---
title: "Optimizing Tuning Parameters for Balance"
output: 
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        df_print: kable
        toc: true
vignette: >
  %\VignetteIndexEntry{Optimizing Tuning Parameters for Balance}
  %\VignetteEncoding{UTF-8}
  %\VignetteEngine{knitr::rmarkdown_notangle}
editor_options: 
  chunk_output_type: console
bibliography: references.bib
link-citations: true
---

```{r, include = FALSE}
knitr::opts_chunk$set(
  collapse = TRUE,
  comment = "#>"
)

gbm.ok <- requireNamespace("gbm", quietly = TRUE)
weightit.ok <- requireNamespace("WeightIt", quietly = TRUE)
br.ok <- requireNamespace("brglm2", quietly = TRUE)
```

Part of using balancing methods, including matching, weighting, and subclassification, involves specifying a conditioning method, assessing balance after applying that method, and repeating until satisfactory balance is achieved. For example, in propensity score score subclassification, one needs to decide on the number of subclasses to use, and one way to do so is to try a number of of subclasses, assess balance after subclassification, try another number of subclasses, assess balance, and so on. As another example, in estimating the propensity score model itself, one might decided which covariates to include in the model (after deciding on a fixed set of covariates to balance), which covariates should have squares or interactions, and which link function (e.g., probit, logit) to use. Or choosing the number of matches each unit should receive in k:1 matching, or which value of the propensity score should be used to trim samples, etc.

Essentially, these problems all involve selecting a specification by varying a number of parameters, which are sometimes called "tuning parameters", in order to optimize balance. Many popular methods adjust tuning parameters to optimize balance as inherent parts of the method, like genetic matching [@diamondGeneticMatchingEstimating2013], which tunes variance importance in the distance matrix, or generalized boosted modeling [@mccaffreyPropensityScoreEstimation2004], which tunes the number of trees in the prediction model for propensity scores. This strategy tends to yield methods that perform better than methods that don't tune at all or tune to optimize a criterion other than balance (e.g., prediction accuracy) [@griffinChasingBalanceOther2017, @pirracchioBalanceSuperLearner2018].

As of version 4.5.0, `cobalt` provides the functions `bal.compute()` and `bal.init()` to aid in selecting these tuning parameters in an efficient way without needing to manually program the computation of the balance statistic used as the criterion to optimize. This vignette explains how to use these functions, describes the balance statistics that are available, and provides examples of using these functions to implement new and existing balancing methods yourself. These functions are primarily for use inside other packages but may be useful to users experimenting with new methods. For a complete way to assess balance for a single specification, users should use `bal.tab()` and `bal.plot()` instead.

## `bal.compute()` and `bal.init()`

Broadly, these functions work by taking in the treatment, covariates for which balance is to be computed, and a set of balancing weights and return a scalar balance statistic that summarizes balance for the sample. `bal.compute()` does the work of computing the balance statistic, and `bal.init()` processes the inputs so they don't need to be processed every time `bal.compute()` is called with a new set of weights.

For `bal.init()`, we need to supply the covariates, the treatment, the name of the balance statistic we wish to compute, sampling weights (if any), and any other inputs required, which depend on the specific balance statistic requested. `bal.init()` returns a `bal.init` object, which is then passed to `bal.compute()` along with a set of balancing weights (which may result from weighting, matching, or subclassification).

Below, we provide an example using the `lalonde` dataset. Our balance statistic will be the largest absolute standardized mean difference among the included covariates, which is specified as `"smd.max"`. We will first supply the required inputs to `bal.init()` and pass its output to `bal.compute()` to compute the balance statistic for the sample prior to weighting.

```{r}
library(cobalt)
data("lalonde", package = "cobalt")

covs <- subset(lalonde, select = -c(treat, race, re78))

# Initialize the object with the balance statistic,
# treatment, and covariates
smd.init <- bal.init(covs,
                     treat = lalonde$treat,
                     stat = "smd.max",
                     estimand = "ATT")

# Compute balance with no weights
bal.compute(smd.init)

# Can also compute the statistic directly using bal.compute():
bal.compute(covs,
            treat = lalonde$treat,
            stat = "smd.max",
            estimand = "ATT")
```

The largest absolute standardized mean difference with no weights is `r round(bal.compute(covs, treat = lalonde$treat, stat = "smd.max", estimand = "ATT"), 4)`, which we can verify and investigate further using `bal.tab()`:

```{r}
bal.tab(covs,
        treat = lalonde$treat,
        binary = "std",
        estimand = "ATT",
        thresholds = .05)
```

We can see that the largest value corresponds to the covariate `married`.

Now, lets estimate weights using probit regression propensity scores in `WeightIt` and see whether this balance statistic decreases after applying the weights:

```{r, eval = weightit.ok}
library("WeightIt")
w.out <- weightit(treat ~ age + educ + married + nodegree +
                      re74 + re75, data = lalonde,
                  method = "glm", estimand = "ATT",
                  link = "probit")

# Compute the balance statistic on the estimated weights
bal.compute(smd.init, get.w(w.out))
```

After weighting, our balance statistic is `r round(bal.compute(smd.init, get.w(w.out)), 4)`, indicating a significant improvement. Let's try again with logistic regression:

```{r, eval = weightit.ok}
w.out <- weightit(treat ~ age + educ + married + nodegree +
                      re74 + re75, data = lalonde,
                  method = "glm", estimand = "ATT",
                  link = "logit")

# Compute the balance statistic on the estimated weights
bal.compute(smd.init, get.w(w.out))
```

This is better, but we can do even better with bias-reduced logistic regression [@kosmidis2020]:

```{r, eval = weightit.ok && br.ok}
w.out <- weightit(treat ~ age + educ + married + nodegree +
                      re74 + re75, data = lalonde,
                  method = "glm", estimand = "ATT",
                  link = "br.logit")

# Compute the balance statistic on the estimated weights
bal.compute(smd.init, get.w(w.out))
```

Instead of writing each complete call one at a time, we can do a little programming to make this happen automatically:

```{r, eval = weightit.ok && br.ok}
# Initialize object to compute the largest SMD
smd.init <- bal.init(covs,
                     treat = lalonde$treat,
                     stat = "smd.max",
                     estimand = "ATT")

# Create vector of tuning parameters
links <- c("probit", "logit", "cloglog",
           "br.probit", "br.logit", "br.cloglog")

# Apply each link to estimate weights
# Can replace sapply() with purrr::map()
weights.list <- sapply(links, function(link) {
    w.out <- weightit(treat ~ age + educ + married + nodegree +
                      re74 + re75, data = lalonde,
                  method = "glm", estimand = "ATT",
                  link = link)
    get.w(w.out)
}, simplify = FALSE)

# Use each set of weights to compute balance
# Can replace sapply() with purrr:map_vec()
stats <- sapply(weights.list, bal.compute,
                x = smd.init)

# See which set of weights is the best
stats
stats[which.min(stats)]
```

Interestingly, bias-reduced complimentary log-log regression produced weights with the smallest maximum absolute standardized mean difference. We can use `bal.tab()` to more finely examine balance on the chosen weights:

```{r, eval = weightit.ok && br.ok}
bal.tab(covs,
        treat = lalonde$treat,
        binary = "std",
        weights = weights.list[["br.cloglog"]])
```

If balance is acceptable, you would move forward with these weights in estimating the treatment effect. Otherwise, you might try other values of the tuning parameters, other specifications of the model, or other weighting methods to try to achieve excellent balance.

## Balance statistics

Several balance statistics can be computed by `bal.compute()` and `bal.init()`, and the ones available depend on whether the treatment is binary, multi-category, or continuous. These are explained below and on the help page `?bal.compute`. A complete list for a given treatment type can be requested using `available.stats()`. Some balance statistics are appended with `".mean"`, `".max"`, or `".rms"`, which correspond to the mean (or L1-norm), maximum (or L-infinity norm), and root mean square (or L2-norm) of the absolute univariate balance statistic computed for each covariate.

In addition, balance statistics can be compute between a sample and the same sample but weighted; this is known as "target balance" and is important when assessing the quality of weights for continuous treatments or for selecting a representative subset. To assess target balance, the treatment variable should be omitted from `bal.compute()` and `bal.init()`.

#### `smd.mean`, `smd.max`, `smd.rms`

The mean, maximum, and root mean square of the absolute standardized mean differences computed for the covariates using `col_w_smd()`. The other allowable arguments include `estimand` (ATE, ATC, or ATT) to select the estimand, `focal` to identify the focal treatment group when the ATT is the estimand and the treatment has more than two categories, and `pairwise` to select whether mean differences should be computed between each pair of treatment groups or between each treatment group and the target group identified by `estimand` (default `TRUE`). Can be used with binary and multi-category treatments and for target balance (where the standardization factor is computed using the full original sample).

#### `ks.mean`, `ks.max`, `ks.rms`

The mean, maximum, or root-mean-squared Kolmogorov-Smirnov statistic, computed using `col_w_ks()`. The other allowable arguments include `estimand` (ATE, ATC, or ATT) to select the estimand, `focal` to identify the focal treatment group when the ATT is the estimand and the treatment has more than two categories, and `pairwise` to select whether statistics should be computed between each pair of treatment groups or between each treatment group and the target group identified by `estimand` (default `TRUE`). Can be used with binary and multi-category treatments and for target balance.

#### `ovl.mean`, `ovl.max`, `ovl.rms`

The mean, maximum, or root-mean-squared overlapping coefficient compliment, computed using `col_w_ovl()`. The other allowable arguments include `estimand` (ATE, ATC, or ATT) to select the estimand, `focal` to identify the focal treatment group when the ATT is the estimand and the treatment has more than two categories, and `pairwise` to select whether statistics should be computed between each pair of treatment groups or between each treatment group and the target group identified by `estimand` (default `TRUE`). Can be used with binary and multi-category treatments and for target balance.

#### `mahalanobis`

The Mahalanobis distance between the treatment group means, which is computed as $$
\sqrt{(\mathbf{\bar{x}}_1 - \mathbf{\bar{x}}_0) \Sigma^{-1} (\mathbf{\bar{x}}_1 - \mathbf{\bar{x}}_0)}
$$ where $\mathbf{\bar{x}}_1$ and $\mathbf{\bar{x}}_0$ are the vectors of covariate means in the two treatment groups, $\Sigma^-1$ is the (generalized) inverse of the covariance matrix of the covariates [@franklinMetricsCovariateBalance2014]. This is similar to `"smd.rms"` but the covariates are standardized to remove correlations between and de-emphasize redundant covariates. The other allowable arguments include `estimand` (ATE, ATC, or ATT) to select the estimand, which determines how the covariance matrix is calculated, and `focal` to identify the focal treatment group when the ATT is the estimand. Can only be used with binary treatments and for target balance.

#### `energy.dist`

The total energy distance between each treatment group and the target sample, which is a scalar measure of the similarity between two multivariate distributions. See @hulingEnergyBalancingCovariate2024 for details. The other allowable arguments include `estimand` (ATE, ATC, or ATT) to select the estimand, `focal` to identify the focal treatment group when the ATT is the estimand and the treatment has more than two categories, and `improved` to select whether the "improved" energy distance should be used, which emphasizes difference between treatment groups in addition to difference between each treatment group and the target sample (default `TRUE`). Can be used with binary and multi-category treatments and for target balance.

#### `kernel.dist`

The kernel distance between treatment groups, which is a scalar measure of the similarity between two multivariate distributions. See @zhuKernelBasedMetricBalance2018 for details. Can only be used with binary treatments.

#### `l1.med`

The median L1 statistic computed across a random selection of possible coarsening of the data. See @iacusMultivariateMatchingMethods2011 for details. The other allowable arguments include `l1.min.bin` (default 2) and `l1.max.bin` default (12) to select the minimum and maximum number of bins with which to bin continuous variables and `l1.n` (default 101) to select the number of binnings used to select the binning at the median. `covs` should be supplied without splitting factors into dummies to ensure the binning works correctly. Can be used with binary and multi-category treatments.

#### `r2`, `r2.2`, `r2.3`

The post-weighting $R^2$ of a model for the treatment given the covariates. @franklinMetricsCovariateBalance2014 describe a similar but less generalizable metric, the "post-matching c-statistic". The other allowable arguments include `poly` to add polynomial terms of the supplied order to the model and `int` (default `FALSE`) to add two-way interactions between covariates into the model. Using `"r2.2"` is a shortcut to requesting squares, and using `"r2.3"` is a shortcut to requesting cubes. Can be used with binary and continuous treatments. For binary treatments, the McKelvey and Zavoina $R^2$ from a logistic regression is used; for continuous treatments, the $R^2$ from a linear regression is used.

#### `p.mean`, `p.max`, `p.rms`

The mean, maximum, or root-mean-squared absolute Pearson correlation between the treatment and covariates, computed using `col_w_corr()`. Can only be used with continuous treatments.

#### `s.mean`, `s.max`, `s.rms`

The mean, maximum, or root-mean-squared absolute Spearman correlation between the treatment and covariates, computed using `col_w_corr()`. Can only be used with continuous treatments.

#### `distance.cov`, `distance.cor`

The distance covariance or distance correlation between the scaled covariates and treatment, which is a scalar measure of the independence of two possibly multivariate distributions. See @hulingIndependenceWeightsCausal2023a for details. Can only be used with continuous treatments. The distance correlation is a scaled version of the distance covariance to range from 0 to 1.

### Choosing a balance statistic

Given all these options, how should one choose? There has been some research into which yields the best results [@franklinMetricsCovariateBalance2014; @griffinChasingBalanceOther2017; @stuartPrognosticScorebasedBalance2013; @belitserMeasuringBalanceModel2011; @parastOptimizingVariancebiasTradeoff2017], but the actual performance of each depends on the unique features of the data and system under study. For example, in the unlikely case that the true outcome model is linear in the covariates, using the `"smd"` or `"mahalanobis"` statistics will work well for binary and multi-category treatments. In more realistic cases, though, every measure has its advantages and disadvantages.

For binary and multi-category treatments, only `"energy.dist"`, `"kernel.dist"`, and `"L1.med"` reflect balance on all features of the joint covariate distribution, whereas the others summarize across balance statistics computed for each covariate ignoring the others. Similarly, for continuous treatments, only `"distance.cor"` (or `"distance.cov"`) reflects balance on all features of the joint covariate distribution. Given these advantages, `"energy.dist"` and `"distance.cor"` are my preferences. That said, other measures are better studied, possibly more intuitive, and more familiar to a broad audience.

## Example

In this section, I will provide an example that demonstrates how these functions could be used to replicate the functionality of existing packages or develop new methods for optimizing balance. We will use these functions to replicate the functionality of `WeightIt` and `twang` for estimating propensity score weights for a binary treatment using generalized boosted modeling (GBM). See `help("bal.compute")` for another example that optimizes balance to find the number of subclasses in propensity score subclassification.

### Tuning GBM for balance
GBM has many tuning parameters that can be optimized, but the key parameter is the number of trees to use to calculate the predictions. `WeightIt` and `twang` both implement the methods described in @mccaffreyPropensityScoreEstimation2004 for selecting the number of trees using a balance criterion. Here, we will do so manually both to understand the internals of these functions and illustrate the uses of `bal.compute()` and `bal.init()` to select the ideal number of trees for propensity score weighting with a binary treatment.

```{r, eval = gbm.ok}
data("lalonde")

# Initialize balance
covs <- subset(lalonde, select = -c(treat, re78))
ks.init <- bal.init(covs,
                    treat = lalonde$treat,
                    stat = "ks.max",
                    estimand = "ATT")

# Fit a GBM model using `WeightIt` and `twang` defaults
fit <- gbm::gbm(treat ~ age + educ + married + race +
                    nodegree + re74 + re75,
                data = lalonde,
                distribution = "bernoulli",
                n.trees = 4000, interaction.depth = 3,
                shrinkage = .01, bag.fraction = 1)

trees_to_test <- 1:4000

p.mat <- predict(fit, type = "response",
                 n.trees = trees_to_test)

stats <- apply(p.mat, 2L, function(p) {
    # Compute ATT weights
    w <- ifelse(lalonde$treat == 1, 1, p / (1 - p))
    
    bal.compute(ks.init, weights = w)
})

stats[which.min(stats)]
```

From these results, we see that using `r if (gbm.ok) which.min(stats) else 1408` trees gives us the lowest maximum KS statistic of `r if (gbm.ok) round(stats[which.min(stats)], 4) else .0956`. Out of interest, we can plot the relationship between the number of trees and our balance statistic to see what it looks like:

```{r, fig.width=7, fig.height=3, eval = gbm.ok}
library("ggplot2")
ggplot() +
    geom_line(aes(x = trees_to_test, y = stats)) +
    theme_bw() +
    labs(y = "ks.max", x = "n.trees")
```

Let's compare this to the output of `WeightIt`:

```{r, warning=FALSE, eval = weightit.ok && gbm.ok}
library("WeightIt")
w.out <- weightit(treat ~ age + educ + married + race +
                    nodegree + re74 + re75,
                data = lalonde, estimand = "ATT",
                method = "gbm",
                n.trees = 4000, interaction.depth = 3,
                shrinkage = .01, bag.fraction = 1,
                criterion = "ks.max")

# Display the best tree:
w.out$info$best.tree

# ks.max from weightit()
bal.compute(ks.init, weights = get.w(w.out))
```

We can see that `weightit()` also selects `r if (weightit.ok && gbm.ok) w.out$info$best.tree else 1408` trees as the optimum and the resulting maximum KS statistic computed using the returned weights is equal to the one we computed manually. Using `twang::ps()` also produces the same results.

## References
