CausalPy
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SC: check robustness of results (frequentist)
I've experienced clearly sub-optimal weightings when running the the WeightedProportion
custom scikit-learn model. It is likely due to bad optimisation, perhaps getting stuck by local optima. So we need to explore the dependence of the results upon w_start
.
https://github.com/pymc-labs/CausalPy/blob/815c14c80fa78e1020dd373b07dee93afe100edb/causalpy/skl_models.py#L22-L33
One way to approach making the results more reliable (more likely to represent the global minimum) is to use a particle swarm type approach where we run the optimisation multiple times, each with different w_start
.
- [ ] Look into the relevant fitting procedures in scikit-learn.