For the binary prevalence quantification problem under prior probability shift, we determine the asymptotic variance of the maximum likelihood estimator. We find that it is a function of the Brier score for the regression of the class label on the features under the test data set distribution. This observation suggests that optimising the accuracy of a base classifier, as measured by the Brier score, on the training data set helps to reduce the variance of the related quantifier on the test data set. Therefore, we also point out training criteria for the base classifier that imply optimisation of both of the Brier scores on the training and the test data sets.
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Source identification problems have multiple applications in engineering such as the identification of fissures in materials, determination of sources in electromagnetic fields or geophysical applications, detection of contaminant sources, among others. In this work we are concerned with the determination of a time-dependent source in a transport equation from noisy data measured at a fixed position. By means of Fourier techniques can be shown that the problem is ill-posed in the sense that the solution exists but it does not vary continuously with the data. A number of different techniques were developed by other authors to approximate the solution. In this work, we consider a family of parametric regularization operators to deal with the ill-posedness of the problem. We proposed a manner to select the regularization parameter as a function of noise level in data in order to obtain a regularized solution that approximate the unknown source. We find a H\"older type bound for the error of the approximated source when the unknown function is considered to be bounded in a given norm. Numerical examples illustrate the convergence and stability of the method.
In this paper, new results in random matrix theory are derived which allow us to construct a shrinkage estimator of the global minimum variance (GMV) portfolio when the shrinkage target is a random object. More specifically, the shrinkage target is determined as the holding portfolio estimated from previous data. The theoretical findings are applied to develop theory for dynamic estimation of the GMV portfolio, where the new estimator of its weights is shrunk to the holding portfolio at each time of reconstruction. Both cases with and without overlapping samples are considered in the paper. The non-overlapping samples corresponds to the case when different data of the asset returns are used to construct the traditional estimator of the GMV portfolio weights and to determine the target portfolio, while the overlapping case allows intersections between the samples. The theoretical results are derived under weak assumptions imposed on the data-generating process. No specific distribution is assumed for the asset returns except from the assumption of finite $4+\varepsilon$, $\varepsilon>0$, moments. Also, the population covariance matrix with unbounded spectrum can be considered. The performance of new trading strategies is investigated via an extensive simulation. Finally, the theoretical findings are implemented in an empirical illustration based on the returns on stocks included in the S\&P 500 index.
While existing work in robust deep learning has focused on small pixel-level $\ell_p$ norm-based perturbations, this may not account for perturbations encountered in several real world settings. In many such cases although test data might not be available, broad specifications about the types of perturbations (such as an unknown degree of rotation) may be known. We consider a setup where robustness is expected over an unseen test domain that is not i.i.d. but deviates from the training domain. While this deviation may not be exactly known, its broad characterization is specified a priori, in terms of attributes. We propose an adversarial training approach which learns to generate new samples so as to maximize exposure of the classifier to the attributes-space, without having access to the data from the test domain. Our adversarial training solves a min-max optimization problem, with the inner maximization generating adversarial perturbations, and the outer minimization finding model parameters by optimizing the loss on adversarial perturbations generated from the inner maximization. We demonstrate the applicability of our approach on three types of naturally occurring perturbations -- object-related shifts, geometric transformations, and common image corruptions. Our approach enables deep neural networks to be robust against a wide range of naturally occurring perturbations. We demonstrate the usefulness of the proposed approach by showing the robustness gains of deep neural networks trained using our adversarial training on MNIST, CIFAR-10, and a new variant of the CLEVR dataset.
Most conditional generation tasks expect diverse outputs given a single conditional context. However, conditional generative adversarial networks (cGANs) often focus on the prior conditional information and ignore the input noise vectors, which contribute to the output variations. Recent attempts to resolve the mode collapse issue for cGANs are usually task-specific and computationally expensive. In this work, we propose a simple yet effective regularization term to address the mode collapse issue for cGANs. The proposed method explicitly maximizes the ratio of the distance between generated images with respect to the corresponding latent codes, thus encouraging the generators to explore more minor modes during training. This mode seeking regularization term is readily applicable to various conditional generation tasks without imposing training overhead or modifying the original network structures. We validate the proposed algorithm on three conditional image synthesis tasks including categorical generation, image-to-image translation, and text-to-image synthesis with different baseline models. Both qualitative and quantitative results demonstrate the effectiveness of the proposed regularization method for improving diversity without loss of quality.
Proximal Policy Optimization (PPO) is a highly popular model-free reinforcement learning (RL) approach. However, in continuous state and actions spaces and a Gaussian policy -- common in computer animation and robotics -- PPO is prone to getting stuck in local optima. In this paper, we observe a tendency of PPO to prematurely shrink the exploration variance, which naturally leads to slow progress. Motivated by this, we borrow ideas from CMA-ES, a black-box optimization method designed for intelligent adaptive Gaussian exploration, to derive PPO-CMA, a novel proximal policy optimization approach that can expand the exploration variance on objective function slopes and shrink the variance when close to the optimum. This is implemented by using separate neural networks for policy mean and variance and training the mean and variance in separate passes. Our experiments demonstrate a clear improvement over vanilla PPO in many difficult OpenAI Gym MuJoCo tasks.
We propose a geometric convexity shape prior preservation method for variational level set based image segmentation methods. Our method is built upon the fact that the level set of a convex signed distanced function must be convex. This property enables us to transfer a complicated geometrical convexity prior into a simple inequality constraint on the function. An active set based Gauss-Seidel iteration is used to handle this constrained minimization problem to get an efficient algorithm. We apply our method to region and edge based level set segmentation models including Chan-Vese (CV) model with guarantee that the segmented region will be convex. Experimental results show the effectiveness and quality of the proposed model and algorithm.
In this paper, we propose to tackle the problem of reducing discrepancies between multiple domains referred to as multi-source domain adaptation and consider it under the target shift assumption: in all domains we aim to solve a classification problem with the same output classes, but with labels' proportions differing across them. We design a method based on optimal transport, a theory that is gaining momentum to tackle adaptation problems in machine learning due to its efficiency in aligning probability distributions. Our method performs multi-source adaptation and target shift correction simultaneously by learning the class probabilities of the unlabeled target sample and the coupling allowing to align two (or more) probability distributions. Experiments on both synthetic and real-world data related to satellite image segmentation task show the superiority of the proposed method over the state-of-the-art.
Generative adversarial networks (GANs) evolved into one of the most successful unsupervised techniques for generating realistic images. Even though it has recently been shown that GAN training converges, GAN models often end up in local Nash equilibria that are associated with mode collapse or otherwise fail to model the target distribution. We introduce Coulomb GANs, which pose the GAN learning problem as a potential field of charged particles, where generated samples are attracted to training set samples but repel each other. The discriminator learns a potential field while the generator decreases the energy by moving its samples along the vector (force) field determined by the gradient of the potential field. Through decreasing the energy, the GAN model learns to generate samples according to the whole target distribution and does not only cover some of its modes. We prove that Coulomb GANs possess only one Nash equilibrium which is optimal in the sense that the model distribution equals the target distribution. We show the efficacy of Coulomb GANs on a variety of image datasets. On LSUN and celebA, Coulomb GANs set a new state of the art and produce a previously unseen variety of different samples.
We develop an approach to risk minimization and stochastic optimization that provides a convex surrogate for variance, allowing near-optimal and computationally efficient trading between approximation and estimation error. Our approach builds off of techniques for distributionally robust optimization and Owen's empirical likelihood, and we provide a number of finite-sample and asymptotic results characterizing the theoretical performance of the estimator. In particular, we show that our procedure comes with certificates of optimality, achieving (in some scenarios) faster rates of convergence than empirical risk minimization by virtue of automatically balancing bias and variance. We give corroborating empirical evidence showing that in practice, the estimator indeed trades between variance and absolute performance on a training sample, improving out-of-sample (test) performance over standard empirical risk minimization for a number of classification problems.
In this paper we introduce a covariance framework for the analysis of EEG and MEG data that takes into account observed temporal stationarity on small time scales and trial-to-trial variations. We formulate a model for the covariance matrix, which is a Kronecker product of three components that correspond to space, time and epochs/trials, and consider maximum likelihood estimation of the unknown parameter values. An iterative algorithm that finds approximations of the maximum likelihood estimates is proposed. We perform a simulation study to assess the performance of the estimator and investigate the influence of different assumptions about the covariance factors on the estimated covariance matrix and on its components. Apart from that, we illustrate our method on real EEG and MEG data sets. The proposed covariance model is applicable in a variety of cases where spontaneous EEG or MEG acts as source of noise and realistic noise covariance estimates are needed for accurate dipole localization, such as in evoked activity studies, or where the properties of spontaneous EEG or MEG are themselves the topic of interest, such as in combined EEG/fMRI experiments in which the correlation between EEG and fMRI signals is investigated.
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