Out-of-Sample Tuning for Causal Discovery.

Causal discovery is continually being enriched with new algorithms for learning causal graphical probabilistic models. Each one of them requires a set of hyperparameters, creating a great number of combinations. Given that the true graph is unknown and the learning task is unsupervised, the challenge to a practitioner is how to tune these choices. We propose out-of-sample causal tuning (OCT) that aims to select an optimal combination. The method treats a causal model as a set of predictive models and uses out-of-sample protocols for supervised methods. This approach can handle general settings like latent confounders and nonlinear relationships. The method uses an information-theoretic approach to be able to generalize to mixed data types and a penalty for dense graphs to penalize for complexity. To evaluate OCT, we introduce a causal-based simulation method to create datasets that mimic the properties of real-world problems. We evaluate OCT against two other tuning approaches, based on stability and in-sample fitting. We show that OCT performs well in many experimental settings and it is an effective tuning method for causal discovery.