A Scale-Invariant Sorting Criterion to Find a Causal Order in Additive Noise Models

Additive Noise Models (ANMs) are a common model class for causal discovery from observational data and are often used to generate synthetic data for causal discovery benchmarking. Specifying an ANM requires choosing all parameters, including those not fixed by explicit assumptions. Reisach et al. (2021) show that sorting variables by increasing variance often yields an ordering close to a causal order and introduce var-sortability to quantify this alignment. Since increasing variances may be unrealistic and are scale-dependent, ANM data are often standardized in benchmarks. We show that synthetic ANM data are characterized by another pattern that is scale-invariant: the explainable fraction of a variable's variance, as captured by the coefficient of determination $R^2$, tends to increase along the causal order. The result is high $R^2$-sortability, meaning that sorting the variables by increasing $R^2$ yields an ordering close to a causal order. We propose an efficient baseline algorithm termed $R^2$-SortnRegress that exploits high $R^2$-sortability and that can match and exceed the performance of established causal discovery algorithms. We show analytically that sufficiently high edge weights lead to a relative decrease of the noise contributions along causal chains, resulting in increasingly deterministic relationships and high $R^2$. We characterize $R^2$-sortability for different simulation parameters and find high values in common settings. Our findings reveal high $R^2$-sortability as an assumption about the data generating process relevant to causal discovery and implicit in many ANM sampling schemes. It should be made explicit, as its prevalence in real-world data is unknown. For causal discovery benchmarking, we implement $R^2$-sortability, the $R^2$-SortnRegress algorithm, and ANM simulation procedures in our library CausalDisco at https://causaldisco.github.io/CausalDisco/.

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Peer review

Reviewer UFwV6/10 · confidence 4/52023-06-22

Summary

The paper considers causal inference in the context of additive noise models (ANMs). In particular the paper points out a possible problem in simulation benchmarks for this setup: if the weights of the causal network are not chosen appropriately, the simulation may result in datasets in which identifying the causal ordering can be done with a trivial method which simply sorts the variables by the R^2 when the variable is predicted with other variables. Previously, a similar result has been published by ordering the variables by their variance, but this paper shows that the same outcome can be achieved by sorting the variables by the amount of variance explained, R^2, which is scale-invariant, and hence the problem can't be resolved by simple rescaling.

Strengths

The clarity of the paper is good. The paper demonstrates possible deficiencies in existing benchmarks, which is important. Overall, I found this paper useful, but I also think the significance could be strengthened (see below).

Weaknesses

The paper demonstrates that simulated datasets may have a large R^2 sortability. However, it does not go very far in clarifying how big a problem this is in practice, i.e., it is not really clear how R^2 sortable real-world datasets actually are (there's one example but that's still quite limited). If the real-world datasets actually often are R^2 sortable, then there is no problem. If, on the other hand, they are not R^2 sortable, it would have increased the significance of the paper to provide more concrete suggestions about how simulations should be conducted to in order for them to better correspond to real-world datasets. In real-world datasets the ground-truth may not be easily available, but at least it is easy to calculate the distribution of R^2 values for all variables in a dataset, for multiple datasets, and investigate how the weights in the causal graph simulator should be chosen for the R^2 distribution to be similar to real-world datasets. The take-home message from the experiments is not always clear. In Fig. 1 the presented method R^2-SortnRegress seems always worse than the previously published Var-Sortnregress. Also, the conclusion in the caption: "R^2Sortnregress performs well it R^2 sortability is high" seems a bit tautological. It is clear that R^2 is scale-invariant unlike the variance based criterion, so why not simulate datasets that accordingly demonstrate its strength? Also, in the real-world data the results don't seem impressive, as the novel R^2 SortnRegress has the worst SID value. (What is the othe value SHD? I didn't find it defined.) The theory considers a causal chain, where E(log|V|)>0, where V is simulated from the weight distribution, and shows that in this case the variance of the last node in the chain goes to infinity and the amount of variance explained converges to one when the length of the chain increases. It seems that if the expected value of |V| is smaller than 1, then the condition is not satisfied? Indeed, it is easy to imagine that the chain will diverge if we have coefficients that in general are larger than one, but this does not sound very realistic assumption in real-world data sets. It would have been interesting to investigate the distribution of estimated weights in some real-world datasets, to see how commonly this condition holds true in those. The paper says that if the condition did not hold, "detecting statistical dependencies between variables connected by long paths" would be difficult, but I would imagine this to be case with many real-world datasets, so this does not seem a proper reason for not considering such cases.

Questions

Could you show a histogram of R^2 sortability values among simulated datasets on which Fig. 1 was based? Now the R^2 sortability is shown on the x-axis but it is not clear what are the relative amounts of different R^2 values in the simulations.

Rating

6: Weak Accept: Technically solid, moderate-to-high impact paper, with no major concerns with respect to evaluation, resources, reproducibility, ethical considerations.

Confidence

4: You are confident in your assessment, but not absolutely certain. It is unlikely, but not impossible, that you did not understand some parts of the submission or that you are unfamiliar with some pieces of related work.

Soundness

3 good

Presentation

3 good

Contribution

3 good

Limitations

Yes.

Reviewer zF5c7/10 · confidence 4/52023-07-03

Summary

The paper introduces the issue of "$R^2$-sortability" for synthetically generated data used in the evaluation of causal structure learning methods. $R^2$-sortability is a generalization of varsortability, which is invariant to re-scaling (e.g., standardizing) the simulated variables. They show that, using typical simulation parameters, sorting variables based on $R^2$-sortability can give good performance on causal discovery. Finally, they investigate how $R^2$-sortability is influenced by the data generation parameters.

Strengths

**Clarity:** The paper clearly describes the motivation for introducing the concept of $R^2$-sortability, and the experimental results section clearly describes their experimental setup. **Significance:** There is significant value in papers which describe problems with current methods of evaluation. In particular, since evaluating causal structure learning methods relies heavily on synthetic data, it is important to characterize "artifacts" of synthetic data generation procedures, and make efforts to remove these artifacts. It is also helpful that the authors do some investigation into how $R^2$-sortability is influenced by the synthetic data generation parameters.

Weaknesses

### Experimental Results It is surprising that, in Section 4.1, the authors do not standardize the data so that *Var-SortnRegress* would perform poorly. It is not clear what message the authors are trying to convey by their experimental setup. I would expect that they would want to show that $R^2$-sortability is still an issue in simulated data, even when varsortability is not an issue. ### Minor issues *Clarity*: Clarity could be improved in some places. 1. Equation (3) seems to involve the number of paths between pairs of nodes $s$ and $t$, I think it would be more intuitive to write it this way and to also describe why we care about the number of paths rather than just the existence of a path. 2. Equation (3) never decreases when adding an edge. It seems undesirable that the score would always (weakly) favor denser graphs. I see that there is a sparsity penalty in Algorithm 1 - why is it introduced there, instead of earlier? 3. In Section 5, why do you switch from the product of squared edge weights to sum of the logs? It seems motivated by the appeal to the strong law of large numbers, but since you already lower bound the product of squared edge weights by the sum of the logs, then almost sure convergence also holds for the product. Right now, the logs seem ad hoc / unmotivated. 4. When introducing the condition on $\mathbb{E}(\log |V|)$ in Equation (5), you should make it more clear what the conditions means for $P_W$. For example, $P_W = Unif([0.5, 1])$ would not satisfy the condition, would $P_W = Unif([0.5, 2])$ satisfy it? 5. Please use $\mathbb{E}$ for expectations, e.g. in Equation (5). This is typically preferred, but especially important when dealing with graphs where $E$ often denotes edges.

Questions

Please address the issues on clarity raised in the **Weaknesses** section. ### Other suggestions The authors may find it interesting that previous papers have designed a data generation process to control cause-explained variance, see eg. [1], Section 5 and [2], Section 5. Readers would likely find it helpful if the authors described such a data generation process to ameliorate the issue of $R^2$-sortability. [1] Agrawal, R., Squires, C., Prasad, N., & Uhler, C. (2021). The DeCAMFounder: Non-linear causal discovery in the presence of hidden variables. [2] Squires, C., Yun, A., Nichani, E., Agrawal, R., & Uhler, C. (2022). Causal structure discovery between clusters of nodes induced by latent factors.

Rating

7: Accept: Technically solid paper, with high impact on at least one sub-area, or moderate-to-high impact on more than one areas, with good-to-excellent evaluation, resources, reproducibility, and no unaddressed ethical considerations.

Confidence

4: You are confident in your assessment, but not absolutely certain. It is unlikely, but not impossible, that you did not understand some parts of the submission or that you are unfamiliar with some pieces of related work.

Soundness

3 good

Presentation

3 good

Contribution

3 good

Limitations

The authors have adequately addressed the limitations of their work.

Reviewer iqwe6/10 · confidence 4/52023-07-05

Summary

This paper is concerned with synthetic data generation for causal discovery. The paper explores the scale invariant pattern given by the coefficient of determination $R^2$ that potentially exists in synthetic data benchmarks. The authors present analysis in the case of linear ANMs. They also find out that prior over linear parameters might have significant influence on the $R^2$ sortability.

Strengths

(++) There are many new algorithms being developed for causal discovery, and all of them evaluate on synthetic data as evaluation on real world data is very hard. Hence, any new insights which helps bridge the gap between synthetic data and real data is very timely and welcome. (++) This work generalises the results of Reisach et al (2021) in giving a general `sortability` criterion. Further, the $R^2$ sortability is more subtle than varsortability as it cannot be just adjusted by renormalisation. (+) I like the overall presentation and motivation of the problem. The presented analysis for linear ANM and trees is insightful.

Weaknesses

(--) It is not clear how big of an issue is $R^2$ sortability in real world settings. Section 4.2 illustrates it on Sachs dataset. But Sachs dataset is not a linear ANM, and hence has significant model misspecification. So I am unsure how concrete are the conclusions from 4.2. Having said that, I still find the overall contribution useful. For example, if it is the case that there is a $R^2$ sortability issue in a more relevant dataset, one could at least find out to what extent it exists based on the insights of this paper. (--) A theoretical analysis would have been more helpful. Right now, it is not clear if this is just a problem in linear ANM or can be generalised to nonlinear/nonparametric cases. More so, it might have made more clear whether it is actually the linear parameters which affect it the most in non tree situations (which would be the case in most practical settings). (--) Unlike the varsortability, which is clear shown that almost all the new causal discovery algorithms being developed exploit it, it is not necessarily the case here. For example, it is not clear whether new optimisation based/ neural network based methods exploit this to perform better. I also don['t think it is necessarily a bad thing to exploit it if it is the case that $R^2$ sortability exists in real world settings (it is yet unclear from this paper, see above point).

Questions

1. Is it possible to generate the synthetic data by first fixing the desired $R^2$, and generate the synthetic data which exactly matches this value? 2. Could you comment on whether this is a potential issue beyond ANMs and linear models?

Rating

6: Weak Accept: Technically solid, moderate-to-high impact paper, with no major concerns with respect to evaluation, resources, reproducibility, ethical considerations.

Confidence

4: You are confident in your assessment, but not absolutely certain. It is unlikely, but not impossible, that you did not understand some parts of the submission or that you are unfamiliar with some pieces of related work.

Soundness

3 good

Presentation

4 excellent

Contribution

3 good

Limitations

The authors have done a clear job of stating the assumptions under which their conclusions are valid.

Reviewer j7gp7/10 · confidence 3/52023-07-06

Summary

This paper proposes an interesting extension of the var-sortability approach proposed by Reisach et al. (2021), denoted R2-sortability. While var-sortability measures the agreement between the causal order and the order of increasing marginal variance, R2-sortability measures the agreement between causal ordering and the order of the explainable fraction of a variable’s variance (as captured by the coefficient of determination R2). Contrary to var-sortability, the R2-sortability approach is a scale-invariant approach which can be applied even when the data scale is arbitrary. The paper proposes a baseline algorithm, “R2-SortnRegress” which can match, and even exceed, the performance of established causal discovery methods such as the PC and FGES algorithms. Comparisons against these baselines (and the Var-SortnRegress and RandomRegress baselines) were performed using synthetic data generated from random and scale-free graphs using Gaussian noise data (with noise standard deviations and edge weights i.i.d. sampled from uniform distributions). The paper also presents a brief real data comparison using a single dataset. The paper provides a mathematical analysis of the influence of the weight distribution on R2 in the simple setting of causal chains, as well as, an empirical evaluation on more complex random graphs, underscoring the role of the weight distribution as a driver of R2. The analyses presented in the paper illustrate the need to make decisions on all ANM parameters in simulations.

Strengths

This is a well written and interesting paper. The approach is novel and its need is well motivated. The proposed approach is sound and well described in the text.

Weaknesses

I only have a few very minor comments. The notation is sometimes a little inconsistent. For instance, $\sigma$ and $\phi$ are used interchangeably to represent the standard deviation. Also, in Algorithm 1, $\sigma$ is also used to represent the permutation that sorts $\pi$ in ascending order.

Questions

Why did the paper only select the PC and FGES as traditional causal discovery algorithms in their comparisons? (The Reisach et al. (2021) paper includes other popular methods.) Also, why the synthetic data experiments only report SID, while the real data illustration reports SID and SHD?

Rating

7: Accept: Technically solid paper, with high impact on at least one sub-area, or moderate-to-high impact on more than one areas, with good-to-excellent evaluation, resources, reproducibility, and no unaddressed ethical considerations.

Confidence

3: You are fairly confident in your assessment. It is possible that you did not understand some parts of the submission or that you are unfamiliar with some pieces of related work. Math/other details were not carefully checked.

Soundness

3 good

Presentation

3 good

Contribution

3 good

Limitations

Yes.

Authorsrebuttal2023-08-11

Thank you for taking the time to read our rebuttal and for your openness to reconsidering your score. We appreciate your constructive feedback, which has improved the quality of our work. Please do not hesitate to reach out if any further clarifications are needed.

Reviewer zF5c2023-08-13

### Score update I appreciate the author's detailed and well-written response to my review. I was impressed with their quick ability to incorporate feedback, and I believe that their updates to the experiments and their clarifications will further improve the quality of the paper. Taking this into account, I have raised my initial score by one point, from 6 to 7. --- ### Remaining questions **Minor issue 2**: Thank you for clarifying, I somehow missed the change in the denominator. However, the example did not get after my exact concern, which is for a *fixed* data generating process, the score favors denser graphs. In your example, let $G3 = D \to E \to F$, then what is $\mathbf{v}_{\textrm{Var}}((D,E,F), G3)$, i.e. how does the score change when adding $E \to F$? What about when also adding $D \to F$?

Authorsrebuttal2023-08-14

Thank you for acknowledging our rebuttal and how our proposed edits improve the article. We are grateful for your constructive comments which have helped us refine our submission. *Re: sortability and graph density* We are not sure if we understand your question on sortabilities when keeping the data-generating process fixed while adding edges. Below we summarize the relationship between a given DAG and the corresponding sortability, and give a more extensive example. We hope this answers your question; Please let us know if anything remains unclear and we will be happy to answer. --- --- We define sortability for variables $X$ in a graph $G$ (lines 164ff) of an ANM (lines 101ff). Adding an edge to $G$ to obtain $G'$ necessarily changes the definition of the corresponding variables $X'$, meaning the data-generating process is not fixed across different ground-truth graphs. \ For G' denser than G it may be that $\\; \mathbf{v}\_\tau(X',G') < \mathbf{v}\_\tau(X,G)$, $\\; \mathbf{v}\_\tau(X',G') > \mathbf{v}\_\tau(X,G)$, or $\\; \mathbf{v}\_\tau(X',G') = \mathbf{v}\_\tau(X,G). \\;$ Adding edges can thus increase or decrease sortability, or leave it unchanged. To illustrate this point, we give a comprehensive example (using var-sortability for its simpler calculation) below that highlights the relationship between a given DAG and the corresponding variables. Let $N_1,N_2,N_3$ be independent random variables with $\\; \text{Var}(N_1)=2$, $\\; \text{Var}(N_2)=2$, $\\; \text{Var}(N_3)=1$. __Setting 1__ For the graph $\\;G : X_1 \to X_2 \quad X_3\\;$ and data-generating process $\\;X_1:=N_1$, $\\; X_2:=10 X_1 + N_2$, $\\; X_3:=N_3,\\;$, we have that $\\;\mathbf{v}\_\text{Var}((X_1,X_2,X_3), G) = 1/1 = 1$. __Setting 2__ We now consider the graph $G'$ resulting from adding an edge to $G$ such that $\\;G' : X'_1 \to X'_2 \to X'_3.\\;$ Adding the edge requires a change in the definition of $X_3$, which changes the data generating process: $\\;X'_1 = X_1 := N_1$, $\\; X'_2 = X_2 := 10 X_1 + N_2$, $\\; X'_3 := 0.1 X_2 + N_3, \\;$ which yields $\\;\mathbf{v}\_\text{Var}((X'_1,X'_2,X'_3), G') = 2/3$. __Setting 3__ Adding another edge such that $\\;G'' : X''_1 \to X''_2 \to X''_3, X''_1 \to X''_3\\;$ requires another change of the data generating process. We show how different edge weights can result in different sortabilities: 1. $X''_1 = X_1 := N_1$, $\\; X''_2 = X_2 := 10 X_1 + N_2$, $\\; X''_3 := 0.1 X_2 - 1.1 X_1 + N_3 \\;$ yields $\\;\mathbf{v}\_\text{Var}((X''_1,X''_2,X''_3), G') = 1/4$. 2. $X''_1 = X_1 := N_1$, $\\; X''_2 = X_2 := 10 X_1 + N_2$, $\\; X''_3 := 0.1 X_2 + 20 X_1 + N_3 \\;$ yields $\\;\mathbf{v}\_\text{Var}((X''_1,X''_2,X''_3), G') = 4/4 = 1$.

Reviewer zF5c2023-08-15

Thanks for clarifying! I see my confusion. My conception of sortability was closer to scoring functions (such as BIC) used in score-based structure learning algorithms. In that context, for a dataset $\mathcal{D}$, one defines a score $S(\mathcal{D}, G)$ for every graph $G$ and picks the best-scoring graph(s). I was under the impression that the sortability was being used like a scoring function, but I realize that **Algorithm 1** defines a different procedure for finding the graph other than maximizing the $\mathbf{v}_{R^2}$. It's worth considering clarifying this point, though since it did not confuse any other reviewers, it's probably unnecessary.

Authorsrebuttal2023-08-18

We are happy that our answer could clarify your point and thank you for sharing the source of the confusion. Our approach requires only $d+(d-1)$ regressions, making it computationally more efficient than combinatorial search over all permutations or over all DAGs with $d$ nodes. We agree that we can highlight this aspect more by implementing the edits below. Thank you again for engaging in this conversation! --- - lines 14, 80: ..._computationally efficient_ baseline algorithm... - line 182: _For $d$ variables, $R^2$-SortnRegress fits $d$ regressions to obtain an ordering of the variables by their $R^2$ coefficients, and fits another $d-1$ sparse regressions to determine the presence of edges._

Reviewer j7gp2023-08-19

Thank you for your responses. The inclusion of DirectLiNGAM in the non-gaussian setting makes sense. I have no further questions and will maintain my overall score of 7.

Area Chair 7yhE2023-08-20

Dear Reviewer iqwe, The authors have provided a response to your review comments. Could you see whether your concerns were properly addressed by the authors' response, or at least acknowledge you read it? Many thanks, The AC

Reviewer iqwe2023-08-20

Acknowledgement of the Rebuttal

Thanks a lot for answering my questions and highlighting the possible changes to the paper. I have no further questions. I will maintain my positive rating of the paper.

Program Chairsdecision2023-09-21

Decision

Accept (poster)

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