# Constructing a User-Provided Base Learner

Source:`vignettes/articles/new_ml_wrapper.Rmd`

`new_ml_wrapper.Rmd`

## Introduction

This article illustrates how users can write their own base learners.
The necessary requirements for a base learner to be compatible with
`ddml`

are minimal:

- An estimation function that takes an outcome vector
`y`

and a feature matrix`X`

and returns a fitted model object as an S3 class - A
`predict`

method for the above S3 class that takes a feature matrix`newdata`

and returns a numerical vector of predictions

We outline the requirements on two concrete examples:

- A simple wrapper for
`gbm::gbm.fit()`

for generalized boosted regression - A more extensive wrapper for neural networks based on
`keras`

To test our wrappers, we apply them to the included random subsample
of 5,000 observations from the data of Angrist & Evans (1998). See
`?AE98`

for details.

## A Wrapper for `gbm::gbm.fit()`

We begin with writing an estimation function that takes named
arguments `y`

and `X`

and returns a fitted model
object. To allow for arguments to be passed from the wrapper to
`gbm::gbm.fit()`

, we also make use of the `...`

argument.

```
# Load gbm
library(gbm)
#> Loaded gbm 2.1.8.1
# Write gbm wrapper
mdl_gbm <- function(y, X, ...) {
gbm_fit <- gbm.fit(x = X, y = y, ...) # fit gbm
class(gbm_fit) <- c("mdl_gbm", class(gbm_fit)) # append class
return(gbm_fit) # return fitted gbm object
}#MDL_GBM
```

Note that by default, predicted values from
`gbm::predict.gbm()`

do not return values on the scale of the
outcome variable (see `?gbm::predict.gbm()`

). It is therefore
important to also construct a simple prediction method for the
`mdl_gbm`

object:

```
# Write prediction method for gbm.wrapper
predict.mdl_gbm <- function(object, newdata, ...) {
class(object) <- class(object)[-1] # remove mdl_gbm from the class list
predict(object, newdata, type = "response", n.trees = object$n.trees)
}#MDL_GBM
```

As a simple test, we check the class of the object returned by the wrapper and the prediction method we constructed:

```
# Estimate gbm
gbm_fit <- mdl_gbm(y, X,
distribution = "bernoulli",
n.trees = 1000,
interaction.depth = 6,
verbose = FALSE)
# Compute predictions
fitted_values <- predict(gbm_fit, X)
# Check class
class(gbm_fit)
#> [1] "mdl_gbm" "gbm"
class(fitted_values)
#> [1] "numeric"
```

The classes are what we expected. The wrapper should now be
compatible with the `ddml`

machinery. As a final test, we
estimate the local average treatment effect. (Computation can take a
while, feel free to set `n.trees`

or
`interaction.depth`

to a smaller value for this test.)

```
# Use the new gbm base learner
learner_gbm <- list(what = mdl_gbm,
args = list(distribution = "bernoulli",
n.trees = 1000,
interaction.depth = 6,
verbose = FALSE))
# Estimate ddml_late
late_fit <- ddml_late(y, D, Z, X,
learners = learner_gbm,
sample_folds = 10,
silent = TRUE)
summary(late_fit)
#> LATE estimation results:
#>
#> Estimate Std. Error t value Pr(>|t|)
#> -0.2330304 0.204703 -1.138383 0.2549607
```

All works well!

## A Wrapper for Neural Networks based on `keras`

We now consider an example using the neural network implementation of
the `keras`

package. See this guide to keras
basics for an excellent introduction to neural networks in R.

The requirements for the wrapper to be compatible with
`ddml`

are the same as before, however, because estimating a
neural network is more involved, we need to write a more extensive
wrapper. In particular, our wrapper for the `keras`

package
has four components:

- Building the neural network architecture
- Compiling the neural network object
- Estimating the neural network
- Appending the class of the returned object (to write a custom
`predict`

method)

The wrapper below allows for custom specification of a feed-forward neural network architecture using the relu activation function. Of course, much more involved architectures are also supported (feel free to experiment!).

```
mdl_keras <- function(y, X,
units = 10, nhidden = 1,
optimizer_fun = "rmsprop",
loss = "mse",
epochs = 10,
batch_size = min(1000, length(y)),
validation_split = 0,
callbacks = NULL,
steps_per_epoch = NULL,
metrics = c("mae"),
verbose = 0) {
# ===============================================
# ADJUST THIS PART FOR DIFFERENT ARCHITECTURES ==
# Construct neural network architecture
nnet <- keras_model_sequential()
for (k in 1:nhidden) {
nnet <- nnet %>%
layer_dense(units = units, use_bias = T,
activation = "relu")
}#FOR
nnet <- nnet %>%
layer_dense(units = 1, use_bias = T)
# ===============================================
# ===============================================
# Compile neural net
nnet %>% keras::compile(optimizer = optimizer_fun,
loss = loss,
metrics = metrics)
# Fit neural net
nnet %>% keras::fit(X, y,
epochs = epochs,
batch_size = batch_size,
validation_split = validation_split,
callbacks = callbacks,
steps_per_epoch = steps_per_epoch,
verbose = verbose)
# Append class
class(nnet) <- c("mdl_keras", class(nnet))
# Return fitted object
return(nnet)
}#MDL_KERAS
```

The prediction method for our fitted object ensures the predictions are returned as a numerical vector:

```
predict.mdl_keras <- function(object, newdata){
class(object) <- class(object)[-1] # Remove custom class from object
as.numeric(predict(object, newdata))
}#PREDICT.MDL_KERAS
```

To test the wrapper, we again estimate the local average treatment
effect. In addition to the architecture, it is important to properly
tune the optimization algorithm. `callback_list`

helps with
specifying learning rate adjustments and defines the early stopping
rule.

```
# Specify callbacks
callbacks_list <- list(callback_early_stopping(monitor = "val_loss",
patience = 15,
restore_best_weights = T),
callback_reduce_lr_on_plateau(monitor = "val_loss",
factor = 1/10,
patience = 10,
verbose = F))
# Use the neural network base learner
learner_keras = list(what = mdl_keras,
args = list(units = 10, nhidden = 1,
epochs = 100,
verbose = F,
validation_split = 0.1,
callbacks = callbacks_list))
# Estimate ddml_late
late_fit <- ddml_late(y, D, Z, X,
learners = learner_keras,
sample_folds = 10,
silent = T)
summary(late_fit)
#> LATE estimation results:
#>
#> Estimate Std. Error t value Pr(>|t|)
#> -0.6972909 0.2566123 -2.717293 0.006581826
```

All works well!