Wouter Verbeke

Toon Vanderschueren, Alicia Curth, Wouter Verbeke et al.

Machine learning (ML) holds great potential for accurately forecasting treatment outcomes over time, which could ultimately enable the adoption of more individualized treatment strategies in many practical applications. However, a significant challenge that has been largely overlooked by the ML literature on this topic is the presence of informative sampling in observational data. When instances are observed irregularly over time, sampling times are typically not random, but rather informative -- depending on the instance's characteristics, past outcomes, and administered treatments. In this work, we formalize informative sampling as a covariate shift problem and show that it can prohibit accurate estimation of treatment outcomes if not properly accounted for. To overcome this challenge, we present a general framework for learning treatment outcomes in the presence of informative sampling using inverse intensity-weighting, and propose a novel method, TESAR-CDE, that instantiates this framework using Neural CDEs. Using a simulation environment based on a clinical use case, we demonstrate the effectiveness of our approach in learning under informative sampling.

Vincent Scheltjens, Lyse Naomi Wamba Momo, Wouter Verbeke et al.

Machine and deep learning methods for medical and healthcare applications have shown significant progress and performance improvement in recent years. These methods require vast amounts of training data which are available in the medical sector, albeit decentralized. Medical institutions generate vast amounts of data for which sharing and centralizing remains a challenge as the result of data and privacy regulations. The federated learning technique is well-suited to tackle these challenges. However, federated learning comes with a new set of open problems related to communication overhead, efficient parameter aggregation, client selection strategies and more. In this work, we address the step prior to the initiation of a federated network for model training, client recruitment. By intelligently recruiting clients, communication overhead and overall cost of training can be reduced without sacrificing predictive performance. Client recruitment aims at pre-excluding potential clients from partaking in the federation based on a set of criteria indicative of their eventual contributions to the federation. In this work, we propose a client recruitment approach using only the output distribution and sample size at the client site. We show how a subset of clients can be recruited without sacrificing model performance whilst, at the same time, significantly improving computation time. By applying the recruitment approach to the training of federated models for accurate patient Length of Stay prediction using data from 189 Intensive Care Units, we show how the models trained in federations made up from recruited clients significantly outperform federated models trained with the standard procedure in terms of predictive power and training time.

Toon Vanderschueren, Robert Boute, Tim Verdonck et al.

Machine maintenance is a challenging operational problem, where the goal is to plan sufficient preventive maintenance to avoid machine failures and overhauls. Maintenance is often imperfect in reality and does not make the asset as good as new. Although a variety of imperfect maintenance policies have been proposed in the literature, these rely on strong assumptions regarding the effect of maintenance on the machine's condition, assuming the effect is (1) deterministic or governed by a known probability distribution, and (2) machine-independent. This work proposes to relax both assumptions by learning the effect of maintenance conditional on a machine's characteristics from observational data on similar machines using existing methodologies for causal inference. By predicting the maintenance effect, we can estimate the number of overhauls and failures for different levels of maintenance and, consequently, optimize the preventive maintenance frequency to minimize the total estimated cost. We validate our proposed approach using real-life data on more than 4,000 maintenance contracts from an industrial partner. Empirical results show that our novel, causal approach accurately predicts the maintenance effect and results in individualized maintenance schedules that are more accurate and cost-effective than supervised or non-individualized approaches.

Théo Verhelst, Robin Petit, Wouter Verbeke et al.

Despite the growing popularity of machine-learning techniques in decision-making, the added value of causal-oriented strategies with respect to pure machine-learning approaches has rarely been quantified in the literature. These strategies are crucial for practitioners in various domains, such as marketing, telecommunications, health care and finance. This paper presents a comprehensive treatment of the subject, starting from firm theoretical foundations and highlighting the parameters that influence the performance of the uplift and predictive approaches. The focus of the paper is on a binary outcome case and a binary action, and the paper presents a theoretical analysis of uplift modeling, comparing it with the classical predictive approach. The main research contributions of the paper include a new formulation of the measure of profit, a formal proof of the convergence of the uplift curve to the measure of profit ,and an illustration, through simulations, of the conditions under which predictive approaches still outperform uplift modeling. We show that the mutual information between the features and the outcome plays a significant role, along with the variance of the estimators, the distribution of the potential outcomes and the underlying costs and benefits of the treatment and the outcome.

Christopher Bockel-Rickermann, Tim Verdonck, Wouter Verbeke

The literature on fraud analytics and fraud detection has seen a substantial increase in output in the past decade. This has led to a wide range of research topics and overall little organization of the many aspects of fraud analytical research. The focus of academics ranges from identifying fraudulent credit card payments to spotting illegitimate insurance claims. In addition, there is a wide range of methods and research objectives. This paper aims to provide an overview of fraud analytics in research and aims to more narrowly organize the discipline and its many subfields. We analyze a sample of almost 300 records on fraud analytics published between 2011 and 2020. In a systematic way, we identify the most prominent domains of application, challenges faced, performance metrics, and methods used. In addition, we build a framework for fraud analytical methods and propose a keywording strategy for future research. One of the key challenges in fraud analytics is access to public datasets. To further aid the community, we provide eight requirements for suitable data sets in research motivated by our research. We structure our sample of the literature in an online database. The database is available online for fellow researchers to investigate and potentially build upon.

Jente Van Belle, Honglin Wen, Wouter Verbeke et al.

Multi-step-ahead forecasts are often updated as new observations become available, since shorter forecast horizons typically improve forecast quality. However, such improvements come at the cost of forecast instability, i.e., variability in forecasts for the same target period. This instability can trigger costly changes to plans formulated based on the forecasts and may erode trust in the forecasting system. In this work, we integrate forecast stability alongside forecast quality into the training of distribution-free probabilistic time-series forecasting models, allowing us to control this trade-off. We propose a method for generating stabilized forecasted conditional quantile functions using regression splines parameterized by a neural network. This approach enables joint optimization of quality and stability, as it allows us to directly penalize dissimilarities arising from forecast updates. Furthermore, it allows assigning varying importance to stabilizing different parts of the forecast distributions (e.g., central parts vs. tails) to focus on the parts most relevant for the intended downstream use (e.g., the upper tail for inventory management). We empirically evaluate the proposed method on two datasets with different statistical properties and show that it can effectively reduce forecast instability without a substantial loss in forecast quality, and that it can target stabilization effort toward specific parts of the forecast distributions.

Hans Weytjens, Wouter Verbeke, Jochen De Weerdt

The shift from the understanding and prediction of processes to their optimization offers great benefits to businesses and other organizations. Precisely timed process interventions are the cornerstones of effective optimization. Prescriptive process monitoring (PresPM) is the sub-field of process mining that concentrates on process optimization. The emerging PresPM literature identifies state-of-the-art methods, causal inference (CI) and reinforcement learning (RL), without presenting a quantitative comparison. Most experiments are carried out using historical data, causing problems with the accuracy of the methods' evaluations and preempting online RL. Our contribution consists of experiments on timed process interventions with synthetic data that renders genuine online RL and the comparison to CI possible, and allows for an accurate evaluation of the results. Our experiments reveal that RL's policies outperform those from CI and are more robust at the same time. Indeed, the RL policies approach perfect policies. Unlike CI, the unaltered online RL approach can be applied to other, more generic PresPM problems such as next best activity recommendations. Nonetheless, CI has its merits in settings where online learning is not an option.

Christopher Bockel-Rickermann, Toon Vanderschueren, Jeroen Berrevoets et al.

Estimating a unit's responses to interventions with an associated dose, the "conditional average dose response" (CADR), is relevant in a variety of domains, from healthcare to business, economics, and beyond. Such a response typically needs to be estimated from observational data, which introduces several challenges. That is why the machine learning (ML) community has proposed several tailored CADR estimators. Yet, the proposal of most of these methods requires strong assumptions on the distribution of data and the assignment of interventions, which go beyond the standard assumptions in causal inference. Whereas previous works have so far focused on smooth shifts in covariate distributions across doses, in this work, we will study estimating CADR from clustered data and where different doses are assigned to different segments of a population. On a novel benchmarking dataset, we show the impacts of clustered data on model performance and propose an estimator, CBRNet, that learns cluster-agnostic and hence dose-agnostic covariate representations through representation balancing for unbiased CADR inference. We run extensive experiments to illustrate the workings of our method and compare it with the state of the art in ML for CADR estimation.

Bruno Deprez, Wouter Verbeke, Tim Verdonck

Modelling claim frequency and severity for non-life insurance pricing predominantly relies on generalised linear models, with gradient-boosted machines as the leading machine learning alternative. Tabular foundation models (TFMs) offer a fundamentally different paradigm. By pre-training on large collections of synthetic datasets, TFMs enable inference on new data through in-context learning, without any dataset-specific fitting or hyperparameter tuning. This paper presents a first empirical evaluation of TabPFN for motor insurance pricing, benchmarking it against GLM and XGBoost on two publicly available MTPL datasets. Our results show that TabPFN does not consistently outperform established baselines, exhibits substantially longer inference times, and is sensitive to the size of the in-context training set. While tabular foundation models represent a promising direction, particularly in data-scarce settings, their current formulation does not offer a viable replacement for established actuarial methods.

Christopher Bockel-Rickermann, Sam Verboven, Tim Verdonck et al.

In lending, where prices are specific to both customers and products, having a well-functioning personalized pricing policy in place is essential to effective business making. Typically, such a policy must be derived from observational data, which introduces several challenges. While the problem of ``endogeneity'' is prominently studied in the established pricing literature, the problem of selection bias (or, more precisely, bid selection bias) is not. We take a step towards understanding the effects of selection bias by posing pricing as a problem of causal inference. Specifically, we consider the reaction of a customer to price a treatment effect. In our experiments, we simulate varying levels of selection bias on a semi-synthetic dataset on mortgage loan applications in Belgium. We investigate the potential of parametric and nonparametric methods for the identification of individual bid-response functions. Our results illustrate how conventional methods such as logistic regression and neural networks suffer adversely from selection bias. In contrast, we implement state-of-the-art methods from causal machine learning and show their capability to overcome selection bias in pricing data.

Bart Baesens, Andreas Goethals, Stefan Lessmann et al.

Predictive models play a pivotal role in credit risk management, guiding critical decisions through accurate estimation of default probabilities and losses. Extensive research has introduced new modeling techniques, complemented by large-scale benchmarking studies consolidating the state-of-the-art. Today, quasi-standards such as gradient-boosting models paired with SHAP explainers have emerged, yet continuous improvement of risk models remains a top priority. Concurrently, rapid advancements in AI, most notably large language models, have disrupted predictive modeling paradigms. Foundation models, pretrained on extensive datasets from diverse domains, have demonstrated remarkable performance by leveraging prior knowledge. While prevalent in natural language processing and computer vision, foundation models for tabular data have only recently emerged. We conjecture that pretraining on out-of-domain data is particularly beneficial in small-data settings, such as SME lending or specialized corporate portfolios, and may help address longstanding challenges including low default portfolios and class imbalance. This paper benchmarks recently proposed tabular foundation models against a broad set of competitors, including established and advanced machine learning techniques, across two core tasks: PD and LGD modeling. Our evaluation encompasses various datasets, performance indicators, and experimental conditions. We find that tabular foundation models generally perform best across datasets and tasks. Moreover, they offer significant improvement in predictive performance as dataset size shrinks. These results are remarkable given that the models are tested out-of-the-box, without hyperparameter tuning, ensuring ease of use and mitigating computational costs.

Daan Caljon, Jente Van Belle, Jeroen Berrevoets et al.

In Influence Maximization (IM), the objective is to -- given a budget -- select the optimal set of entities in a network to target with a treatment so as to maximize the total effect. For instance, in marketing, the objective is to target the set of customers that maximizes the total response rate, resulting from both direct treatment effects on targeted customers and indirect, spillover, effects that follow from targeting these customers. Recently, new methods to estimate treatment effects in the presence of network interference have been proposed. However, the issue of how to leverage these models to make better treatment allocation decisions has been largely overlooked. Traditionally, in Uplift Modeling (UM), entities are ranked according to estimated treatment effect, and the top entities are allocated treatment. Since, in a network context, entities influence each other, the UM ranking approach will be suboptimal. The problem of finding the optimal treatment allocation in a network setting is \textcolor{red}{NP-hard,} and generally has to be solved heuristically. To fill the gap between IM and UM, we propose OTAPI: Optimizing Treatment Allocation in the Presence of Interference to find solutions to the IM problem using treatment effect estimates. OTAPI consists of two steps. First, a causal estimator is trained to predict treatment effects in a network setting. Second, this estimator is leveraged to identify an optimal treatment allocation by integrating it into classic IM algorithms. We demonstrate that this novel method outperforms classic IM and UM approaches on both synthetic and semi-synthetic datasets.

Simon De Vos, Christopher Bockel-Rickermann, Stefan Lessmann et al.

The goal of uplift modeling is to recommend actions that optimize specific outcomes by determining which entities should receive treatment. One common approach involves two steps: first, an inference step that estimates conditional average treatment effects (CATEs), and second, an optimization step that ranks entities based on their CATE values and assigns treatment to the top k within a given budget. While uplift modeling typically focuses on binary treatments, many real-world applications are characterized by continuous-valued treatments, i.e., a treatment dose. This paper presents a predict-then-optimize framework to allow for continuous treatments in uplift modeling. First, in the inference step, conditional average dose responses (CADRs) are estimated from data using causal machine learning techniques. Second, in the optimization step, we frame the assignment task of continuous treatments as a dose-allocation problem and solve it using integer linear programming (ILP). This approach allows decision-makers to efficiently and effectively allocate treatment doses while balancing resource availability, with the possibility of adding extra constraints like fairness considerations or adapting the objective function to take into account instance-dependent costs and benefits to maximize utility. The experiments compare several CADR estimators and illustrate the trade-offs between policy value and fairness, as well as the impact of an adapted objective function. This showcases the framework's advantages and flexibility across diverse applications in healthcare, lending, and human resource management. All code is available on github.com/SimonDeVos/UMCT.

Daan Caljon, Jeff Vercauteren, Simon De Vos et al.

Rolling origin forecast instability refers to variability in forecasts for a specific period induced by updating the forecast when new data points become available. Recently, an extension to the N-BEATS model for univariate time series point forecasting was proposed to include forecast stability as an additional optimization objective, next to accuracy. It was shown that more stable forecasts can be obtained without harming accuracy by minimizing a composite loss function that contains both a forecast error and a forecast instability component, with a static hyperparameter to control the impact of stability. In this paper, we empirically investigate whether further improvements in stability can be obtained without compromising accuracy by applying dynamic loss weighting algorithms, which change the loss weights during training. We show that existing dynamic loss weighting methods can achieve this objective and provide insights into why this might be the case. Additionally, we propose an extension to the Random Weighting approach -- Task-Aware Random Weighting -- which also achieves this objective.

Félix Vandervorst, Bruno Deprez, Wouter Verbeke et al.

Graph-based methods are becoming increasingly popular in machine learning due to their ability to model complex data and relations. Insurance fraud is a prime use case, since false claims are often the result of organised criminals that stage accidents or the same persons filing erroneous claims on multiple policies. One challenge is that graph-based approaches struggle to find meaningful representations of the data because of the high class imbalance present in fraud data. Another is that insurance networks are heterogeneous and dynamic, given the changing relations among people, companies and policies. That is why gradient boosted tree approaches on tabular data still dominate the field. Therefore, we present a novel inductive graph gradient boosting machine (G-GBM) for supervised learning on heterogeneous and dynamic graphs. We show that our estimator competes with popular graph neural network approaches in an experiment using a variety of simulated random graphs. We demonstrate the power of G-GBM for insurance fraud detection using an open-source and a real-world, proprietary dataset. Given that the backbone model is a gradient boosting forest, we apply established explainability methods to gain better insights into the predictions made by G-GBM.

Bruno Deprez, Bart Baesens, Tim Verdonck et al.

Purpose: This paper introduces a novel graph-based method, GARG-AML, for efficient and effective anti-money laundering (AML). It quantifies smurfing risk, a popular money laundering method, by providing each node in the network with a single interpretable score. The proposed method strikes a balance among computational efficiency, detection power and transparency. Different versions of GARG-AML are introduced for undirected and directed networks. Methodology: GARG-AML constructs the adjacency matrix of a node's second-order neighbourhood in a specific way. This allows us to use the density of different blocks in the adjacency matrix to express the neighbourhood's resemblance to a pure smurfing pattern. GARG-AML is extended using a decision tree and gradient-boosting classifier to increase its performance even more. The methods are tested on synthetic and on open-source data against the current state-of-the-art in AML. Findings: We find that GARG-AML obtains state-of-the-art performance on all datasets. We illustrate that GARG-AML scales well to massive transactions graphs encountered at financial institutions. By leveraging only the adjacency matrix of the second-order neighbourhood and basic network features, this work highlights the potential of fundamental network properties towards advancing fraud detection. Originality: This paper uses only basic network features and expert knowledge on smurfing to construct a performant AML system. The originality lies in the translation of smurfing detection to these features and network representation. Our proposed method is built around the real business needs of scalability and interpretability. It therefore provides a solution that can be easily implemented at financial institutions or incorporated in existing AML solutions.

Jeroen Berrevoets, Sam Verboven, Wouter Verbeke

Applying causal inference models in areas such as economics, healthcare and marketing receives great interest from the machine learning community. In particular, estimating the individual-treatment-effect (ITE) in settings such as precision medicine and targeted advertising has peaked in application. Optimising this ITE under the strong-ignorability-assumption -- meaning all confounders expressing influence on the outcome of a treatment are registered in the data -- is often referred to as uplift modeling (UM). While these techniques have proven useful in many settings, they suffer vividly in a dynamic environment due to concept drift. Take for example the negative influence on a marketing campaign when a competitor product is released. To counter this, we propose the uplifted contextual multi-armed bandit (U-CMAB), a novel approach to optimise the ITE by drawing upon bandit literature. Experiments on real and simulated data indicate that our proposed approach compares favourably against the state-of-the-art. All our code can be found online at https://github.com/vub-dl/u-cmab.

David Martens, Galit Shmueli, Theodoros Evgeniou et al.

Understanding the decisions made and actions taken by increasingly complex AI system remains a key challenge. This has led to an expanding field of research in explainable artificial intelligence (XAI), highlighting the potential of explanations to enhance trust, support adoption, and meet regulatory standards. However, the question of what constitutes a "good" explanation is dependent on the goals, stakeholders, and context. At a high level, psychological insights such as the concept of mental model alignment can offer guidance, but success in practice is challenging due to social and technical factors. As a result of this ill-defined nature of the problem, explanations can be of poor quality (e.g. unfaithful, irrelevant, or incoherent), potentially leading to substantial risks. Instead of fostering trust and safety, poorly designed explanations can actually cause harm, including wrong decisions, privacy violations, manipulation, and even reduced AI adoption. Therefore, we caution stakeholders to beware of explanations of AI: while they can be vital, they are not automatically a remedy for transparency or responsible AI adoption, and their misuse or limitations can exacerbate harm. Attention to these caveats can help guide future research to improve the quality and impact of AI explanations.

Toon Vanderschueren, Wouter Verbeke, Felipe Moraes et al.

Efficiently allocating treatments with a budget constraint constitutes an important challenge across various domains. In marketing, for example, the use of promotions to target potential customers and boost conversions is limited by the available budget. While much research focuses on estimating causal effects, there is relatively limited work on learning to allocate treatments while considering the operational context. Existing methods for uplift modeling or causal inference primarily estimate treatment effects, without considering how this relates to a profit maximizing allocation policy that respects budget constraints. The potential downside of using these methods is that the resulting predictive model is not aligned with the operational context. Therefore, prediction errors are propagated to the optimization of the budget allocation problem, subsequently leading to a suboptimal allocation policy. We propose an alternative approach based on learning to rank. Our proposed methodology directly learns an allocation policy by prioritizing instances in terms of their incremental profit. We propose an efficient sampling procedure for the optimization of the ranking model to scale our methodology to large-scale data sets. Theoretically, we show how learning to rank can maximize the area under a policy's incremental profit curve. Empirically, we validate our methodology and show its effectiveness in practice through a series of experiments on both synthetic and real-world data.

Daan Caljon, Jente Van Belle, Wouter Verbeke

Estimating heterogeneous treatment effects in network settings is complicated by interference, meaning that the outcome of an instance can be influenced by the treatment status of others. Existing causal machine learning approaches usually assume a known exposure mapping that summarizes how the outcome of a given instance is influenced by others' treatment, a simplification that is often unrealistic. Furthermore, the interaction between homophily -- the tendency of similar instances to connect -- and the treatment assignment mechanism can induce a network-level covariate shift that may lead to inaccurate treatment effect estimates, a phenomenon that has not yet been explicitly studied. To address these challenges, we propose HINet, a novel method that integrates graph neural networks with domain adversarial training. This combination allows estimating treatment effects under unknown exposure mappings while mitigating the impact of (network-level) covariate shift. An extensive empirical evaluation on synthetic and semi-synthetic network datasets demonstrates the effectiveness of our approach.

Hans Weytjens, Wouter Verbeke

This book chapter introduces the principles and practical applications of uncertainty quantification in machine learning. It explains how to identify and distinguish between different types of uncertainty and presents methods for quantifying uncertainty in predictive models, including linear regression, random forests, and neural networks. The chapter also covers conformal prediction as a framework for generating predictions with predefined confidence intervals. Finally, it explores how uncertainty estimation can be leveraged to improve business decision-making, enhance model reliability, and support risk-aware strategies.

Simon De Vos, Jente Van Belle, Andres Algaba et al.

Data-driven decision support tools play an increasingly central role in decision-making across various domains. In this work, we focus on binary classification models for predicting positive-outcome scores and deciding on resource allocation, e.g., credit scores for granting loans or churn propensity scores for targeting customers with a retention campaign. Such models may exhibit discriminatory behavior toward specific demographic groups through their predicted scores, potentially leading to unfair resource allocation. We focus on demographic parity as a fairness metric to compare the proportions of instances that are selected based on their positive outcome scores across groups. In this work, we propose a decision-centric fairness methodology that induces fairness only within the decision-making region -- the range of relevant decision thresholds on the score that may be used to decide on resource allocation -- as an alternative to a global fairness approach that seeks to enforce parity across the entire score distribution. By restricting the induction of fairness to the decision-making region, the proposed decision-centric approach avoids imposing overly restrictive constraints on the model, which may unnecessarily degrade the quality of the predicted scores. We empirically compare our approach to a global fairness approach on multiple (semi-synthetic) datasets to identify scenarios in which focusing on fairness where it truly matters, i.e., decision-centric fairness, proves beneficial.

Bruno Deprez, Wei Wei, Wouter Verbeke et al.

Financial institutions are required by regulation to report suspicious financial transactions related to money laundering. Therefore, they need to constantly monitor vast amounts of incoming and outgoing transactions. A particular challenge in detecting money laundering is that money launderers continuously adapt their tactics to evade detection. Hence, detection methods need constant fine-tuning. Traditional machine learning models suffer from catastrophic forgetting when fine-tuning the model on new data, thereby limiting their effectiveness in dynamic environments. Continual learning methods may address this issue and enhance current anti-money laundering (AML) practices, by allowing models to incorporate new information while retaining prior knowledge. Research on continual graph learning for AML, however, is still scarce. In this review, we critically evaluate state-of-the-art continual graph learning approaches for AML applications. We categorise methods into replay-based, regularization-based, and architecture-based strategies within the graph neural network (GNN) framework, and we provide in-depth experimental evaluations on both synthetic and real-world AML data sets that showcase the effect of the different hyperparameters. Our analysis demonstrates that continual learning improves model adaptability and robustness in the face of extreme class imbalances and evolving fraud patterns. Finally, we outline key challenges and propose directions for future research.

Christopher Bockel-Rickermann, Toon Vanderschueren, Tim Verdonck et al.

Estimating conditional average dose responses (CADR) is an important but challenging problem. Estimators must correctly model the potentially complex relationships between covariates, interventions, doses, and outcomes. In recent years, the machine learning community has shown great interest in developing tailored CADR estimators that target specific challenges. Their performance is typically evaluated against other methods on (semi-) synthetic benchmark datasets. Our paper analyses this practice and shows that using popular benchmark datasets without further analysis is insufficient to judge model performance. Established benchmarks entail multiple challenges, whose impacts must be disentangled. Therefore, we propose a novel decomposition scheme that allows the evaluation of the impact of five distinct components contributing to CADR estimator performance. We apply this scheme to eight popular CADR estimators on four widely-used benchmark datasets, running nearly 1,500 individual experiments. Our results reveal that most established benchmarks are challenging for reasons different from their creators' claims. Notably, confounding, the key challenge tackled by most estimators, is not an issue in any of the considered datasets. We discuss the major implications of our findings and present directions for future research.

Toon Vanderschueren, Bart Baesens, Tim Verdonck et al.

A central problem in business concerns the optimal allocation of limited resources to a set of available tasks, where the payoff of these tasks is inherently uncertain. In credit card fraud detection, for instance, a bank can only assign a small subset of transactions to their fraud investigations team. Typically, such problems are solved using a classification framework, where the focus is on predicting task outcomes given a set of characteristics. Resources are then allocated to the tasks that are predicted to be the most likely to succeed. However, we argue that using classification to address task uncertainty is inherently suboptimal as it does not take into account the available capacity. Therefore, we first frame the problem as a type of assignment problem. Then, we present a novel solution using learning to rank by directly optimizing the assignment's expected profit given limited, stochastic capacity. This is achieved by optimizing a specific instance of the net discounted cumulative gain, a commonly used class of metrics in learning to rank. Empirically, we demonstrate that our new method achieves higher expected profit and expected precision compared to a classification approach for a wide variety of application areas and data sets. This illustrates the benefit of an integrated approach and of explicitly considering the available resources when learning a predictive model.

Jakob Raymaekers, Wouter Verbeke, Tim Verdonck

In many practical applications, such as fraud detection, credit risk modeling or medical decision making, classification models for assigning instances to a predefined set of classes are required to be both precise as well as interpretable. Linear modeling methods such as logistic regression are often adopted, since they offer an acceptable balance between precision and interpretability. Linear methods, however, are not well equipped to handle categorical predictors with high-cardinality or to exploit non-linear relations in the data. As a solution, data preprocessing methods such as weight-of-evidence are typically used for transforming the predictors. The binning procedure that underlies the weight-of-evidence approach, however, has been little researched and typically relies on ad-hoc or expert driven procedures. The objective in this paper, therefore, is to propose a formalized, data-driven and powerful method. To this end, we explore the discretization of continuous variables through the binning of spline functions, which allows for capturing non-linear effects in the predictor variables and yields highly interpretable predictors taking only a small number of discrete values. Moreover, we extend upon the weight-of-evidence approach and propose to estimate the proportions using shrinkage estimators. Together, this offers an improved ability to exploit both non-linear and categorical predictors for achieving increased classification precision, while maintaining interpretability of the resulting model and decreasing the risk of overfitting. We present the results of a series of experiments in a fraud detection setting, which illustrate the effectiveness of the presented approach. We facilitate reproduction of the presented results and adoption of the proposed approaches by providing both the dataset and the code for implementing the experiments and the presented approach.

Diego Olaya, Wouter Verbeke, Jente Van Belle et al.

Causal classification models are adopted across a variety of operational business processes to predict the effect of a treatment on a categorical business outcome of interest depending on the process instance characteristics. This allows optimizing operational decision-making and selecting the optimal treatment to apply in each specific instance, with the aim of maximizing the positive outcome rate. While various powerful approaches have been presented in the literature for learning causal classification models, no formal framework has been elaborated for optimal decision-making based on the estimated individual treatment effects, given the cost of the various treatments and the benefit of the potential outcomes. In this article, we therefore extend upon the expected value framework and formally introduce a cost-sensitive decision boundary for double binary causal classification, which is a linear function of the estimated individual treatment effect, the positive outcome probability and the cost and benefit parameters of the problem setting. The boundary allows causally classifying instances in the positive and negative treatment class to maximize the expected causal profit, which is introduced as the objective at hand in cost-sensitive causal classification. We introduce the expected causal profit ranker which ranks instances for maximizing the expected causal profit at each possible threshold for causally classifying instances and differs from the conventional ranking approach based on the individual treatment effect. The proposed ranking approach is experimentally evaluated on synthetic and marketing campaign data sets. The results indicate that the presented ranking method effectively outperforms the cost-insensitive ranking approach and allows boosting profitability.

Sam Verboven, Muhammad Hafeez Chaudhary, Jeroen Berrevoets et al.

Multi-task learning (MTL) can improve performance on a task by sharing representations with one or more related auxiliary-tasks. Usually, MTL-networks are trained on a composite loss function formed by a constant weighted combination of the separate task losses. In practice, constant loss weights lead to poor results for two reasons: (i) the relevance of the auxiliary tasks can gradually drift throughout the learning process; (ii) for mini-batch based optimisation, the optimal task weights vary significantly from one update to the next depending on mini-batch sample composition. We introduce HydaLearn, an intelligent weighting algorithm that connects main-task gain to the individual task gradients, in order to inform dynamic loss weighting at the mini-batch level, addressing i and ii. Using HydaLearn, we report performance increases on synthetic data, as well as on two supervised learning domains.

Wouter Verbeke, Diego Olaya, Jeroen Berrevoets et al.

Classification is a well-studied machine learning task which concerns the assignment of instances to a set of outcomes. Classification models support the optimization of managerial decision-making across a variety of operational business processes. For instance, customer churn prediction models are adopted to increase the efficiency of retention campaigns by optimizing the selection of customers that are to be targeted. Cost-sensitive and causal classification methods have independently been proposed to improve the performance of classification models. The former considers the benefits and costs of correct and incorrect classifications, such as the benefit of a retained customer, whereas the latter estimates the causal effect of an action, such as a retention campaign, on the outcome of interest. This study integrates cost-sensitive and causal classification by elaborating a unifying evaluation framework. The framework encompasses a range of existing and novel performance measures for evaluating both causal and conventional classification models in a cost-sensitive as well as a cost-insensitive manner. We proof that conventional classification is a specific case of causal classification in terms of a range of performance measures when the number of actions is equal to one. The framework is shown to instantiate to application-specific cost-sensitive performance measures that have been recently proposed for evaluating customer retention and response uplift models, and allows to maximize profitability when adopting a causal classification model for optimizing decision-making. The proposed framework paves the way toward the development of cost-sensitive causal learning methods and opens a range of opportunities for improving data-driven business decision-making.

George Petrides, Wouter Verbeke

Over the years, a plethora of cost-sensitive methods have been proposed for learning on data when different types of misclassification errors incur different costs. Our contribution is a unifying framework that provides a comprehensive and insightful overview on cost-sensitive ensemble methods, pinpointing their differences and similarities via a fine-grained categorization. Our framework contains natural extensions and generalisations of ideas across methods, be it AdaBoost, Bagging or Random Forest, and as a result not only yields all methods known to date but also some not previously considered.

Sam Verboven, Jeroen Berrevoets, Chris Wuytens et al.

In the majority of executive domains, a notion of normality is involved in most strategic decisions. However, few data-driven tools that support strategic decision-making are available. We introduce and extend the use of autoencoders to provide strategically relevant granular feedback. A first experiment indicates that experts are inconsistent in their decision making, highlighting the need for strategic decision support. Furthermore, using two large industry-provided human resources datasets, the proposed solution is evaluated in terms of ranking accuracy, synergy with human experts, and dimension-level feedback. This three-point scheme is validated using (a) synthetic data, (b) the perspective of data quality, (c) blind expert validation, and (d) transparent expert evaluation. Our study confirms several principal weaknesses of human decision-making and stresses the importance of synergy between a model and humans. Moreover, unsupervised learning and in particular the autoencoder are shown to be valuable tools for strategic decision-making.

Floris Devriendt, Tias Guns, Wouter Verbeke

Uplift modeling has effectively been used in fields such as marketing and customer retention, to target those customers that are most likely to respond due to the campaign or treatment. Uplift models produce uplift scores which are then used to essentially create a ranking. We instead investigate to learn to rank directly by looking into the potential of learning-to-rank techniques in the context of uplift modeling. We propose a unified formalisation of different global uplift modeling measures in use today and explore how these can be integrated into the learning-to-rank framework. Additionally, we introduce a new metric for learning-to-rank that focusses on optimizing the area under the uplift curve called the promoted cumulative gain (PCG). We employ the learning-to-rank technique LambdaMART to optimize the ranking according to PCG and show improved results over standard learning-to-rank metrics and equal to improved results when compared with state-of-the-art uplift modeling. Finally, we show how learning-to-rank models can learn to optimize a certain targeting depth, however, these results do not generalize on the test set.

Jeroen Berrevoets, Wouter Verbeke

Uplift modeling requires experimental data, preferably collected in random fashion. This places a logistical and financial burden upon any organisation aspiring such models. Once deployed, uplift models are subject to effects from concept drift. Hence, methods are being developed that are able to learn from newly gained experience, as well as handle drifting environments. As these new methods attempt to eliminate the need for experimental data, another approach to test such methods must be formulated. Therefore, we propose a method to simulate environments that offer causal relationships in their parameters.