Signature Kernel Conditional Independence Tests in Causal Discovery for Stochastic Processes

Inferring the causal structure underlying stochastic dynamical systems from observational data holds great promise in domains ranging from science and health to finance. Such processes can often be accurately modeled via stochastic differential equations (SDEs), which naturally imply causal relationships via "which variables enter the differential of which other variables". In this paper, we develop a kernel-based test of conditional independence (CI) on "path-space" -- solutions to SDEs -- by leveraging recent advances in signature kernels. We demonstrate strictly superior performance of our proposed CI test compared to existing approaches on path-space. Then, we develop constraint-based causal discovery algorithms for acyclic stochastic dynamical systems (allowing for loops) that leverage temporal information to recover the entire directed graph. Assuming faithfulness and a CI oracle, our algorithm is sound and complete. We empirically verify that our developed CI test in conjunction with the causal discovery algorithm reliably outperforms baselines across a range of settings.

Causal discovery in a complex industrial system: A time series benchmark

Causal discovery outputs a causal structure, represented by a graph, from observed data. For time series data, there is a variety of methods, however, it is difficult to evaluate these on real data as realistic use cases very rarely come with a known causal graph to which output can be compared. In this paper, we present a dataset from an industrial subsystem at the European Spallation Source along with its causal graph which has been constructed from expert knowledge. This provides a testbed for causal discovery from time series observations of complex systems, and we believe this can help inform the development of causal discovery methodology.

Analyzing Complex Systems with Cascades Using Continuous-Time Bayesian Networks

Interacting systems of events may exhibit cascading behavior where events tend to be temporally clustered. While the cascades themselves may be obvious from the data, it is important to understand which states of the system trigger them. For this purpose, we propose a modeling framework based on continuous-time Bayesian networks (CTBNs) to analyze cascading behavior in complex systems. This framework allows us to describe how events propagate through the system and to identify likely sentry states, that is, system states that may lead to imminent cascading behavior. Moreover, CTBNs have a simple graphical representation and provide interpretable outputs, both of which are important when communicating with domain experts. We also develop new methods for knowledge extraction from CTBNs and we apply the proposed methodology to a data set of alarms in a large industrial system.

Learning by Doing: Controlling a Dynamical System using Causality, Control, and Reinforcement Learning

Questions in causality, control, and reinforcement learning go beyond the classical machine learning task of prediction under i.i.d. observations. Instead, these fields consider the problem of learning how to actively perturb a system to achieve a certain effect on a response variable. Arguably, they have complementary views on the problem: In control, one usually aims to first identify the system by excitation strategies to then apply model-based design techniques to control the system. In (non-model-based) reinforcement learning, one directly optimizes a reward. In causality, one focus is on identifiability of causal structure. We believe that combining the different views might create synergies and this competition is meant as a first step toward such synergies. The participants had access to observational and (offline) interventional data generated by dynamical systems. Track CHEM considers an open-loop problem in which a single impulse at the beginning of the dynamics can be set, while Track ROBO considers a closed-loop problem in which control variables can be set at each time step. The goal in both tracks is to infer controls that drive the system to a desired state. Code is open-sourced ( https://github.com/LearningByDoingCompetition/learningbydoing-comp ) to reproduce the winning solutions of the competition and to facilitate trying out new methods on the competition tasks.