We study the problem of auditing classifiers with the notion of statistical subgroup fairness. Kearns et al. (2018) has shown that the problem of auditing combinatorial subgroups fairness is as hard as agnostic learning. Essentially all work on remedying statistical measures of discrimination against subgroups assumes access to an oracle for this problem, despite the fact that no efficient algorithms are known for it. If we assume the data distribution is Gaussian, or even merely log-concave, then a recent line of work has discovered efficient agnostic learning algorithms for halfspaces. Unfortunately, the boosting-style reductions given by Kearns et al. required the agnostic learning algorithm to succeed on reweighted distributions that may not be log-concave, even if the original data distribution was. In this work, we give positive and negative results on auditing for the Gaussian distribution: On the positive side, we an alternative approach to leverage these advances in agnostic learning and thereby obtain the first polynomial-time approximation scheme (PTAS) for auditing nontrivial combinatorial subgroup fairness: we show how to audit statistical notions of fairness over homogeneous halfspace subgroups when the features are Gaussian. On the negative side, we find that under cryptographic assumptions, no polynomial-time algorithm can guarantee any nontrivial auditing, even under Gaussian feature distributions, for general halfspace subgroups.
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Conformal inference is a popular tool for constructing prediction intervals (PI). We consider here the scenario of post-selection/selective conformal inference, that is PIs are reported only for individuals selected from an unlabeled test data. To account for multiplicity, we develop a general split conformal framework to construct selective PIs with the false coverage-statement rate (FCR) control. We first investigate the Benjamini and Yekutieli (2005)'s FCR-adjusted method in the present setting, and show that it is able to achieve FCR control but yields uniformly inflated PIs. We then propose a novel solution to the problem, named as Selective COnditional conformal Predictions (SCOP), which entails performing selection procedures on both calibration set and test set and construct marginal conformal PIs on the selected sets by the aid of conditional empirical distribution obtained by the calibration set. Under a unified framework and exchangeable assumptions, we show that the SCOP can exactly control the FCR. More importantly, we provide non-asymptotic miscoverage bounds for a general class of selection procedures beyond exchangeablity and discuss the conditions under which the SCOP is able to control the FCR. As special cases, the SCOP with quantile-based selection or conformal p-values-based multiple testing procedures enjoys valid coverage guarantee under mild conditions. Numerical results confirm the effectiveness and robustness of SCOP in FCR control and show that it achieves more narrowed PIs over existing methods in many settings.
The Bell regression model (BRM) is a statistical model that is often used in the analysis of count data that exhibits overdispersion. In this study, we propose a Bayesian analysis of the BRM and offer a new perspective on its application. Specifically, we introduce a G-prior distribution for Bayesian inference in BRM, in addition to a flat-normal prior distribution. To compare the performance of the proposed prior distributions, we conduct a simulation study and demonstrate that the G-prior distribution provides superior estimation results for the BRM. Furthermore, we apply the methodology to real data and compare the BRM to the Poisson regression model using various model selection criteria. Our results provide valuable insights into the use of Bayesian methods for estimation and inference of the BRM and highlight the importance of considering the choice of prior distribution in the analysis of count data.
For factor analysis, many estimators, starting with the maximum likelihood estimator, are developed, and the statistical properties of most estimators are well discussed. In the early 2000s, a new estimator based on matrix factorization, called Matrix Decomposition Factor Analysis (MDFA), was developed. Although the estimator is obtained by minimizing the principal component analysis-like loss function, this estimator empirically behaves like other consistent estimators of factor analysis, not principal component analysis. Since the MDFA estimator cannot be formulated as a classical M-estimator, the statistical properties of the MDFA estimator have not yet been discussed. To explain this unexpected behavior theoretically, we establish the consistency of the MDFA estimator as the factor analysis. That is, we show that the MDFA estimator has the same limit as other consistent estimators of factor analysis.
In decision-making, maxitive functions are used for worst-case and best-case evaluations. Maxitivity gives rise to a rich structure that is well-studied in the context of the pointwise order. In this article, we investigate maxitivity with respect to general preorders and provide a representation theorem for such functionals. The results are illustrated for different stochastic orders in the literature, including the usual stochastic order, the increasing convex/concave order, and the dispersive order.
Charts, figures, and text derived from data play an important role in decision making, from data-driven policy development to day-to-day choices informed by online articles. Making sense of, or fact-checking, outputs means understanding how they relate to the underlying data. Even for domain experts with access to the source code and data sets, this poses a significant challenge. In this paper we introduce a new program analysis framework which supports interactive exploration of fine-grained I/O relationships directly through computed outputs, making use of dynamic dependence graphs. Our main contribution is a novel notion in data provenance which we call related inputs, a relation of mutual relevance or "cognacy" which arises between inputs when they contribute to common features of the output. Queries of this form allow readers to ask questions like "What outputs use this data element, and what other data elements are used along with it?". We show how Jonsson and Tarski's concept of conjugate operators on Boolean algebras appropriately characterises the notion of cognacy in a dependence graph, and give a procedure for computing related inputs over such a graph.
Principal component analysis (PCA) is a simple and popular tool for processing high-dimensional data. We investigate its effectiveness for matrix denoising. We consider the clean data are generated from a low-dimensional subspace, but masked by independent high-dimensional sub-Gaussian noises with standard deviation $\sigma$. Under the low-rank assumption on the clean data with a mild spectral gap assumption, we prove that the distance between each pair of PCA-denoised data point and the clean data point is uniformly bounded by $O(\sigma \log n)$. To illustrate the spectral gap assumption, we show it can be satisfied when the clean data are independently generated with a non-degenerate covariance matrix. We then provide a general lower bound for the error of the denoised data matrix, which indicates PCA denoising gives a uniform error bound that is rate-optimal. Furthermore, we examine how the error bound impacts downstream applications such as clustering and manifold learning. Numerical results validate our theoretical findings and reveal the importance of the uniform error.
This article is concerned with the multilevel Monte Carlo (MLMC) methods for approximating expectations of some functions of the solution to the Heston 3/2-model from mathematical finance, which takes values in $(0, \infty)$ and possesses superlinearly growing drift and diffusion coefficients. To discretize the SDE model, a new Milstein-type scheme is proposed to produce independent sample paths. The proposed scheme can be explicitly solved and is positivity-preserving unconditionally, i.e., for any time step-size $h>0$. This positivity-preserving property for large discretization time steps is particularly desirable in the MLMC setting. Furthermore, a mean-square convergence rate of order one is proved in the non-globally Lipschitz regime, which is not trivial, as the diffusion coefficient grows super-linearly. The obtained order-one convergence in turn promises the desired relevant variance of the multilevel estimator and justifies the optimal complexity $\mathcal{O}(\epsilon^{-2})$ for the MLMC approach, where $\epsilon > 0$ is the required target accuracy. Numerical experiments are finally reported to confirm the theoretical findings.
The sparsity-ranked lasso (SRL) has been developed for model selection and estimation in the presence of interactions and polynomials. The main tenet of the SRL is that an algorithm should be more skeptical of higher-order polynomials and interactions *a priori* compared to main effects, and hence the inclusion of these more complex terms should require a higher level of evidence. In time series, the same idea of ranked prior skepticism can be applied to the possibly seasonal autoregressive (AR) structure of the series during the model fitting process, becoming especially useful in settings with uncertain or multiple modes of seasonality. The SRL can naturally incorporate exogenous variables, with streamlined options for inference and/or feature selection. The fitting process is quick even for large series with a high-dimensional feature set. In this work, we discuss both the formulation of this procedure and the software we have developed for its implementation via the **fastTS** R package. We explore the performance of our SRL-based approach in a novel application involving the autoregressive modeling of hourly emergency room arrivals at the University of Iowa Hospitals and Clinics. We find that the SRL is considerably faster than its competitors, while producing more accurate predictions.
This paper concerns an expansion of first-order Belnap-Dunn logic whose connectives and quantifiers are all familiar from classical logic. The language and logical consequence relation of the logic are defined, a proof system for the defined logic is presented, and the soundness and completeness of the presented proof system is established. The close relationship between the logical consequence relations of the defined logic and the version of classical logic with the same language is illustrated by the minor differences between the presented proof system and a sound and complete proof system for the version of classical logic with the same language. Moreover, fifteen classical laws of logical equivalence are given by which the logical equivalence relation of the defined logic distinguishes itself from the logical equivalence relation of many logics that are closely related at first glance.
The remarkable practical success of deep learning has revealed some major surprises from a theoretical perspective. In particular, simple gradient methods easily find near-optimal solutions to non-convex optimization problems, and despite giving a near-perfect fit to training data without any explicit effort to control model complexity, these methods exhibit excellent predictive accuracy. We conjecture that specific principles underlie these phenomena: that overparametrization allows gradient methods to find interpolating solutions, that these methods implicitly impose regularization, and that overparametrization leads to benign overfitting. We survey recent theoretical progress that provides examples illustrating these principles in simpler settings. We first review classical uniform convergence results and why they fall short of explaining aspects of the behavior of deep learning methods. We give examples of implicit regularization in simple settings, where gradient methods lead to minimal norm functions that perfectly fit the training data. Then we review prediction methods that exhibit benign overfitting, focusing on regression problems with quadratic loss. For these methods, we can decompose the prediction rule into a simple component that is useful for prediction and a spiky component that is useful for overfitting but, in a favorable setting, does not harm prediction accuracy. We focus specifically on the linear regime for neural networks, where the network can be approximated by a linear model. In this regime, we demonstrate the success of gradient flow, and we consider benign overfitting with two-layer networks, giving an exact asymptotic analysis that precisely demonstrates the impact of overparametrization. We conclude by highlighting the key challenges that arise in extending these insights to realistic deep learning settings.
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