In practical applications, data is used to make decisions in two steps: estimation and optimization. First, a machine learning model estimates parameters for a structural model relating decisions to outcomes. Second, a decision is chosen to optimize the structural model's predicted outcome as if its parameters were correctly estimated. Due to its flexibility and simple implementation, this ``estimate-then-optimize'' approach is often used for data-driven decision-making. Errors in the estimation step can lead estimate-then-optimize to sub-optimal decisions that result in regret, i.e., a difference in value between the decision made and the best decision available with knowledge of the structural model's parameters. We provide a novel bound on this regret for smooth and unconstrained optimization problems. Using this bound, in settings where estimated parameters are linear transformations of sub-Gaussian random vectors, we provide a general procedure for experimental design to minimize the regret resulting from estimate-then-optimize. We demonstrate our approach on simple examples and a pandemic control application.
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The Gaussian graphical model is routinely employed to model the joint distribution of multiple random variables. The graph it induces is not only useful for describing the relationship between random variables but also critical for improving statistical estimation precision. In high-dimensional data analysis, despite an abundant literature on estimating this graph structure, tests for the adequacy of its specification at a global level is severely underdeveloped. To make progress, this paper proposes a novel goodness-of-fit test that is computationally easy and theoretically tractable. Under the null hypothesis, it is shown that asymptotic distribution of the proposed test statistic follows a Gumbel distribution. Interestingly the location parameter of this limiting Gumbel distribution depends on the dependence structure under the null. We further develop a novel consistency-empowered test statistic when the true structure is nested in the postulated structure, by amplifying the noise incurred in estimation. Extensive simulation illustrates that the proposed test procedure has the right size under the null, and is powerful under the alternative. As an application, we apply the test to the analysis of a COVID-19 data set, demonstrating that our test can serve as a valuable tool in choosing a graph structure to improve estimation efficiency.
Navigation is one of the most heavily studied problems in robotics, and is conventionally approached as a geometric mapping and planning problem. However, real-world navigation presents a complex set of physical challenges that defies simple geometric abstractions. Machine learning offers a promising way to go beyond geometry and conventional planning, allowing for navigational systems that make decisions based on actual prior experience. Such systems can reason about traversability in ways that go beyond geometry, accounting for the physical outcomes of their actions and exploiting patterns in real-world environments. They can also improve as more data is collected, potentially providing a powerful network effect. In this article, we present a general toolkit for experiential learning of robotic navigation skills that unifies several recent approaches, describe the underlying design principles, summarize experimental results from several of our recent papers, and discuss open problems and directions for future work.
The performance of decision policies and prediction models often deteriorates when applied to environments different from the ones seen during training. To ensure reliable operation, we propose and analyze the stability of a system under distribution shift, which is defined as the smallest change in the underlying environment that causes the system's performance to deteriorate beyond a permissible threshold. In contrast to standard tail risk measures and distributionally robust losses that require the specification of a plausible magnitude of distribution shift, the stability measure is defined in terms of a more intuitive quantity: the level of acceptable performance degradation. We develop a minimax optimal estimator of stability and analyze its convergence rate, which exhibits a fundamental phase shift behavior. Our characterization of the minimax convergence rate shows that evaluating stability against large performance degradation incurs a statistical cost. Empirically, we demonstrate the practical utility of our stability framework by using it to compare system designs on problems where robustness to distribution shift is critical.
Exploratory data analytics (EDA) is a sequential decision making process where analysts choose subsequent queries that might lead to some interesting insights based on the previous queries and corresponding results. Data processing systems often execute the queries on samples to produce results with low latency. Different downsampling strategy preserves different statistics of the data and have different magnitude of latency reductions. The optimum choice of sampling strategy often depends on the particular context of the analysis flow and the hidden intent of the analyst. In this paper, we are the first to consider the impact of sampling in interactive data exploration settings as they introduce approximation errors. We propose a Deep Reinforcement Learning (DRL) based framework which can optimize the sample selection in order to keep the analysis and insight generation flow intact. Evaluations with 3 real datasets show that our technique can preserve the original insight generation flow while improving the interaction latency, compared to baseline methods.
High-dimensional data can often display heterogeneity due to heteroscedastic variance or inhomogeneous covariate effects. Penalized quantile and expectile regression methods offer useful tools to detect heteroscedasticity in high-dimensional data. The former is computationally challenging due to the non-smooth nature of the check loss, and the latter is sensitive to heavy-tailed error distributions. In this paper, we propose and study (penalized) robust expectile regression (retire), with a focus on iteratively reweighted $\ell_1$-penalization which reduces the estimation bias from $\ell_1$-penalization and leads to oracle properties. Theoretically, we establish the statistical properties of the retire estimator under two regimes: (i) low-dimensional regime in which $d \ll n$; (ii) high-dimensional regime in which $s\ll n\ll d$ with $s$ denoting the number of significant predictors. In the high-dimensional setting, we carefully characterize the solution path of the iteratively reweighted $\ell_1$-penalized retire estimation, adapted from the local linear approximation algorithm for folded-concave regularization. Under a mild minimum signal strength condition, we show that after as many as $\log(\log d)$ iterations the final iterate enjoys the oracle convergence rate. At each iteration, the weighted $\ell_1$-penalized convex program can be efficiently solved by a semismooth Newton coordinate descent algorithm. Numerical studies demonstrate the competitive performance of the proposed procedure compared with either non-robust or quantile regression based alternatives.
This paper provides estimation and inference methods for a conditional average treatment effects (CATE) characterized by a high-dimensional parameter in both homogeneous cross-sectional and unit-heterogeneous dynamic panel data settings. In our leading example, we model CATE by interacting the base treatment variable with explanatory variables. The first step of our procedure is orthogonalization, where we partial out the controls and unit effects from the outcome and the base treatment and take the cross-fitted residuals. This step uses a novel generic cross-fitting method we design for weakly dependent time series and panel data. This method "leaves out the neighbors" when fitting nuisance components, and we theoretically power it by using Strassen's coupling. As a result, we can rely on any modern machine learning method in the first step, provided it learns the residuals well enough. Second, we construct an orthogonal (or residual) learner of CATE -- the Lasso CATE -- that regresses the outcome residual on the vector of interactions of the residualized treatment with explanatory variables. If the complexity of CATE function is simpler than that of the first-stage regression, the orthogonal learner converges faster than the single-stage regression-based learner. Third, we perform simultaneous inference on parameters of the CATE function using debiasing. We also can use ordinary least squares in the last two steps when CATE is low-dimensional. In heterogeneous panel data settings, we model the unobserved unit heterogeneity as a weakly sparse deviation from Mundlak (1978)'s model of correlated unit effects as a linear function of time-invariant covariates and make use of L1-penalization to estimate these models. We demonstrate our methods by estimating price elasticities of groceries based on scanner data. We note that our results are new even for the cross-sectional (i.i.d) case.
Polynomials are common algebraic structures, which are often used to approximate functions including probability distributions. This paper proposes to directly define polynomial distributions in order to describe stochastic properties of systems rather than to assume polynomials for only approximating known or empirically estimated distributions. Polynomial distributions offer a great modeling flexibility, and often, also mathematical tractability. However, unlike canonical distributions, polynomial functions may have non-negative values in the interval of support for some parameter values, the number of their parameters is usually much larger than for canonical distributions, and the interval of support must be finite. In particular, polynomial distributions are defined here assuming three forms of polynomial function. The transformation of polynomial distributions and fitting a histogram to a polynomial distribution are considered. The key properties of polynomial distributions are derived in closed-form. A piecewise polynomial distribution construction is devised to ensure that it is non-negative over the support interval. Finally, the problems of estimating parameters of polynomial distributions and generating polynomially distributed samples are also studied.
In a mixed generalized linear model, the objective is to learn multiple signals from unlabeled observations: each sample comes from exactly one signal, but it is not known which one. We consider the prototypical problem of estimating two statistically independent signals in a mixed generalized linear model with Gaussian covariates. Spectral methods are a popular class of estimators which output the top two eigenvectors of a suitable data-dependent matrix. However, despite the wide applicability, their design is still obtained via heuristic considerations, and the number of samples $n$ needed to guarantee recovery is super-linear in the signal dimension $d$. In this paper, we develop exact asymptotics on spectral methods in the challenging proportional regime in which $n, d$ grow large and their ratio converges to a finite constant. By doing so, we are able to optimize the design of the spectral method, and combine it with a simple linear estimator, in order to minimize the estimation error. Our characterization exploits a mix of tools from random matrices, free probability and the theory of approximate message passing algorithms. Numerical simulations for mixed linear regression and phase retrieval display the advantage enabled by our analysis over existing designs of spectral methods.
A recently developed measure-theoretic framework solves a stochastic inverse problem (SIP) for models where uncertainties in model output data are predominantly due to aleatoric (i.e., irreducible) uncertainties in model inputs (i.e., parameters). The subsequent inferential target is a distribution on parameters. Another type of inverse problem is to quantify uncertainties in estimates of "true" parameter values under the assumption that such uncertainties should be reduced as more data are incorporated into the problem, i.e., the uncertainty is considered epistemic. A major contribution of this work is the formulation and solution of such a parameter identification problem (PIP) within the measure-theoretic framework developed for the SIP. The approach is novel in that it utilizes a solution to a stochastic forward problem (SFP) to update an initial density only in the parameter directions informed by the model output data. In other words, this method performs "selective regularization" only in the parameter directions not informed by data. The solution is defined by a maximal updated density (MUD) point where the updated density defines the measure-theoretic solution to the PIP. Another significant contribution of this work is the full theory of existence and uniqueness of MUD points for linear maps with Gaussian distributions. Data-constructed Quantity of Interest (QoI) maps are also presented and analyzed for solving the PIP within this measure-theoretic framework as a means of reducing uncertainties in the MUD estimate. We conclude with a demonstration of the general applicability of the method on two problems involving either spatial or temporal data for estimating uncertain model parameters.
Engineers and scientists have been collecting and analyzing fatigue data since the 1800s to ensure the reliability of life-critical structures. Applications include (but are not limited to) bridges, building structures, aircraft and spacecraft components, ships, ground-based vehicles, and medical devices. Engineers need to estimate S-N relationships (Stress or Strain versus Number of cycles to failure), typically with a focus on estimating small quantiles of the fatigue-life distribution. Estimates from this kind of model are used as input to models (e.g., cumulative damage models) that predict failure-time distributions under varying stress patterns. Also, design engineers need to estimate lower-tail quantiles of the closely related fatigue-strength distribution. The history of applying incorrect statistical methods is nearly as long and such practices continue to the present. Examples include treating the applied stress (or strain) as the response and the number of cycles to failure as the explanatory variable in regression analyses (because of the need to estimate strength distributions) and ignoring or otherwise mishandling censored observations (known as runouts in the fatigue literature). The first part of the paper reviews the traditional modeling approach where a fatigue-life model is specified. We then show how this specification induces a corresponding fatigue-strength model. The second part of the paper presents a novel alternative modeling approach where a fatigue-strength model is specified and a corresponding fatigue-life model is induced. We explain and illustrate the important advantages of this new modeling approach.
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