A Deep Learning Approach to Nonparametric Propensity Score Estimation with Optimized Covariate Balance

Abstract: This paper proposes a novel propensity score weighting analysis. We define two sufficient and necessary conditions for a function of the covariates to be the propensity score. The first is "local balance", which ensures the conditional independence of covariates and treatment assignment across a dense grid of propensity score values. The second condition, "local calibration", guarantees that a balancing score is a propensity score. Using three-layer feed-forward neural networks, we develop a nonparametric propensity score model that satisfies these conditions, effectively circumventing the issue of model misspecification and optimizing covariate balance to minimize bias and stabilize the inverse probability weights. Our proposed method performed substantially better than existing methods in extensive numerical studies of both real and simulated benchmark datasets.