.py
@@ -1,6 +1,7 @@
# Copyright (c) QuantCo 2024-2024
# SPDX-License-Identifier: BSD-3-Clause
+import numpy as np
from sklearn.linear_model import LinearRegression, LogisticRegression
from metalearners.drlearner import DRLearner
@@ -18,3 +19,22 @@ def test_adaptive_clipping_smoke(dummy_dataset):
adaptive_clipping=True,
)
ml.fit(X, y, w)
+
+
+def test_treatment_effect(
+ numerical_experiment_dataset_continuous_outcome_binary_treatment_linear_te,
+):
+ X, _, W, Y, _, tau = (
+ numerical_experiment_dataset_continuous_outcome_binary_treatment_linear_te
+ )
+ ml = DRLearner(
+ False,
+ 2,
+ LinearRegression,
+ LinearRegression,
+ LogisticRegression,
+ n_folds=2,
+ )
+ ml.fit_all_nuisance(X, Y, W)
+ est = ml.treatment_effect(X, Y, W)
+ np.testing.assert_almost_equal(est[:, 0], tau.mean(), decimal=1)