Abstract
An individualised treatment rule (ITR) is a decision rule that aims to improve individuals' health outcomes by recommending treatments according to subject-specific information. In observational studies, collected data may contain many variables that are irrelevant to treatment decisions. Including all variables in an ITR could yield low efficiency and a complicated treatment rule that is difficult to implement. Thus, selecting variables to improve the treatment rule is crucial. We propose a doubly robust variable selection method for ITRs, and show that it compares favourably with competing approaches. We illustrate the proposed method on data from an adaptive, web-based stress management tool.