When data is collected in an adaptive manner, even simple methods like ordinary least squares can exhibit non-normal asymptotic behavior. As an undesirable consequence, hypothesis tests and confidence intervals based on asymptotic normality can lead to erroneous results. We propose a family of online debiasing estimators to correct these distributional anomalies in least squares estimation. Our proposed methods take advantage of the covariance structure present in the dataset and provide sharper estimates in directions for which more information has accrued. We establish an asymptotic normality property for our proposed online debiasing estimators under mild conditions on the data collection process and provide asymptotically exact confidence intervals. We additionally prove a minimax lower bound for the adaptive linear regression problem, thereby providing a baseline by which to compare estimators. There are various conditions under which our proposed estimators achieve the minimax lower bound. We demonstrate the usefulness of our theory via applications to multi-armed bandit, autoregressive time series estimation, and active learning with exploration.
We consider a linear model which can have a large number of explanatory variables, the errors with an asymmetric distribution or some values of the explained variable are missing at random. In order to take in account these several situations, we consider the non parametric empirical likelihood (EL) estimation method. Because a constraint in EL contains an indicator function then a smoothed function instead of the indicator will be considered. Two smoothed expectile maximum EL methods are proposed, one of which will automatically select the explanatory variables. For each of the methods we obtain the convergence rate of the estimators and their asymptotic normality. The smoothed expectile empirical log-likelihood ratio process follow asymptotically a chi-square distribution and moreover the adaptive LASSO smoothed expectile maximum EL estimator satisfies the sparsity property which guarantees the automatic selection of zero model coefficients. In order to implement these methods, we propose four algorithms.
Diffusion models have demonstrated their powerful generative capability in many tasks, with great potential to serve as a paradigm for offline reinforcement learning. However, the quality of the diffusion model is limited by the insufficient diversity of training data, which hinders the performance of planning and the generalizability to new tasks. This paper introduces AdaptDiffuser, an evolutionary planning method with diffusion that can self-evolve to improve the diffusion model hence a better planner, not only for seen tasks but can also adapt to unseen tasks. AdaptDiffuser enables the generation of rich synthetic expert data for goal-conditioned tasks using guidance from reward gradients. It then selects high-quality data via a discriminator to finetune the diffusion model, which improves the generalization ability to unseen tasks. Empirical experiments on two benchmark environments and two carefully designed unseen tasks in KUKA industrial robot arm and Maze2D environments demonstrate the effectiveness of AdaptDiffuser. For example, AdaptDiffuser not only outperforms the previous art Diffuser by 20.8% on Maze2D and 7.5% on MuJoCo locomotion, but also adapts better to new tasks, e.g., KUKA pick-and-place, by 27.9% without requiring additional expert data. More visualization results and demo videos could be found on our project page.
Originally introduced as a neural network for ensemble learning, mixture of experts (MoE) has recently become a fundamental building block of highly successful modern deep neural networks for heterogeneous data analysis in several applications, including those in machine learning, statistics, bioinformatics, economics, and medicine. Despite its popularity in practice, a satisfactory level of understanding of the convergence behavior of Gaussian-gated MoE parameter estimation is far from complete. The underlying reason for this challenge is the inclusion of covariates in the Gaussian gating and expert networks, which leads to their intrinsically complex interactions via partial differential equations with respect to their parameters. We address these issues by designing novel Voronoi loss functions to accurately capture heterogeneity in the maximum likelihood estimator (MLE) for resolving parameter estimation in these models. Our results reveal distinct behaviors of the MLE under two settings: the first setting is when all the location parameters in the Gaussian gating are non-zeros while the second setting is when there exists at least one zero-valued location parameter. Notably, these behaviors can be characterized by the solvability of two different systems of polynomial equations. Finally, we conduct a simulation study to verify our theoretical results.
Local differential privacy (LDP) is a differential privacy (DP) paradigm in which individuals first apply a DP mechanism to their data (often by adding noise) before transmitting the result to a curator. In this article, we develop methodologies to infer causal effects from locally privatized data under the Rubin Causal Model framework. First, we present frequentist estimators under various privacy scenarios with their variance estimators and plug-in confidence intervals. We show that using a plug-in estimator results in inferior mean-squared error (MSE) compared to minimax lower bounds. In contrast, we show that using a customized privacy mechanism, we can match the lower bound, giving minimax optimal inference. We also develop a Bayesian nonparametric methodology along with a blocked Gibbs sampling algorithm, which can be applied to any of our proposed privacy mechanisms, and which performs especially well in terms of MSE for tight privacy budgets. Finally, we present simulation studies to evaluate the performance of our proposed frequentist and Bayesian methodologies for various privacy budgets, resulting in useful suggestions for performing causal inference for privatized data.
We develop a method for hybrid analyses that uses external controls to augment internal control arms in randomized controlled trials (RCT) where the degree of borrowing is determined based on similarity between RCT and external control patients to account for systematic differences (e.g. unmeasured confounders). The method represents a novel extension of the power prior where discounting weights are computed separately for each external control based on compatibility with the randomized control data. The discounting weights are determined using the predictive distribution for the external controls derived via the posterior distribution for time-to-event parameters estimated from the RCT. This method is applied using a proportional hazards regression model with piecewise constant baseline hazard. A simulation study and a real-data example are presented based on a completed trial in non-small cell lung cancer. It is shown that the case weighted adaptive power prior provides robust inference under various forms of incompatibility between the external controls and RCT population.
In this paper, we study the identifiability and the estimation of the parameters of a copula-based multivariate model when the margins are unknown and are arbitrary, meaning that they can be continuous, discrete, or mixtures of continuous and discrete. When at least one margin is not continuous, the range of values determining the copula is not the entire unit square and this situation could lead to identifiability issues that are discussed here. Next, we propose estimation methods when the margins are unknown and arbitrary, using pseudo log-likelihood adapted to the case of discontinuities. In view of applications to large data sets, we also propose a pairwise composite pseudo log-likelihood. These methodologies can also be easily modified to cover the case of parametric margins. One of the main theoretical result is an extension to arbitrary distributions of known convergence results of rank-based statistics when the margins are continuous. As a by-product, under smoothness assumptions, we obtain that the asymptotic distribution of the estimation errors of our estimators are Gaussian. Finally, numerical experiments are presented to assess the finite sample performance of the estimators, and the usefulness of the proposed methodologies is illustrated with a copula-based regression model for hydrological data. The proposed estimation is implemented in the R package CopulaInference, together with a function for checking identifiability.
We introduce a three-step framework to determine, on a per-pitch basis, whether batters in Major League Baseball should swing at a pitch. Unlike traditional plate discipline metrics, which implicitly assume that all batters should always swing (resp. take) pitches inside (resp. outside) the strike zone, our approach explicitly accounts not only for the players and umpires involved but also in-game contextual information like the number of outs, the count, baserunners, and score. Specifically, we first fit flexible Bayesian nonparametric models to estimate (i) the probability that the pitch is called a strike if the batter takes the pitch; (ii) the probability that the batter makes contact if he swings; and (iii) the number of runs the batting team is expected to score following each pitch outcome (e.g. swing and miss, take a called strike, etc.). We then combine these intermediate estimates to determine whether swinging increases the batting team's run expectancy. Our approach enables natural uncertainty propagation so that we can not only determine the optimal swing/take decision but also quantify our confidence in that decision. We illustrate our framework using a case study of pitches faced by Mike Trout in 2019.
When an exposure of interest is confounded by unmeasured factors, an instrumental variable (IV) can be used to identify and estimate certain causal contrasts. Identification of the marginal average treatment effect (ATE) from IVs relies on strong untestable structural assumptions. When one is unwilling to assert such structure, IVs can nonetheless be used to construct bounds on the ATE. Famously, Balke and Pearl (1997) proved tight bounds on the ATE for a binary outcome, in a randomized trial with noncompliance and no covariate information. We demonstrate how these bounds remain useful in observational settings with baseline confounders of the IV, as well as randomized trials with measured baseline covariates. The resulting bounds on the ATE are non-smooth functionals, and thus standard nonparametric efficiency theory is not immediately applicable. To remedy this, we propose (1) under a novel margin condition, influence function-based estimators of the bounds that can attain parametric convergence rates when the nuisance functions are modeled flexibly, and (2) estimators of smooth approximations of these bounds. We propose extensions to continuous outcomes, explore finite sample properties in simulations, and illustrate the proposed estimators in a randomized field experiment studying the effects of canvassing on resulting voter turnout.
Approaches for stochastic nonlinear model predictive control (SNMPC) typically make restrictive assumptions about the system dynamics and rely on approximations to characterize the evolution of the underlying uncertainty distributions. For this reason, they are often unable to capture more complex distributions (e.g., non-Gaussian or multi-modal) and cannot provide accurate guarantees of performance. In this paper, we present a sampling-based SNMPC approach that leverages recently derived sample complexity bounds to certify the performance of a feedback policy without making assumptions about the system dynamics or underlying uncertainty distributions. By parallelizing our approach, we are able to demonstrate real-time receding-horizon SNMPC with statistical safety guarantees in simulation and on hardware using a 1/10th scale rally car and a 24-inch wingspan fixed-wing UAV.
Logistic regression training over encrypted data has been an attractive idea to security concerns for years. In this paper, we propose a faster gradient variant called $\texttt{quadratic gradient}$ for privacy-preserving logistic regression training. The core of $\texttt{quadratic gradient}$ can be seen as an extension of the simplified fixed Hessian. We enhance Nesterov's accelerated gradient (NAG) and Adaptive Gradient Algorithm (Adagrad) respectively with $\texttt{quadratic gradient}$ and evaluate the enhanced algorithms on several datasets. %gradient $ascent$ methods with this gradient variant on the gene dataset provided by the 2017 iDASH competition and other datasets. Experiments show that the enhanced methods have a state-of-the-art performance in convergence speed compared to the raw first-order gradient methods. We then adopt the enhanced NAG method to implement homomorphic logistic regression training, obtaining a comparable result by only $3$ iterations. There is a promising chance that $\texttt{quadratic gradient}$ could be used to enhance other first-order gradient methods for general numerical optimization problems.