RISE: Robust Individualized Decision Learning with Sensitive Variables

This paper introduces RISE, a robust individualized decision learning framework with sensitive variables, where sensitive variables are collectible data and important to the intervention decision, but their inclusion in decision making is prohibited due to reasons such as delayed availability or fairness concerns. The convention is to ignore these sensitive variables in learning decision rules, leading to significant uncertainty and bias. To address this, we propose a decision learning framework to incorporate sensitive variables during offline training but do not include them in the input of the learned decision rule during model deployment. Specifically, from a causal perspective, the proposed framework intends to improve the worst-case outcomes of individuals caused by sensitive variables that are unavailable at the time of decision. Unlike most existing literature that uses mean-optimal objectives, we propose a robust learning framework via finding a newly defined quantile- or infimum-optimal decision rule. The reliable performance of the proposed method is demonstrated through synthetic experiments and three real-data applications.